A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies

DOI10.1016/J.COR.2004.06.001MaRDI QIDQ2565768zbMATH OpenOpenAlexFDO

Authors Art Warburton, Zhe George Zhang

Publication date 28 September 2005

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2004.06.001

zbMATH Keywords

Planning horizonsProfit targetsStop-loss ordersTrailing stop strategies

Mathematics Subject Classification ID

Decision theory (91B06)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• On stop-loss strategies for stock investments.
• On the inefficiency of bang-bang and stop-loss portfolio strategies
• Option pricing: A simplified approach
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stock trading: an optimal selling rule
• Trading Securities Using Trailing Stops

Cited in

(9)

• Optimal trading with a trailing stop
• Some models of exchange trading in high-risk financial markets
• Trading to stops
• A probabilistic analysis of the trading the line strategy
• Developing Actionable Trading Strategies
• scientific article; zbMATH DE number 1304934 (Why is no real title available?)
• On the efficacy of stop-loss rules in the presence of overnight gaps
• AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY
• Optimal stop-loss rules in markets with long-range dependence

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