Effectiveness of Stop-Loss Trading Strategy VS Buy-And-Hold Strategy

Iranian Journal of Accounting, Auditing and Finance

مقاله 3، دوره 7، شماره 2 - شماره پیاپی 23، مرداد 2023، صفحه 39-60   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2023.42836.1140

نویسندگان

Mohammad Amin Teimoori-Boghsani¹؛ Abdolmajid Abdolbaghi Ataabadi^{* 2}؛ Majid Ameri³

¹Department of Management, Faculty of Industrial Engineering and Management, Shahrood University of Technology

²Department of Management, Faculty of Industrial Engineering & Management, Shahrood University of Technology

³shahrood, Faculty of Industrial Engineering & Management, Shahrood University of Technology

چکیده

The current research investigates the top 30 companies of the Tehran Stock Exchange from 2009 to 2021, looking at each quarter. In this study, the traditional stop-loss (SL1) and trailing stop-loss (SL2) methods were used to calculate the stop-loss and buy-and-hold strategies to compare their trading effectiveness. The return variable was calculated separately for the first, second, and third months and all three were used together. To investigate the relationship between variables, EViews and SPSS software was used. The variables were subjected to significant and descriptive statistical analysis. The Paired Simple Test results showed that the Trailing Stop-loss (SL2) strategy had a higher return than the other two strategies during the three months. The Wilcoxon nonparametric and Sign tests' results confirmed that the Stop-Loss strategy (SL2) performed better than others. Time series tests such as the Unit Root, Self-correlation, Momentum Behaviour, and Variance Heterogeneity tests were accomplished to investigate the correlation between returns. In brief, the results showed that the Trailing Stop-loss (SL2) strategy functioned better than the other two strategies on the Iranian Stock Exchange. This finding can help investors decide among different strategies to profit more on the Tehran Stock Exchange.

کلیدواژه‌ها

Investment؛ Return؛ Technical Analysis؛ Stop-loss Strategy؛ Buy and Hold Strategy