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

Authors:
Art Warburton;Zhe George Zhang
Affiliations:
Faculty of Business Administration, Simon Fraser University, Burnaby, BC, Canada V5A 1S6;Faculty of Business Administration, Simon Fraser University, Burnaby, BC, Canada V5A 1S6 and Department of Decision Sciences, Western Washington University, Bellingham, WA 98225, USA
Venue:
Computers and Operations Research
Year:
2006

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Abstract

Stop-loss, take profit and price breakout strategies, though in some ways theoretically unattractive, are nonetheless popular with traders. We describe and illustrate a simple, fast, flexible and practical discrete time computational model for performing probabilistic analyses of the risks, rewards and tradeoffs associated such strategies.