Quote from Shankar:
I would never trust a system that I didn't test myself. I don't think there is a big difference between intra day system and end of day systems. Neither do I think that you have a lower risk and make higher profits with intra day systems. Intra day trading is just made up by the intra day data vendors and the brokers of course.
I think there are several key differences between intraday and EOD, specifically the way money flows into the markets and the volatility during these times. Also, the effectiveness of trend following systems on an intraday basis is much less due to the nature of reversals at extremes that are much more pronounced intraday than on daily charts. Try it for yourself- test trend following methods on daily vs. 5m, 15m, 30m, 60m and compare the greater whipsaw results you see intraday.
With regards to risk/reward, I believe intraday offers more reward potential because you have a larger # of trades available. Swing trading the index futures you may do 4-5 RT a month, vs. 4-5 RT's per day depending on your method of course. This allows you to crank that positive expectation wheel in your favor more often. The net result is more trades in given time period resulting in more profit and smoother equity curve.
You also get more leverage intraday which by itself can be beneficial (if used properly), but also allows for diversification which many people overlook. I can trade 3 different methods intraday simultaneously on 3 related markets for the same equity I'd use for an EOD method to take a single position. Assuming all 3 methods have a positive expectation by themselves, combining them smoothes out the equity curve, resulting in greater return-on-risk.
Finally, for intraday traders that exit all positions at close, the peace-of-mind can't be beat.
