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I've written briefly about work I am doing on shorter timeframe trading and other instruments than the typical weekly/monthly cycles in stocks we look at here. This is an area I am still working on. Recently I read an article which summarized some results from the Automated Trading Championsship from 2006:

Although the article is pretty old, I still found the following quotes interesting:

As we can see from the graph, the most profitable expert advisors make relatively few trades. At the same time, the experts from the last groups make many trades. In other words, the more trades the expert makes, the more losing this expert turns to be. For example, experts from the first group make averagely 25 trades monthly. Experts from the most losing group, group 10, do about 200. So it is not necessary to open many trades to make your Expert Advisor really profitable.


We can see from this graph that the most profitable experts have the maximal position holding time, which makes approximately 60 hours. And vice versa, the losing experts have the minimal position holding time, which makes averagely 15 hours. This means that profitable expert advisors close losing positions later than losing experts.

This competition typically traded in currency pairs using technical data (price only I guess, although the strategies were probably tuned using time of day statistics, volume and volatility data), but at least it demonstrates that for certain types of day trading, finding a good entry and hanging in there may be more valuable than betting on really short term trends with a tight stop loss.

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