PT  - JOURNAL ARTICLE
AU  - Oliver Chan
AU  - Alfred Ka Chun Ma
TI  - A Framework for Stop-Loss Analysis on Trading Strategies
AID  - 10.3905/jot.2014.10.1.087
DP  - 2014 Dec 31
TA  - The Journal of Trading
PG  - 87--95
VI  - 10
IP  - 1
4099  - https://pm-research.com/content/10/1/87.short
4100  - https://pm-research.com/content/10/1/87.full
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