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> >> In addition, the "20 min. out of phase phenomenon", if it exists,
is fully taken advantage off with a system based on an interval of 20 or
fewer minutes.<<
>
> I disagree. A system trading on hourly bars probably uses different
tactics than system on 20-minute bars. Their decision rules and/or
parameter settings are not likely to be the same. And even if the rules
and settings were exactly the same, they would likely not produce the
same trades.
My take on this phasing research is that by 'turning the dial' they
zeroed in on an event that is masked or filtered out by the 1 hour
duration of their system. By going to a system with a shorter duration,
say 5 min., you will never be more than 5 min away from the trigger
event. Granted the original 1 hr system, when optimized for the 5 min.
time period may not work, but others certainly will. It seemed to me
that what was going on is a recognition that the top of the hour
approach they were using had too much lag and/or was not sensitive, as
would be expected, to tradable events that occurred within the hour.
This "time of trade" is interesting and I've just looked over the in and
out time of my last 50 or so trades and they clearly cluster within 10
minutes on either side of the top and bottom of the hour.
Glenn Suprenard
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