The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The GOP literature typically considers...

Herein we attempt to quantify Tom McClellan’s notion of Dance Steps between two series of data, often of differing time periods (a current, or dependent and a previous, or independent period data series), looking for similarities in the turning points to use as a reference for the future...