Shorter timeframe = lesser profits

[mtardif]

Hi,

I've been playing around with various timeframe-related strategies, and so far it appears to be that signals based on the longer timeframes generate more profits in the long run.

For example, if I program a strategy firing off positions based on the M15 chart aligning with the long-term trend based on H1, I can get OK profit. But if I take the same strategy, instead firing off positons based on the daily chart aligning with the long-term trend based on the weekly chart, I get 4 times the profit. I would have thought that the shorter timeframes would generate more profit because they would generate more signals.

Can anyone confirm or deny my suspicion that signals generated from longer timeframes generate more profits in the long run, as opposed to the same signals generated from shorter timeframes? Is there some kind of "mathematical law of the markets" that favours the longer timeframes? Is there anyone out there getting more profit from shorter timeframes than the longer ones?

[atlaya]

Hi mtardif,

What say the backtest?

Greatings...

[mtardif]

Originally Posted by atlaya

Hi mtardif,

What say the backtest?

Greatings...

Let me rephrase.

I've been playing around with various timeframe-related strategies, and so far in my backtests it appears to be that signals based on the longer timeframes generate more profits in the long run.

For example, if I program a strategy firing off positions based on the M15 chart aligning with the long-term trend based on H1, I can get OK profit. But if I take the same strategy, instead firing off positons based on the daily chart aligning with the long-term trend based on the weekly chart, I get 4 times the profit. I would have thought that the shorter timeframes would generate more profit because they would generate more signals.

Can anyone confirm or deny my suspicion that signals generated from longer timeframes generate more profits in the long run, as opposed to the same signals generated from shorter timeframes? Is there some kind of "mathematical law of the markets" that favours the longer timeframes? Is there anyone out there getting more profit from shorter timeframes than the longer ones in their backtests?

[derrekmay]

They generate lager profits because you keep them longer with you.
If you are using an expert advisor then you will have smaller profits but more orders in a shorter timeframe.

correct me if I am wrong.
I'm still a newbie..

[bossxero]

I will add one more term to the equation...

Shorter timeframe = lesser profits = more stress

[Ravique]

It depends on the system, but in most cases I think that larger timeframes bring larger profits. First of all it is a historical fact, probably came from the stock market, things can change in the years to come, due to growing popularity of day trading. Market changes with the people, and people more and more like daytrading.

Second, there is a law, the lower your risks are, the lower your profits are. It you have a system using the same ratios ( rations, not exact figures) for SL and TP then the ammount of capital you risk on smaller timeframes is smaller the the one you risk on a large timeframe, ergo the profits are smaller.

Having more positions could make your system more profitable, again, it depends on the system. For example one system could generate 2+3+1 for a week on a small timeframe chart, and in the same time it could generate 10 for the same time on a daily chart.

So once again, depends on the system, and there is no rule expept this one.

[mrgreen]

This was wriiten over 80 Years ago - One of, if not my favorite trading book. I literally listen to parts of this at least once a week on my commute to work

And that is precisely what I did, or rather what I tried to do; for I often took profits and waited for a reaction that never came. And I saw my stock go kiting up ten points more and I sitting there with my four-point profit safe in my conservative pocket. They say you never grow poor taking profits. No, you don't. But neither do you grow rich taking a four-point profit in a bull market
<<snipped>>
And right here let me say one thing: After spending many years in Wall Street and after making and losing millions of dollars I want to tell you this: It never was my thinking that made the big money for me. It always was my sitting. Got that? My sitting tight! - Edwin Lefevre - Reminiscenses of a Stock Operator.

Markets change, but people stay the same. Do some reading on the Dutch Tulip markets of the 1600's - does any of that sound familiar with events of the last 25 years.

[derrekmay]

Originally Posted by mrgreen

This was wriiten over 80 Years ago - One of, if not my favorite trading book. I literally listen to parts of this at least once a week on my commute to work



Markets change, but people stay the same. Do some reading on the Dutch Tulip markets of the 1600's - does any of that sound familiar with events of the last 25 years.

Hello that's a great qoute!

You are correct the market changes allot, but people also addapt a little bit
to those market conditions.
The ones that can addapt the fastest are the ones who generates the biggest amount of money.
I strongly believe that the pchycological aspect of the market is the most important.

[mtardif]

Below are results showing trades taken based on oversold/overbought levels on daily chart aligned to trend on weekly chart. Pretty darn good. But using the same strategy on a M15 chart aligned with trend on H1 or H4 chart just doesn't yield anywhere near the same results, only 1000$ for the same period at best.

[bossxero]

Originally Posted by mtardif

Below are results showing trades taken based on oversold/overbought levels on daily chart aligned to trend on weekly chart. Pretty darn good. But using the same strategy on a M15 chart aligned with trend on H1 or H4 chart just doesn't yield anywhere near the same results, only 1000$ for the same period at best.

Interesting.... Would be good to open another thread for discussing this strategy