Gather enough observations before changing any major aspect of your trading plan. (tradingsetupsreview.com)
Of course, this assumes that far tail has enough observations on it in the baseline case to serve as a comparison, and that may be the rub. (realclimate.org)
clarification, with enough observations of K and T at different places you can calculate both K * and T * but you can't calculate T * by just having observations of T. (andrewgelman.com)