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Ryugan:
>Thanks for the info. Do u have any suggestion on how I can create better
>targets and stop?
I wrote a strategy once that did better setting targets and stops
based on a multiple of a market noise measurement, than it did
using MFE/MAE. I personally preferred it because MFE and MAE are
distributions measured over a history, and you don't know how they
should be adjusted over time. Market noise changes over time, so
your strategy can adapt to different conditions.
There are several ways to measure noise. Average True Range is one
(which is what mine was based on). Standard Deviation of price is
another.
-Alex
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