Dear all,<br>I am trying to implement and compare several trading strategies against kelly criterion, the idea is the following<div><br></div><div><img src="cid:ii_1353514e5968e4d0" alt="image.png" title="image.png"></div>
<div><br></div><div>k: is the year, so, the summation is like a moving window</div><div>Google: historical price of Google</div><div><br></div><div>And this is the kelly criterion, I am comparing against.</div><div><img src="cid:ii_135351aa28acf2dd" alt="image.png" title="image.png"><br>
<div>In, this case, I simply let <img src="cid:ii_135351d40a649308" alt="image.png" title="image.png">.</div><div><br></div><div>My goal is:</div><div>1. calculate value at risk, look at the variance: (E-X)-sqrt(var)=alpha</div>
<div>2. For each fixed <img src="cid:ii_135351f01a935c83" alt="image.png" title="image.png">, compare different stocks.</div><div>3. Compare for different stocks, and have say, 0.99 in stock, 0.01 in cash. Or, 0.9 in stock, 0.1 in cash.</div>
<div><br></div><div>I was wondering if any experts could let me know what and how I can do it? Anyone know the name or key term of this strategy, and how to implement it in R?</div><div><br></div><div>Feel free to send me any message, thanks in advance.</div>
<div><br></div><div>Colin</div>
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