TY - JOUR T1 - On the Efficacy of Stop-Loss Strategies JF - The Journal of Trading SP - 100 LP - 107 DO - 10.3905/jot.2014.9.4.100 VL - 9 IS - 4 AU - Sarah Marietta Tooth Y1 - 2014/09/30 UR - https://pm-research.com/content/9/4/100.abstract N2 - Standing stop orders, or “stop-losses,” automatically sell out of equity positions to prevent capital losses from exceeding a predetermined threshold. This practice is commonly believed to not only limit downside, but also contribute to long-term portfolio growth. We test this theory by applying stop-losses to the MaxMeasures portfolio selection strategy, and to a bootstrapped backtest of arbitrary strategies on the S&P500 between 1969 and 2012. We find these simplistic stop-losses to be ineffective and generally detrimental to long-term performance.TOPICS: Security analysis and valuation, quantitative methods ER -