LETTERS TO S&C
From one author to another
Dear Dr. Anthony,
Congratulations on your excellent article on the alpha-beta trend following system (S&C, April 1989).
1. ML is the "lag," or one-half of the moving average. Your default value is 15. Is the moving average 15
or is it 30?
2. MS default of 6. Is the moving average 6 or 12?
3. YS is the number of standard deviations. How long a period do you use to calculate one standard
deviation (the number to be multiplied by 2.5)?
If you have time to answer, many thanks!