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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Optimal Stop Loss Placement for Intraday Futures Trading |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2022 |
| Abstract Text | This thesis studies the behaviour of three types of Stop Losses - Point based, Percent based & Trailing Based. To simulate different trading strategies, five Technical Indicators are used to generate buy and sell signals. To capture a range of risk appetites, 3 risk reward ratios are used to fix the take profit thresholds across different stop loss values. The simulations are performed on the E Mini S&P 500 Futures and the results are analyzed based on 4 different metrics. Finally, we answer the following questions: is stop loss a useful technique in the intraday horizon? Which stop loss technique is better suited for this? Does an optimal stop loss exist? |
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