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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Stop-loss

The first risk limit we will look at is quite intuitive and is called stop-loss, or max-loss. This limit is the maximum amount of money a strategy is allowed to lose, that is, the minimum PnL allowed. This often has a notion of a time frame for that loss, meaning stop-loss can be for a day, for a week, for a month, or for the entire lifetime of the strategy. A stop-loss with a time frame of a day means that if the strategy loses a stop-loss amount of money in a single day, it is not allowed to trade any more on that day, but can resume the next day. Similarly, for a stop-loss amount in a week, it is not allowed to trade anymore for that week, but can resume next week.

Now, let's compute stop-loss levels on a week and month for the ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content