The training period I keep to 3 months and haven't really moved much since initially trying things. A month or less and the model is overfit and useless, too long and it's not working with current data.
The prediction/"hold time" changes absolutely make a difference. I was running on litecoin and found about an hour to be the sweet spot.
> days versus seconds
Seconds would be useless because you can't trade that fast - minutes is what I use.
Even if accuracy increases with a hold time over days, the average trade value doesn't go up nearly enough to make up for the trade frequency of the minutes/hours level. Why make 3 trades per week with an average value of .5% when you can make 4 trades a day for an average value of .15%? The compounding of that frequency works wonders, and that 4 trades a day for .15% is what I was actually hitting for a few months.
For the record, I do also compare to both naive buy/hold over the training period and the average trade value for the period for all times (different than the buy/hold time because I have a profit lock-in threshold for individual trades, also tuned with genetic algorithms), and the model outperforms both still.
The model is still predicting positively but the average trade value is shrinking + market thinning hence why it was breaking even recently until shut down.
