Why Turtle system uses 20 and 55 days?

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

  1. 1) ?...... 20 trading days.....in 4 weeks.... which is similar to one month......which may somehow coincide/interact with end-of-the-month window dressing. :)
    2) 55 was the number for Doug Buffone of the Chicago Bears. Dick Butkus's number 51 was too "weird" to use so 55 was agreed on instead. :cool:
    3) I had heard "chatter" that 40 days was another "significant" interval that the Turles paid attention to. ?....... !....... OMMFG! 40 is the second harmonic of 20! :eek: :eek: :D
     
    #11     Apr 14, 2013
  2. ============================
    Good points;
    50 days can be a good measure of trends, also. [50 day moving average]55 days has less comissions than 50 days, on average.
    Wisdom is profitable to direct:cool:

    40 days?? Well markets do change.......................................
     
    #12     Apr 15, 2013
  3. There are also a lot of good momentum studies to back up these numbers.
     
    #13     Apr 15, 2013
  4. j2ee

    j2ee

    I guess their idea was around a quarter then optimizing it and got 55 days.
     
    #14     Apr 15, 2013
  5. Murray Ruggiero

    Murray Ruggiero Sponsor

    There are 22 trading days on average in a month. The orginal system by Donchian was 4 weeks, four trading weeks is 20 days.

    The 55 days , is a safety breakout not to miss a long term trend because the 20 day breakout is turned off if the last trade was a big winner.
     
    #15     Apr 16, 2013
  6. j2ee

    j2ee

    I know, but why 55 days but not 60 days.
     
    #16     Apr 16, 2013
  7. pemully

    pemully

    it was the most profitable parameter during backtests.
     
    #17     Apr 16, 2013
  8. j2ee

    j2ee

    then curve fitting
     
    #18     Apr 16, 2013
  9. Visaria

    Visaria

    Lol, they had to use something!!! Nothing wrong with optimization at all, if done intelligently.

    What number should they have used, one that made half the amount that 55 days did?????!!!
     
    #19     Apr 17, 2013
  10. Visaria

    Visaria

    This may or may not be the case. When you are looking to optimize a parameter, you have to do it intelligently. It may be that 56 was the most profitable parameter but 55 was more robust.
     
    #20     Apr 17, 2013