Why Turtle system uses 20 and 55 days?

[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.

 

[sculptor66]

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.

 

[Pekelo]

Quote from 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.

55 days is the number of average trading days in a 3 months period because of bank holidays. Maybe...

 

[OccupyThis]

Believe in the power of 62.

 

[AAAintheBeltway]

I doubt the actual number of days was that critical. If it was, that would be evidence of curve fitting.

 

[spd]

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

 

[j2ee]

Quote from Pekelo:

55 days is the number of average trading days in a 3 months period because of bank holidays. Maybe...

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

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

 

[rt454]

Quote from AAAintheBeltway:

I doubt the actual number of days was that critical. If it was, that would be evidence of curve fitting.

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.

 

[j2ee]

Quote from 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.

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.

 

[Runningbear]

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.