Library Library The Kelly Capital Growth Investment Criterion: Theory and Practice Kelly Criterion for Multivariate Portfolios: A Model-Free Approach Approximating Optimal Trading Strategies Under Parameter Uncertainty: A Monte Carlo Approach Drawdown-at-Risk Monte Carlo Optimization A Practical Guide to Quantitative Portfolio Trading Accounting For Sharpe Ratio Related Data-Mining Bias In Backtests Of Systematic Trading Algorithms All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms Pairs Trading: Performance of a Relative Value Arbitrage Rule Portfolio Construction and Systematic Trading with Factor Entropy Pooling Evaluating Trading Strategies Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test Limitations of Quantitative Claims About Trading Strategy Evaluation …and the Cross-Section of Expected Returns Automated Trading with Genetic-Algorithm Neural-Network Risk Cybernetics: An Application on FX Markets
