Guys, thanks so much for your responses. I wasn't expecting so many to be honest. I've learned so much from those replies. Thanks!
newbie003: We have a short article dedicated to the topic of picking the right indicator's parameter. It can be interesting for you: How to choose the period for indicators
While I applaud at least this effort to *notice* a difference of performance in trading off of signals from indicators of varying periodicity, but I have to observe too, that by looking at *performance*, the horse is already out of the barn -- the damage is already done. Better is to actively measure the periodicity of the market, and compare it to the [chosen] periodicity of the indicator/[signal-generator], and to minimize that figure. The performance will *follow* that. This difference-minimization can be dynamic itself (or at least, repeated in the time available), such that the resulting system can respond to differences in market behavior.
The person whose done a lot of work in measuring market periodicity is John Ehlers, with his MESA and autocorrelation periodogram algorithms. I have not done much investigation with either method, so I can't speak directly to performance. They are interesting ideas, however I suspect that they don't lead to superior outperforming indicators.