Getting out of winning positions too early is one of the most common mistakes when trading trend following systems.
Prices never go straight up; therefore it is necessary to let the prices go against you if you are going to ride a trend. Early in a trend this can often mean watching decent profits of 10%-30% fade to a small loss. In the middle of a trend, it might mean watching a profit of 80%-100% drop by 30%-40%. The temptation to lighten the position to "lock in profits" can be very great.
The Turtles knew that where you took a profit could make the difference between winning and losing.
There is a very strong tendency to want to exit earlier. It requires great discipline to watch your profits evaporate in order to hold onto your positions for the really big move. The ability to maintain discipline and stick to the rules during large winning trades is the hallmark of the experienced successful trader.
System 1 Exit was a 10-day low for Long positions and a 10-day high for Short positions
System 2 Exit was a 20-day low for Long positions and a 20-day high for Short positions.