hey guys... having a great time with ninja trader optimizations, system design, etc. Anyone out there with auto system trading experience perceive the varying performance on the same system on different time frames as a weakness or inevitable reality of system design? I did a little form fitting, and designed my scalp/intraday system around a 3 minute time frame. It performs well with the same parameters (not as well, though) with 8-10 minute, 15 minute ... but certain zones are weak. and curiously enough a 180 second (=3 minute) reveals flat performance. does this tell anything? I assume intuitively that time frame fitting has more to do with capturing the speed of movement and volatility that a market's mood is currently in. Correct? so should this be of any concern to the idealists who say perhaps a great system should be able to work across different time frames with similar parameters? just casually thinking about it, to me it makes sense that a system that works on 3 minute bars will fail on 20 minute bars since entirely different profit targets, stop loss sizes, and movement ranges usually occur on those varying time frames. any *constructive* comments?
=========== Scri; Who says''should be able to work accross[ many or all]different time frames""?????More comissions/slippage/emotional baggage for sure on 3 minutes than 60 minute candles. And scalping/trading co usually uses shorter time frames than 3 minutes. And maybe a few; but don't know many system/discretionary traders that coinsistantly use 3 minute charts .Mabe fine for entry, 3 minute charts; 5 minute charts work well for occasional entry
i don't know if I see the point. 3 minute charts have entirely different risk/reward profiles than 60 minutes. you scale your strategy to meet them. are you intraday on a 60 minute chart? must say that i am working on an autotrading system with regards to this. my plan is to tweak and evolve my settings as the markets change (over days/weeks/months). The monitoring and participation aspect will be easier to achieve than a manually traded system, of course. on a 3 minute, it would be acrobatic to trade more than 1 to 3 instruments simultaneously while seriously adhering. I've attempted to trade like this discretionarily, and you are right ... difficult to manage and easy to let things slip by on more than an instrument on such a short time frame.