Simple Stop Loss Procedure to Measure Expected Return of the Portfolio

Igor Kotsiuba
2016 Journal of Applied Mathematics and Statistics  
A simple stop loss procedure to measure expected return of the portfolio with and without the stop-loss rule is proposed. A strategy for setting stop loss levels based on historical data and using moving average and average true range methods is given. Obtained results were compared by running back test for different values of stop-loss. 199 the wrong direction. On the other hand, investors don't want to set their stop loss levels too close and lose money by being taken out of their trades too early.
more » ... f their trades too early.
doi:10.7726/jams.2016.1016 fatcat:2se5guhwljfghgwzui7hho662e