How to set stop-loss in quantitative strategies: explaining universal stop-loss design starting from the Polaris strategy
Stop-loss is the most overlooked—and error-prone—component in quant strategies. Many novice strategies look great in backtests but blow up the moment you run them live. Often, the culprit is poor stop-loss design: either it’s too wide and lets single trades lose too much, or it’s too tight and gets whipsawed by market noise. This article draws from the actual design of the Polaris strategy and covers general stop-loss design principles. ...
