Is There a Relationship Between Look Back Period and Average Holding Period?

I would say probably of the 22 year observations, I would say about 15 or so probably is around the 200 day mark. And then you have a few other ones that are probably sort of 75 to 100 days. Anyways, there seems to be a clear gravitation towards longer term time frames in terms of look back period. So it didn't really matter whether you were trading 50 days or whether you're using 200 days, it did not make a difference. It's just that 50 days was the perfect pick. But for this kind of moving average stuff, a two month look back corresponds roughly to one month holding period.

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