Richard Dennis's Breakout Strategy: A Deep explore N-Day Highs

The N-Day Breakout

The N-day breakout is a simple and effective entry signal. It is based on the idea that a stock that is making a new high is likely to continue to move higher. The Turtles used a 20-day breakout for their shorter-term system and a 55-day breakout for their longer-term system.

Choosing the Right N

The optimal lookback period (N) for a breakout strategy will vary depending on the market and the instrument being traded. In a trending market, a shorter lookback period, such as 20 days, may be more effective. In a range-bound market, a longer lookback period, such as 100 days, may be more appropriate.

The Importance of Backtesting

The only way to determine the optimal lookback period for a given market is to backtest different values of N on historical data. This will give you an idea of which value of N has performed best in the past. However, it is important to remember that past performance is not indicative of future results.