distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cos

distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cost

ication under performance constraint 3. Maximization of various performance measures in walk forward process STATISTICAL EQUITY CURVES ANALYSIS Kelly Criterion, Markowitz Portfolio Allocation INTERMEDIATE RESULT 2 DIRECTIONAL LIBRARY Direct. I Direct. i 1 Alloc. Directional n Direct. virec:Lionai

distributio= of returns, IN VOL DAYS and over a given interval of time, follows a Paret=-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion=like) to vol, we are always "in" the positions that represent the majority o= returns and scale those returns by adding to them, without dollar cost