I've runa strategy that generated amazing returns over 1999-2008.
It literally cut half those returns in 2008-2009, so I tried exporting the data to excel and limitting any value loss to -10 (10% stop loss) and the returns were staggering and nearly double the return over the 12 year period.
My Question is: Is this resasonable (are stop losses actually that effective)?
P.S a 5% stop loss is even more effective.
You are welcome.
This question is for Kevin. Is it possible to draw a scatter plot of all trades using a strategy in RW to findout Maximum Adverse Excursion made by winning trades? This will help us in deciding how far winning trades go against you before turning around to make profits for you. If we can find the MAE for 95% of winning trades in this manner, it will help us decide where to place our trailing stop losses (for those of us who believe in placing stops!). Thanks.