Our group just finished a research paper on the matter for an undergraduate research competition - it's a response to Macrae's article a few years ago that looked at hidden costs of the stoploss. Questions/comments/suggestions for improvements welcome. Abstract: In this paper, we present general implications of the impact of stop losses to future returns. The use of stop losses change return distributions, but not in the way that one would typically expect. Both stop-losses and profit-taking stops used separately or in conjunction offer no statistically significant difference in expected return or variance in stationary return models but had a meaningful impact in returns with drift. http://advanceyourfinance.blogspot.com/2008/03/re-examining-hidden-costs-of-stoploss.html Original Macrae article here: http://www.aima.org/uploads/Arcus66.pdf