Is short term trading more profitable than long term trading? (with short term and long term I mean the holding period) I know this has been discussed before, I've read all posts regarding this issue but I want to put it on a more scientific base. First I have to make some assumptions. "More profitable" would mean that other things being equal the trader should be able to make higher returns with the same portfolio volatility (the same risks) or the same returns with less volatility (smaller risks). I will ignore commissions, slippage and liquidity problems. I will assume that the trader has the same level of skills in all timeframes (he is as good to recognize and act on a pattern on a daily chart as on a 5-min chart). What if we backtest a strategy in different time frames (day trade, swing trade, position) and adjust the position size so that we get the same volatility (I am not sure if this is a valid way of measuring the portfolio risk), what results are we going to get ? Are there other factors here that I am missing? I have the feeling that shorter term trading would yield higher returns given the same risks. But I find it too complex to prove mathematically.