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Quantitative Finance · Begrippenlijst

Wat is Breakout rule?

Definition 19.2 Strategies I: Equities and Futures · Hoofdstuk 19 — Trend Following

A breakout rule takes a long position when a market’s price exceeds its highest level over the last LL days and a short position when it falls below its lowest, and holds the position until the opposite breakout; its channel of highs and lows is also called a Donchian channel.

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