Is the Trailing-Stop Strategy Always Good for Stock Trading?
نویسندگان
چکیده
This paper characterizes the trailing-stop strategy for stock trading and provides a simulation model to evaluate its validity. Based on a discrete time computational model, we perform probabilistic analyses of the risks, rewards and trade-offs of such a trading strategy. Numerical examples using real data from the S&P 500 and the Dow Jones Industrial Average indicate that the trailing-stop strategy may be dominated by the portfolio containing risk-free assets and stocks, if prices are assumed to follow geometric Brownian motion.
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تاریخ انتشار 2012