Holding losers, cutting winners
Losers held much longer than winners, and average loss bigger than average win.
🏷 Bag HolderHow we detect it
Average hold time of losers ÷ winners ≥ 1.5, and average loss % > average win %.
How we price it
For each loser that closed beyond the stop: actual loss minus the loss had it closed at a stop = −(median win %). Assumption: price crossed the stop level on the way (no gaps or slippage).
Example
Winners closed after 2h at +2%; losers were held 10h to −5%. A −2% stop would have saved 3% on each loser.
Illustrative example only.
🛡️ Failrail could have blocked this: a mandatory stop-loss on every tradeWhat is Failrail?