Citat:
Jag funderar på om du fick idén till din 15% stop loss från den här artikeln?1. Stop loss vid -15%
Den stora svagheten med denna strategi är ju att den inte tar hänsyn till dippar utan istället ligger kvar hela månaden. Jag lägger därför till en regel att sälja av en fond som minskat till under 85% av månadens ingångsvärde. Det blir alltså en glidande stop loss. Kommer att kolla av detta varje helg. Om en fond säljs av så får summan vara likvid till nästa köptillfälle.
Den stora svagheten med denna strategi är ju att den inte tar hänsyn till dippar utan istället ligger kvar hela månaden. Jag lägger därför till en regel att sälja av en fond som minskat till under 85% av månadens ingångsvärde. Det blir alltså en glidande stop loss. Kommer att kolla av detta varje helg. Om en fond säljs av så får summan vara likvid till nästa köptillfälle.
Citat:
https://papers.ssrn.com/sol3/papers....act_id=2407199
Taming Momentum Crashes: A Simple Stop-Loss Strategy
We propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 15%, we find, with data from January, 1926 to December, 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from −49.79% to −17.43% and from −64.97% to −22.10%, respectively, while the Sharpe ratios are more than doubled.
We propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 15%, we find, with data from January, 1926 to December, 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from −49.79% to −17.43% and from −64.97% to −22.10%, respectively, while the Sharpe ratios are more than doubled.
Sammanfattning av deras resultat:
Citat:
The important empirical question is whether the stop-loss trading strategy reduces the average return of the original momentum strategy and the associated Sharpe ratio due to its less risk exposure. Surprisingly, for our simple stop-loss strategy with 15% loss trigger and a 7.50% threshold, it in fact raises the average return of the original momentum strategy from 0.99% per month to 1.93% per month, while reducing the standard deviation from 6.01% per month to 4.85% per month. Hence, the stop-loss momentum strategy generates a monthly Sharpe ratio of 0.399, more than double the level , 0.165, of the original momentum strategy.
How well does the stop-loss strategy avoid the momentum crash? In those four months when the original momentum strategy has its worst losses, −49.79%, −39.43%, −35.24% and −34.46%, the stop-loss momentum returns −9.62%, 2.83%, −10.76% and −17.43%, respectively. Note that the return is even positive in one of the months! This is driven by good performance of the remaining stocks (which are not stopped out) in those months.
How well does the stop-loss strategy avoid the momentum crash? In those four months when the original momentum strategy has its worst losses, −49.79%, −39.43%, −35.24% and −34.46%, the stop-loss momentum returns −9.62%, 2.83%, −10.76% and −17.43%, respectively. Note that the return is even positive in one of the months! This is driven by good performance of the remaining stocks (which are not stopped out) in those months.
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Senast redigerad av VarmaDrycker 2021-04-10 kl. 20:57.
Senast redigerad av VarmaDrycker 2021-04-10 kl. 20:57.
