I'm testing a version of the low pass strategy from Workshop 4 and noticed that I get entirely different results when I use TimeFrame=1 / BarPeriod=240 vs. TimeFrame=4 / BarPeriod=60.

Here are the results for TimeFrame=4 / BarPeriod=60:

Quote:
Run Test Script..
Walk-Forward Test: Test Script EUR/USD 2002..2013
Read Test Script_1.par Test Script_2.par Test Script_3.par Test Script_4.par
Profit -35$ MI -1$ DD 176$ Capital 147$
Trades 15 Win 47% Avg -30.6p Bars 251
AR -5% PF 0.81 SR -0.12 UI 81.5% Error 117%


And here are the results for TimeFrame=1 / BarPeriod=240:

Quote:
Run Test Script..
Walk-Forward Test: Test Script EUR/USD 2002..2013
Read Test Script_1.par Test Script_2.par Test Script_3.par Test Script_4.par
Profit 115$ MI 2$ DD 136$ Capital 122$
Trades 25 Win 32% Avg +60.3p Bars 142
AR 22% PF 1.47 SR 0.25 UI 27.2% Error 98%
Time 00:01:48


As you can see, a considerable difference. Why would this be?

I trained each version separately, and the only change in code is the TimeFrame/BarPeriod. Am I missing something?

Here is the code for the strategy:

Code:
function tradeTrend1()
{
	TimeFrame = 4;
	vars Price = series(price());
	vars Trend = series(LowPass(Price,optimize(1000,500,1500)));
	vars Signals = series(0);
	
	Stop = 10*ATR(20);
	TakeProfit = 10*ATR(20);
	Entry = -20*PIP;	
	if(valley(Trend)) {
		Signals[0] = 1;
		if(Sum(Signals+1,4) == 0)  
			enterLong();
	} else if(peak(Trend)) {
		Signals[0] = 1;
		if(Sum(Signals+1,4) == 0)
			enterShort();
	}
}

function run()
{
	set(PARAMETERS+TICKS+TESTNOW);  
	set(LOGFILE);
	BarPeriod = 60;	
	LookBack = 500;	
	StartDate = 2002;
	NumWFOCycles = 5; 
	
	if(ReTrain) {
		UpdateDays = -1;	 
		SelectWFO = -1;	
	}
	
// portfolio loop
	while(asset(loop("EUR/USD")))
	while(algo(loop("TRND")))
	
	{
		
		if(strstr(Algo,"TRND") and strstr(Asset,"EUR/USD"))
		tradeTrend1();
	}
	
	PlotWidth = 600;
	PlotHeight1 = 300;
}

http://www.myfxbook.com/members/bfleming/z12/658133