Why Turtle system uses 20 and 55 days?

[nazzdack]

Quote from j2ee:
----I guess....
----20 days mean the trading days in a month....
----How about 55 days?

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.
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:

 

[murray t turtle]

Quote from 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.

============================
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

40 days?? Well markets do change.......................................

 

[dtrader98]

Quote from 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.

There are also a lot of good momentum studies to back up these numbers.

 

[j2ee]

Quote from dtrader98:

There are also a lot of good momentum studies to back up these numbers.

I guess their idea was around a quarter then optimizing it and got 55 days.

 

[Murray Ruggiero]

Quote from j2ee:

I guess their idea was around a quarter then optimizing it and got 55 days.

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.

 

[j2ee]

Quote from Murray Ruggiero:

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.

I know, but why 55 days but not 60 days.

 

[pemully]

Quote from j2ee:

I know, but why 55 days but not 60 days.

it was the most profitable parameter during backtests.

 

[j2ee]

Quote from pemully:

it was the most profitable parameter during backtests.

then curve fitting

 

[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?????!!!

 

[Visaria]

Quote from pemully:

it was the most profitable parameter during backtests.

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.