Trailing Stop-Limit
Trend following · Equity ETFs · Daily · Trailing Stop-Limit order
The rules, in plain English
This uses a trailing stop-limit order for its exit. When the trailing stop triggers, it converts into a limit order rather than selling at the market price. That gives more control over the exit price, with the same risk as any limit order: it might not fill.
The published backtest
| Total return | +28.1% |
|---|---|
| CAGR (annual growth rate) | +1.00% |
| Sharpe ratio | -0.38 |
| Maximum drawdown (worst peak-to-trough fall) | -6.2% |
| Win rate | 47.6% |
| Profit factor | 1.69 |
| Risk grade (our shorthand, from the published figures) | F |
| Asset class | Equity ETFs |
| Style | Trend following |
| Timeframe | Daily · Trailing 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
Made money, but cash did better risk-adjusted (negative Sharpe)
This one finished ahead in raw dollars, but its Sharpe ratio was negative — meaning that, after adjusting for the ups and downs taken along the way, cash would have been the better risk-adjusted choice in the published test.
Worst drawdown in the published test: -6.2% — 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.