Nothing wrong with dynamic values. Sometimes better, sometimes not, but worth testing. Normally, I do walkforward testing, so the parameters can become dynamic from that process.
For the 65 choice: I was thinking 3 months momentum, to identify bigger trends.
21 trading days per month x 3 = 63 which I rounded to 65.
Once I test with my out of sample / walkforward approach, I never go back and try other values (that usually leads to curvefitting and overoptimization). I'm sure there are better combinations of all parameters out there that would create a better in-sample backtest, but that is not the point of backtesting.
Earlier you posted "65 day lookback ? wow."
I'm curious, why "wow?"
Can you help answer these questions from other members on futures io?
To me that was a long way back. But then again, it probably is appropriate for a longer term trading system.
It probably correlates to the ATIT (Average Time In Trade).
IMO the less optimization the better because you have less chance of overfitting the data. However I could see that intraday systems might require a bit more optimizations than a longer term holding strategy like the one @kevinkdog gave away here. But in regards to kevins system a 60 or 70 value most likely wont significantly change the results. But since you hade the idea maybe you should test it and optimize to your hearts delight.
Here is another system worth checking out:
about as stupid simple as it gets and extremely profitable as you can see but not without large drawdowns.
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Let's say you are looking at a breakout system, buying when X day high is hit, selling short when X day low is hit.
X is a variable length you choose, and you look at a 5 day, 10 day, 15 day, etc. length. One will produce the best result for Net Profit. That is optimizing.
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