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On an Allen head 85% of the torque goes into overcoming thread friction. How do you know how much tension you applies? You don’t. That’s on top of the tendency for aluminum and brass set screws to strip or gall or jam on a thread of wire. Lugs are so much easier.
I was a Manufacturing Engineer. Torque specifications do not require that one considers what load is on the threads vs the mechanical force at the connection (which is controlled by the shape and type of contact being made such as with a set screw). Torque values is engineered by the surface finish, inorganic metal finish, and thread pitch and size. If your components are galling at torque spec then you have bad parts. All torque specification applications are designated for minimum of 3 cycles before any consideration of failure of any type such as galling or thread distortion etc (with the exception of lug nuts on vehicle wheels and a few others designed for repeated replacement cycles). Failure in under three cycles means that torque values were exceeded, that the parts were not clean or had contaminants introduced, or that oil or other lubricant was used against specification.
I hope this helps resolve consideration of thread load verses contact load.
 

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Ready Mix concrete plant electrician
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View attachment 160122

If I wanted to get fancy I could pull the bare wire out of some romex and serve up a joint like the bottom picture. Add some solder and rubber tape, that thing ain't going anywhere.
You forgot the layer of friction tape over the rubber tape.
 
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