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In a message dated 4/12/99 10:50:21 PM Pacific Daylight Time,
dfens@xxxxxxxxxxxxx writes:
<< Has anyone been doing anything with
adaptive stops? >>
I have done a lot of work setting stops and profit targets in units of
Average True Range. The ATRs expand and contract with volatility so they
adapt nicely to changes in the market. I've generally found that I have
problems when the ranges contract briefly and the stops get too tight causing
whipsaws. This can be corrected by averaging the ATRs over two different
lengths (maybe a 4 day average and a 20 day average) and always using the
larger value to set the stops. This allows the stops to widen quickly and
still it prevents them from getting too close. There are some Bulletins on
this topic posted on my web site at http://traderclub.com
Chuck
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