Optimization of Trading Rules with a Penalty Term for Increased Risk-Adjusted Performance. Hellström, T. Advanced Modeling and Optimization, 2(3):135-149, 2000.
bibtex   
@article{ Hell00a,
  author = {Thomas Hellström},
  journal = {Advanced Modeling and Optimization},
  number = {3},
  pages = {135-149},
  title = {Optimization of Trading Rules with a Penalty Term for Increased Risk-Adjusted Performance},
  volume = {2},
  year = {2000}
}

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