Trailing Stops in Various AutoCorrelation and Volatility Regimes

Trailing Stops in Various AutoCorrelation and Volatility Regimes

Wednesday, Sep 22, 2021

Abstract: I examine trailing stops in real markets and various autocorrelation and volatility regimes using synthetic data. Exits are notoriously under-studied and may be a source of edge. I examine three key hypotheses using my take on Tom Basso’s random entry method to remove entry from the equation.

@ Derek Wong
18 minutes read

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I am an alternatives portfolio manager focused on quantitatve and systematic methods using derivatives. Quantitative finance geek, macroeconomics enthusiast, and research addict.