20-day breakout

[murray t turtle]

If it can be useful, here is the code in Easylanguage (for Tradestation and Multicharts) of a Trading System based on the rules of the Trader Turtles, so you can test if this technique is valid according to the Stocks to which it is applied:

http://georgepruitt.com/the-complete-turtle-easylanguage-well-about-as-close-as-you-can-get/

%%
LOL most likeley can improVe on that;
if not/that'$ fine also

 

[iamfbm]

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?

Hello I'm confused isn't supposed to be a 10-day profit exit?

 

[Shax]

Since Markets change over time, consequently a Trading System that worked well more than 20 years ago, must be adapted to current Markets.
It is therefore necessary to use the methods of the professionals, such as Andrea Unger, Kevin Davey, etc., then apply a T.S. in a group of stocks (12-15 stocks with different characteristics, some trendfollowing and some mean-reverting), and with various time frames: 15 minutes, 30 minutes, 1 hour, etc...up to multiday;
this method is well explained in the book: Trading System that Work by Thomas Stridsman.


Only in this way will it be possible to identify on which Markets (Stocks, Index, Commodities, etc...) and which time frames the best results will be obtained;
moreover, in addition to the traditional technique, it is often necessary to add filters to improve the various parameters.


An example, in this Unger Academy video, in addition to using the classic Donchian Channel (in this case only long with the addition of a stop loss and a profit target), the equity line and various values are improved by adding a filter based on a simple pattern (there is code in easylanguage in the video):

 

[murray t turtle]

Hello I'm confused isn't supposed to be a 10-day profit exit?

%%
SOUNDS like a 10 day stop loss, in that example ;
the markets I trade + invest ,would not want to limit a profit to 10days.
NOT likely any trend trader would limit a profit to 10 days;
but if, stock-ETFs market, SEPT, may not want it 10 days LOL.
Hope this helps, it helps me