An Analysis of Stops and Profit Objectives in Trading Systems

机译：交易系统的止损和获利目标分析

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Stops and profit objectives are utilized by most investment stategies. They are used to limit losses and secure achieved profits. An investor, who buys an asset at a particular price, usually sells the ssset when the price drops below a certain level, alled a stop, in order to avoid further losses. Also, the investor usually sells the asset if the price appreciates beyond a certain level (profit objective), in order to secure the acheived profit. This paper provides an analysis of the role of stops and objectives. We derive optimal values for these, in terms of the market type and transaction costs. The main conclusions are that for markets exhibiting trending behaviorl the best way is to choose tight stops and wide profit objectives, with the profit objectives beocming wider for larger transaction costs. For mean reverting markets, or for markets where price moves are often followed by correcting moves, wide stops (becoming wider with higher transcation costs) and tight profit objectives are recommended.

机译：止损和利润目标被大多数投资策略所利用。它们用于限制损失并确保获得的利润。投资者以特定价格购买资产，通常在价格跌至一定水平以下并止损时卖出固定资产，以避免进一步损失。此外，如果价格升值超过一定水平（利润目标），则投资者通常会出售资产，以确保获得的利润。本文对止损点和目标的作用进行了分析。我们从市场类型和交易成本方面得出最佳价值。主要结论是，对于表现出趋势行为的市场，最好的方法是选择紧缩止损和宽泛的利润目标，而对于更大的交易成本，利润目标会变得越来越宽。对于均值恢复市场或经常在价格走势之后进行校正的市场，建议设置较大的止损点（随着较高的交易成本而扩大）和紧缩的利润目标。

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《Third International Conference on Neural Networks in the Capital Markets Vol.2 London, England 11-13 October 95》|1995年|p.588-596|共9页
会议地点 London(GB);London(GB)
作者
Amir Atiga;
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正文语种 eng
中图分类财政、金融;
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An Analysis of Stops and Profit Objectives in Trading Systems

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