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

Jessica James · Louis Yang

20 citations0/0 files storedQuantitative Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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...

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References

2001Empirical properties of asset returns: stylized facts and statistical issues 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap 2000Theory of financial risks : from statistical physics to risk management 1999Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts 2000Encyclopedia of Chart Patterns 1998The predictive power of price patterns

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