At what time frequency should we trade?
We choose to trade daily, that is to evaluate daily whether or not to trade.
Trading minute-by-minute or hour-by-hour is much harder:
- Information is not available as fast as it is to professionals.
- Professionals can execute trades faster.
- Intra-day historical data is scarce or expensive.
But for weekly or monthly trading:
- Patterns in low-frequency data are unlikely to be statistically significant.
- Other high-quality work has found only small profit opportunities in monthly data.