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Learning From Modus Quantitative Advisors' "The Significance of Trading Frequency and Stop Loss in Trend Following Strategies"

Trading higher frequency shows no significant benefits. Stop loss rules improve maximum drawdowns.

01 January, 2014 / 0 Comments

Learning From Kaminski & Lo's "When Do Stop-Loss Rules Stop Losses"

If markets follow the Random Walk Hypothesis, stop loss rules has no value. If markets exhibit momentum effects, research shows that stop loss rules can improve returns and reduce risk.

01 July, 2013 / 0 Comments