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Article

A Framework for Stop-Loss Analysis on Trading Strategies

Oliver Chan and Alfred Ka Chun Ma
The Journal of Trading Winter 2015, 10 (1) 87-95; DOI: https://doi.org/10.3905/jot.2014.10.1.087
Oliver Chan
is an analyst at CASH Axiom Capital Limited in Hong Kong, China.
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  • For correspondence: oliver.chan@cash.com.hk
Alfred Ka Chun Ma
is a managing director at CASH Axiom Capital Limited in Hong Kong, China.
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  • For correspondence: alfred.ma@cash.com.hk
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Abstract

This article introduces a performance analysis framework whereby the impact of a stop-loss rule on trading strategies can be analyzed efficiently. To analyze the risk–return trade-off, risk is measured by the maximum unrealized loss over the holding period of the position (MUL) and return is measured by the profit and loss of the position (P&L).

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The Journal of Trading: 10 (1)
The Journal of Trading
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A Framework for Stop-Loss Analysis on Trading Strategies
Oliver Chan, Alfred Ka Chun Ma
The Journal of Trading Dec 2014, 10 (1) 87-95; DOI: 10.3905/jot.2014.10.1.087

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A Framework for Stop-Loss Analysis on Trading Strategies
Oliver Chan, Alfred Ka Chun Ma
The Journal of Trading Dec 2014, 10 (1) 87-95; DOI: 10.3905/jot.2014.10.1.087
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  • Article
    • Abstract
    • FRAMEWORK FOR EVALUATING THE PERFORMANCE OF STOP-LOSS RULES
    • EMPIRICAL APPLICATION
    • CONCLUSION
    • REFERENCES
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