Why Turtle system uses 20 and 55 days?

Discussion in 'Strategy Development' started by j2ee, Apr 12, 2013.

  1. j2ee

    j2ee

    I guess 20 days mean the trading days in a month, but may be I am wrong. How about 55 days? I have no idea at all.
     
  2. Backtesting. It was a very profitable and stable parameter set when the Turtles were at top of their game.

    But those days are long gone.
     
  3. Pekelo

    Pekelo

    55 days is the number of average trading days in a 3 months period because of bank holidays. Maybe...
     
  4. Believe in the power of 62.
     
  5. I doubt the actual number of days was that critical. If it was, that would be evidence of curve fitting.
     
  6. spd

    spd

    Im guessing they wanted a period to look back kinda far and a little further, thus they came up with 20 and 55.
     
  7. j2ee

    j2ee

    http://en.wikipedia.org/wiki/Trading_day

    Normally there is 250 trading days. 250/4 = 62.5 which is very different from 55.
     
  8. rt454

    rt454

    I agree, I don't think the actual number of days is critical. They were looking trot trends so I you just need a tool to help which means the actual numbers aren't used, just be consistent with what you use.
     
  9. j2ee

    j2ee

    May be they have already backtested and came up with the best parameter for turtles. So it is just a complete trading system and no matter who uses even no training then may earns some money.
     
  10. Buying 3 month highs and selling three month lows has been a pretty standard trading methodology for many years. A lot of traders also buy and sell 12 month highs and lows.
     
    #10     Apr 14, 2013