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Strategies & Market Trends : ajtj's Post-Lobotomy Market Charts and Thoughts -- Ignore unavailable to you. Want to Upgrade?

To: Qone0 who wrote (82151)	10/18/2023 5:48:09 PM
From: Sun Tzu	Respond to of 97597

I've done that. The perfect bar size is very much algo dependent. The smaller bar sizes produce more trades and theoretically more profits. HFT firms pay extra to NYSE have their servers closer to the exchange servers. To ensure fairness amongst the top trading firms, the exchange actually measures the distance in feet and adds extra cable loops to ensure that signals from all firms arrive at the same time. Anyways, back to the subject - the more trades you do, the more slippage and mistakes. At some point the noise overwhelms your algo and the percentage of bad trades goes way too high. At the moment, for my algos, the best timeframe is measured in hours. Which should suite a human user just fine. The algo remains profitable all the way down to 3 minute bars. But below that it becomes a crap shoot. However, I think I know who to improve on this. The other consideration is the drawdown amount. The longer bars produce bigger drawdowns. Hypothetically, if you were trading on a weekly chart, imagine how big of a drawdown you could have until the moving average changes or it moves up and down a fib. On the other hand, the longer the time period, the smaller the mistake. Anyone who bought in March and April of 2020 is a winner. It doesn't matter which week of the month they bought. So it is an optimization between the amount of drawdowns vs the number of bad trades. I am working on improving these parameters, but it is not my top priority. It is already averaging ~2.5x alpha. That is an incredibly high amount.