Protective Stop Loss
Trend following · Equity ETFs · Daily · Market + Stop order
The rules, in plain English
This pairs a trend-following market entry with a protective stop-loss order set about 5% below entry. The stop is there to cut a losing trade before it becomes a large loss. It limits damage on single trades, though repeated small stops can still add up.
The published backtest
| Total return | +60.1% |
|---|---|
| CAGR (annual growth rate) | +1.90% |
| Sharpe ratio | 0.00 |
| Maximum drawdown (worst peak-to-trough fall) | -16.2% |
| Win rate | 44.7% |
| Profit factor | 1.70 |
| Risk grade (our shorthand, from the published figures) | D |
| Asset class | Equity ETFs |
| Style | Trend following |
| Timeframe | Daily · Market + Stop order |
| Type | Orders |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Modest
This one made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -16.2% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.