Guide · Breakouts & channels
Does Chande Kroll Stop work?
Across 375 stocks, Chande Kroll Stop cut the worst fall on 78%, beat buying and holding on risk-adjusted return on 17% and on raw return on 15%. Mainly a seatbelt: it softened the big falls on most stocks, but usually gave up return to do it.
What it predicts
Two stop lines built from recent highs, lows and average ranges. Be in once the close clears both lines; get out when it falls below the long stop.
- The long stop is the highest value over 20 days of the 10-day high minus 3 × the 10-day average true range. The short stop is the lowest value over 20 days of the 10-day low plus 3 × that range.
- In when a close is above both stop lines.
- Out when a close is below the long stop. Between the lines, the rule keeps its last call.
Breakouts & channels plays bet that when price escapes the range it has held for weeks, the move that follows tends to run. The family guide
How to use it
- It trades often (about 15 switches a year per stock), so costs, spreads and taxes eat into it more than the backtest's 0.05% per switch suggests.
- Expect to be wrong more often than right: only 27% of its calls worked. Its results come from the size of the winners, so following it means sitting through strings of small losses.
- It worked best on Industrials & rentals (44% beat holding on risk-adjusted return) and worst on Indexes & ETFs (0%).
- Use it as one input. Your signal combines the plays you count with the other factors you weight into one call.
When it worked
Chande Kroll Stop did best against holding in the COVID drop (+23% median gap) and worst in the 2020–21 rally (−30%). Median gap in return against holding the same stock (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Chande Kroll Stop | +15% | −11% | +23% | −30% | +7% | −11% |
Where it worked
By kind of stock: how often it beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Industrials & rentals | 44% | -0.05 |
| Micro caps | 33% | -0.19 |
| Real estate | 32% | -0.07 |
| Energy & power | 24% | -0.22 |
| Semiconductors | 17% | -0.23 |
| Big tech | 17% | -0.14 |
| Software & devices | 15% | -0.25 |
| Industrials & materials | 14% | -0.29 |
| Consumer & retail | 12% | -0.25 |
| Financials | 12% | -0.17 |
| Healthcare | 11% | -0.17 |
| Media & telecom | 10% | -0.23 |
| Metals & mining | 10% | -0.25 |
| Sectors | 0% | -0.21 |
| Indexes & ETFs | 0% | -0.18 |
Where it helped most
Sharpe ratio gap against holding, stocks with 3+ years of history
Right now
Chande Kroll Stop holds 151 of 377 names as of the Oct 13, 2026 close.
Changed its call in the last two weeks:
Backtest results since 2005 (or as long as each stock has traded), against holding the same stock over the same dates, after 0.05% per switch. Past results don't promise future ones. This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.