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Russ:
I am guessing that three average true ranges equal something like two standard
deviations down the normalized bell curve, meaning it will capture about 95
percent of the price shocks [ I'm sure someone will state this much more
eloquently].
Best,
Tim Morge
TWA7663@xxxxxxx wrote:
>
> In a message dated 98-09-23 14:41:46 EDT, you write:
>
> << Here is a good exit to test against random entries. If you are long, sell
> on
> a stop only when the price declines three average true ranges from the
> highest
> high since you entered the trade. Do just the opposite if the random entry
> puts you short.
> >>
>
> Chuck,
>
> I agree with your general concept; however................
> Why "three average true ranges" ? Why not 1,2,4,5,etc.? Is 3 an optimized
> number? If so, doesn't that involve all the problems with optimization?
>
> Russ
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