These papers cover position sizing with the Kelly criterion, the data-mining bias hidden in backtests, and honest ways to evaluate a trading strategy. All of them are free to read on SSRN.
- The Kelly Capital Growth Investment Criterion: Theory and Practice SSRN
- Kelly Criterion for Multivariate Portfolios: A Model-Free Approach SSRN
- Approximating Optimal Trading Strategies Under Parameter Uncertainty: A Monte Carlo Approach SSRN
- Drawdown-at-Risk Monte Carlo Optimization SSRN
- A Practical Guide to Quantitative Portfolio Trading SSRN
- Accounting for Sharpe Ratio Related Data-Mining Bias in Backtests of Systematic Trading Algorithms SSRN
- All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms SSRN
- Pairs Trading: Performance of a Relative Value Arbitrage Rule SSRN
- Portfolio Construction and Systematic Trading with Factor Entropy Pooling SSRN
- Evaluating Trading Strategies SSRN
- Know Your System! Turning Data Mining from Bias to Benefit Through System Parameter Permutation SSRN
- Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test SSRN
- Limitations of Quantitative Claims About Trading Strategy Evaluation SSRN
- ... and the Cross-Section of Expected Returns SSRN
- Automated Trading with Genetic-Algorithm Neural-Network Risk Cybernetics: An Application on FX Markets SSRN