Free material: http://www.tradingpatterns.com/Kelly.pdf http://www.tradingpatterns.com/PositionSizing.pdf The book is also excellent: http://www.wiley.com/WileyCDA/WileyTitle/productCd-047022908X.html Chapters 4 and 5 offer a good intro. Ron
Michael Harris' articles and books are excellent and so is his software APS Automatic Pattern Search. He is an honest author and trader who places emphasis on the limitations and pitfalls of trading systems.
I've found this article helpful. It is very objective - stops and profit targets are not determined arbitrarily, or based on risk tolerance; but rather based on the expectancy of each particular system.
In order to know the expectancy you must know the stops and profit targets. So how can one say that in turn, the expectancy determines stops and profit targets? Ron