RT Journal Article
SR Electronic
T1 A Framework for Stop-Loss Analysis on Trading Strategies
JF The Journal of Trading
FD Institutional Investor Journals
SP 87
OP 95
DO 10.3905/jot.2014.10.1.087
VO 10
IS 1
A1 Oliver Chan
A1 Alfred Ka Chun Ma
YR 2014
UL https://pm-research.com/content/10/1/87.abstract
AB 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).TOPICS: Downside-only measures, risk management