20-day breakout

Discussion in 'Strategy Building' started by fm_88, Jan 5, 2022.

  1. fm_88


    My question is about 20-day breakout trading strategy. The rules are like Turtle rules: enter the trade when you have 20-day high or low. The exit rules are 10-day low if you're long, and 10-day high if you're short.
    My question does 10-day high (or low) start from the date when I entered the position or it can be any 10-day high or low? I'll try to clarify with the example.
    Let's say I shorted GBPJPY on 10/25/2000 which is pointed with the red line. On 30th Oct, we have 10-day high (shown with the gray line) but only 5 days passed since we shorted the currency pair. Should we exit our short position or 10-day high rule starts from 25th October?
    murray t turtle likes this.
  2. xandman


    10 day is a moving window, imo. You need to ride the breakout to be able to capture the skewed distribution of expected returns. When it starts matters less.
    Last edited: Jan 5, 2022
    fm_88 likes this.
  3. fm_88


    Could you please clarify this? Do you mean that the 10-day high (or low) starts from the date I entered the trade?
  4. xandman


    It may. Though, it takes a little extra effort to program an algo to start calculating from trade date. You could just as well have an indicator that is continuously calculating the 10 day average and reference that value during runtime.

    That strategy is not a perfect recipe for money printing. Markets change. The biggest factor that will determine your profitability is that the security you select is prone to providing you a favorable regime within the selected frequency .... trending vs mean reverting. Obviously, you want trending so that you can ride the signal after it is generated.
    Mazedonia and fm_88 like this.
  5. fan27


    This is a mechanical strategy and needs to be tested via code (algo) which will help you answer your own question. If you are unable to do that don't waste your time or money trading this as you won't be able to handle the drawdowns.
  6. fm_88


    I know, I'm programming it in Python right now. And the question raised in mind while backtesting
    Mazedonia and fan27 like this.
  7. SunTrader


    Price action based exit on 10 day high if short/10 day low is long, regardless of when you entered.
    fm_88 likes this.
  8. %%
    MAIN thing about 20 day= 50 days /200days tends to be better/more profitable.
    BUT since commissions[ETFs] are low or no commissions, maybe not so important.IF you are serious + i think you are, get Mr Faith's [ turtle trading] Book.
    fm_88 likes this.