V. 7:4 (129-129): Letters To S&C

V. 7:4 (129-129): Letters To S&C
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From one author to another

Dear Dr. Anthony,

Congratulations on your excellent article on the alpha-beta trend following system (S&C, April 1989).

Three questions:

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!


Chappaqua, NY


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