We consider the effectiveness of trailing stop-loss rules which, unlike traditional stop-loss rules, involve the sale trigger price being moved higher to protect profits as prices rise. Our results indicate that while these rules have inferior mean returns to a mean–variance optimal benchmark, they are effective at stopping losses. The trailing stop-loss strategy reduces total risk and lessens downside risk, especially during declining market states. Transaction costs reduce the benefits of tighter stop-loss rules, but the rules with larger stop-loss thresholds remain useful after accounting for transaction costs.

中文翻译：

---

使用追踪止损规则降低风险

我们考虑了追踪止损规则的有效性，与传统的止损规则不同，追踪止损规则涉及将销售触发价格上移以在价格上涨时保护利润。我们的结果表明，虽然这些规则的平均回报低于均值方差最优基准，但它们在止损方面是有效的。追踪止损策略降低了总风险并降低了下行风险，尤其是在市场下滑的情况下。交易成本降低了更严格的止损规则的好处，但在考虑交易成本后，具有更大止损阈值的规则仍然有用。