My experts' outcome depends a lot on applied time frames

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Dear all,

I got interested in trading several months back, did some reading on it and realized that algorithmic trading is the way for me to go since I have a full time job and am reasonably skilled in computer programming.

I picked MT5 since it is close to C++, a language I am familiar with.  Since the beginning of my venture in MT5 programming, I developed five strategies based on some basic principles, such as a moving average, double and multiple moving averages, Donchian channels, RSI, candlestick pattern recognition and combination of them all, so I am playing with very basic stuff.

All of the experts I developed show some potential on historical data, which I use to tune their parameters and to get more acquianted with risk management, but all of them have a common negative characteristic: they are doing fine if I run them over one-year period with H4 time frame, but all of them fail miserably if I change the time frame to M30, M15, not to mention below that.  (For H2 and H1 they are still profitable, as well as for H8 and above.)

The main question which is bothering me is: why on earth would all of them systematically fail if I reduce the time interval to less than an hour?  Shouldn't the fractal nature of the price changes make it irrelevant which time stamp you use in your trading?  Is it maybe the comission taken by the broker eating all the profits if trades are hapenning too frequently?  Should the risk management be differently adjusted for different time frames?  (Risk management is one thing I do the same for all the experts.)  Am I simply stupid to expect something out of algorithmic trading and short time frames, maybe the short time frames are best suited for daily trading and scalping and I better just leave them aside?

I could carry as I do now, on comforting myself by the notion that my experts work fine over longer periods of time with time frames in hours, but I would like to understand what is going on?  Why would the same expert perform great over a year of trading with the H4 period (still good with H3 and H2, acceptable with H1), but fail miserably over the same period if time stamp was reduced to M30, let along going to even shorter time frames?

Any advice would be highly appreciated, as well as a pointer to relevant literature or some thread discussinga similar issue?

Best regards,
Bojan

 

That is just the nature of the markets. Higher-time-frames and lower-time-frames behave differently.

Strategies that work well on higher time-frames, might fail on lower time-frames and vice verse.

Also, on the lower the time-frame, spread and slippage have a higher impact on the results.

 

Thanks a lot Fernando


Fernando Carreiro #:

That is just the nature of the markets. Higher-time-frames and lower-time-frames behave differently.

Strategies that work well on higher time-frames, might fail on lower time-frames and vice verse.

Also, on the lower the time-frame, spread and slippage have a higher impact on the results.

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