Has anyone experienced same system but different results in different time frames?

HolyGrailSeeker said:
I have a system on the daily candle so far has been profitable for a few years. I used the same exact system on the minute candles. (I had back tested it to have an edge on lower timeframe too, but when I actually use it in real life I kept losing a lot).

I know it could just be a very bad losing streak, but when I think about it could it possibly be that my stop loss is tighter and I'm stop hunted? In the daily timeframe stop loss is much further so it's unlikely for me to be stop hunted. That's the only logical conclusion I came to besides a disastrous losing streak.

Has anyone experienced something like that? Should I just go back to being a longer term trader/investor?
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As a rule of thumb, in most markets:

Multi year horizon: Mean reversion eg outperformance of value stocks
Multi week to 1 year horizon: Momentum (Most CTAs play in this field)
Multi day horizon: Mean reversion (stat arb)
Multi hour horizon: Momentum (see the published work by Soc Gen quant team)
Multi minute horizon / multi second horizon [I haven't analysed this region, but I'd expect the same pattern]
Sub second horizon: Mean reversion (buy low sell high - bid ask bounce, market making, HFT)

Rob
 
Insightful, do you have a link to the SocGen piece? Thanks


globalarbtrader said:
As a rule of thumb, in most markets:

Multi year horizon: Mean reversion eg outperformance of value stocks
Multi week to 1 year horizon: Momentum (Most CTAs play in this field)
Multi day horizon: Mean reversion (stat arb)
Multi hour horizon: Momentum (see the published work by Soc Gen quant team)
Multi minute horizon / multi second horizon [I haven't analysed this region, but I'd expect the same pattern]
Sub second horizon: Mean reversion (buy low sell high - bid ask bounce, market making, HFT)

Rob
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