I have been thinking and trying for a while on how to use simple stop-loss orders (and more sophisticated techniques involving dynamic thresholds linked to market performance) to protect the performance of my algorithms from the market volatility.
The overall results of my many tests are well summarized in this article that I came across this morning (and that might be interesting to someone):
http://augmentedtrader.com/2016/02/10/how-do-stop-loss-orders-affect-trading-strategy-performance/
Is there anybody that has found significant improvements adopting stop-loss or other protective techniques?
Also, I understand that long-short or pair trading strategies are much more sophisticated than stop-loss orders, but my idea was to add a "security level" to those strategies and not to substitute them. The reason is that, while a flawless theory, is very hard to neutralize completely the market when implementing long-short or pair trading strategies.
