Trailing Stop vs Trailing Stop-Limit Orders
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When each trail width would first have been reached, same position, January to June 2022
When each trail width would first have been reached, same position, January to June 2022
| label | first_trigger_day | days_into_window | closes_at_or_below_trail |
|---|---|---|---|
| 5% trail | Jan 6, 2022 | 3 | 104 |
| 8% trail | Jan 19, 2022 | 16 | 82 |
| 10% trail | Jan 21, 2022 | 18 | 65 |
| 15% trail | Mar 14, 2022 | 70 | 38 |
| 20% trail | May 12, 2022 | 129 | 25 |
the exact SQL behind every number
WITH daily AS
(
SELECT
date,
toFloat64(any(close)) AS close_px
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'AAPL'
AND date >= '2022-01-03'
AND date < '2022-07-01'
GROUP BY date
),
marked AS
(
SELECT
date,
close_px,
max(close_px) OVER (ORDER BY date ASC ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS peak_close
FROM daily
),
widths AS
(
SELECT arrayJoin([5, 8, 10, 15, 20]) AS trail_pct
)
SELECT
concat(toString(w.trail_pct), '% trail') AS label,
formatDateTime(min(m.date), '%b %e, %Y') AS first_trigger_day,
dateDiff('day', toDate('2022-01-03'), min(m.date)) AS days_into_window,
count() AS closes_at_or_below_trail
FROM marked AS m
CROSS JOIN widths AS w
WHERE m.close_px <= m.peak_close * (1 - w.trail_pct / 100)
GROUP BY w.trail_pct
ORDER BY w.trail_pct ASC
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