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Systematic Trading: A unique new method for designing trading and investing systems by Robert Carver

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Appendix B. Trading Rules

The A and B system: Early profit taker and early loss taker

I use two simple trading rules in examples throughout the book – the early profit taker and the early loss taker. These are both variations of a more general rule: the ‘A and B’ system. For the profit taker I use A = 5 and B = 20. The loss taker has these values reversed, A = 20 and B = 5. I don’t recommend using the A and B system for actual trading, but I’ve included the specification here to satisfy the curious.

Specification

Parameters A and B

For a given variation you need two parameters, A and B.

Standard position size

A standard position size is $100,000, divided by the instrument value volatility (as defined on ‘“What’s that in real ...

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