Stop-Limit Protection
Trend following · Equity ETFs · Daily · Market + Stop-Limit order
The rules, in plain English
Here a trend entry is bought with a market order, and the downside is protected by a stop-limit sell order underneath. If price falls to the stop, a limit sell is placed instead of selling at any price. That can improve the exit price — or leave you still holding if the limit is not reached.
The published backtest
| Total return | +63.6% |
|---|---|
| CAGR (annual growth rate) | +1.99% |
| Sharpe ratio | 0.02 |
| Maximum drawdown (worst peak-to-trough fall) | -14.2% |
| Win rate | 43.1% |
| Profit factor | 1.81 |
| Risk grade (our shorthand, from the published figures) | D |
| Asset class | Equity ETFs |
| Style | Trend following |
| Timeframe | Daily · Market + Stop-Limit 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: -14.2% — 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.