Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap

Jessica James, Louis Yang

Quantitative Finance · 2010 · 21 citations · 14 references

Concepts

Abstract

One of the primary concerns for systematic traders is to be able to discern when a trading model is either temporarily or permanently broken. Clearly, the objective is to stop trading the model unt...

References

14