wonder why my successful end-of-day algorithms just don’t do well on 30-minute or hourly data. Anyone with same experience or thoughts?
6 days ago
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in my opinion, successful EOD algorithms normally translate well into intraday trading strategies as far as defining the LONG/SHORT channels, that’s about all I can say without knowing what algorithms are used and how you apply them at the 30 minutes level.
Thank for posting this discussion and good trading
From my experience, EOD can do well using particular models that might not work well for intraday trading in many cases. The reason could be that EOD movements based on daily averaged evaluation of all inputs during a long period while intraday decisions are driven by each news input and fast traders technical signals. So that there are some methods that work better for EOD, others for intraday
When you move from EOD to M30 or H1, not everything “scales down” appropriately. In equity markets [as opposed to forex], each and every daily bar starts at a discontinuity from the previous day’s bar. For intraday bars, however, there is a discontinuity every 7/17/etc. bars. Can you algorithms handle these properly?
Also, while the difference between a day’s close and the next day’s open remains the same in dollars, it is much larger (for hourly bars) in terms of average bar size (e.g. ATR). Finally, commissions and/or spreads may now “eat up” more of your trade size (read: profit), taking away from gains
Momentum has a larger influence in EOD trading as compared to day trading. While some systems can handle both time-frames, I haven’t found any one system that does both well.
When you increase trading frequency, you usually do more trades and have better trading statistics but you are more influenced by micro-effects (execution) and most of all bid-offer spread versus volatility of pricechange. If your strategy changes positions a lot intraday, this bid-offer versus volatility is critical.
Thank you all for your thoughts on this. I don’t think there is any significant inconsistency among your comments. I suspect the issue of momentum signals being more effective in EOD trading than intraday trading is the essence of it. My successful EOD systems depend heavily on momentum. You can see them at www.MyTechTrades.com I will modify the systems to depend less on momentum statistics for intraday versions that I will test. Thanks again.
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