Most used time frame for automated strategy?
- Thread starter Traber
- Start date
You might want to look at the studies and datasets done by Kenneth French. The main difference between his successul momentum and reversion factors is time.
Also, I remember reading on another site a post by an extremely succesful trader/developer well known to elitetraders that indicated that, for equity futures, his research suggested the following time frames had the following characteristics:
- ultrashort timeframe (seconds to a minute or two) - mean reverting - (think scalping or marketmaking)
- intraday (3 minute bars to 60 minute bars) - trend following (i.e. think ORB)
- Days to a weeks or two - Mean Reverting (i.e. - a really short period RSI system)
-weeks to months - trend following (i.e.- the Turtle Strategy).
Hope this helps. Just don't take this for truth, research it yourself.
Also, I remember reading on another site a post by an extremely succesful trader/developer well known to elitetraders that indicated that, for equity futures, his research suggested the following time frames had the following characteristics:
- ultrashort timeframe (seconds to a minute or two) - mean reverting - (think scalping or marketmaking)
- intraday (3 minute bars to 60 minute bars) - trend following (i.e. think ORB)
- Days to a weeks or two - Mean Reverting (i.e. - a really short period RSI system)
-weeks to months - trend following (i.e.- the Turtle Strategy).
Hope this helps. Just don't take this for truth, research it yourself.
For Automated / Robotic stock trading, all of these timeframes are used. My automated strategies use longer term indicators to determine which stocks to watch for potential trading candidates, and it uses much smaller indicators (real-time prices - bid/ask/last) for the actual buy indicators.
My trading system has separate tabs for building the watch list rules, open position rules, add to position rules, exit position rules, profit goals). Makes it real easy to create solid / complete strategies and to fine-tune each aspect of the strategy.
Ed
1. Many people use time-compressed bar charts.
Just because many people use it doesn't mean you should use it too. What to think about is how to manipulate the people who use the time-compressed data for your profits....
1 is a common denominator for all whole numbers.
2 is a common denominator for all even numbers.
...
...
...
Just because many people use it doesn't mean you should use it too. What to think about is how to manipulate the people who use the time-compressed data for your profits....
1 is a common denominator for all whole numbers.
2 is a common denominator for all even numbers.
...
...
...
Where is this from:
- ultrashort timeframe (seconds to a minute or two) - mean reverting - (think scalping or marketmaking)
- intraday (3 minute bars to 60 minute bars) - trend following (i.e. think ORB)
- Days to a weeks or two - Mean Reverting (i.e. - a really short period RSI system)
-weeks to months - trend following (i.e.- the Turtle Strategy).
?
Did Kenneth French do work on this?
- ultrashort timeframe (seconds to a minute or two) - mean reverting - (think scalping or marketmaking)
- intraday (3 minute bars to 60 minute bars) - trend following (i.e. think ORB)
- Days to a weeks or two - Mean Reverting (i.e. - a really short period RSI system)
-weeks to months - trend following (i.e.- the Turtle Strategy).
?
Did Kenneth French do work on this?
As I said, I'm paraphrasing a post I remember reading a few years ago by a very well known trader here on ET. The examples were my additions. FWIW, I can attest to this as well (in my own experience at least).
French did not directly write on this, but much about timeframes can be inferred from the results of his historical strategy tests. I encourage you to look into this yourself.