Choosing a data timeframe is important insofar as it should be reflective of the type of trading you want to do. There isn't much point to looking at 10 years of data if you're going to day trade. Similarly, testing minute bars gets you caught up in the noise if you're trading monthly options. Many aspects of your trading are affected by your tick interval, from your holding period, how much edge you're trading for, how much slippage you can endure, even how vigilant you're required to be while looking for/managing a trade. Furthermore, while testing a particular strategy on a particular set of symbols may not lead to meaningful results, testing the same strategy on the same symbols in a different timeframe may lead to the actualization of a tradeable strategy.
Even ticks in the same data set are not built equally, nor are they inherently equal in informational value. Day traders are keenly aware that early morning ticks are where there is more action and more market participation to exploit, whereas mid-day drifts may not be substantiated with the requisite volume to justify the move. Traders of European futures know to take heed of the US market open as new players entering the global market will undoubtedly affect their trading as well. While they may make use of 15 minute or hourly charts, the only ones which may provide actionable signals may only be around the US open.
Oftentimes it's useful to look at multiple timeframes at once. While a trade setup may look promising in one timeframe, a different timeframe may lead you to the opposite conclusion. Therefore, many traders verify their signals on multiple timeframes before pulling the trigger. While looking for signal verification may be one use-case for multiple timeframes, different timeframes may provide us with a directional bias regardless of the signals we use to make our trade. Perhaps I'm a day trader reading the tape and looking for volume to jump in on. This doesn't preclude me from having a directional bias based on some kind of statistical analysis on a larger timeframe. Perhaps the stock has diverged downward from its mean and that historically it has converged back to its mean within a few days quite regularly. I may use this information to only day trade long this particular day.
Choosing how far back we look at testing our strategies is also an important consideration. I've heard of countless strategies backtested for 100 years. That "may" be valid if you're looking to hold for decades, but that's not relevant for our trading purposes. Markets change, they evolve, relationships coalesce or break down. What has worked in the past will eventually fail or become completely efficient rendering it untradeable. If we want to ensure longevity in the market, our testing window needs to be a sliding one ... we need to continually search for those opportunities as they arise and discard strategies which no longer show promise. A good way of achieving this is to cast a wider net. The more assets and timeframes we can filter through, the more trading permutations we can process, and the greater our opportunities. Many traders ask which asset class they should trade...stocks? Options? Futures? Crypto? While there are logistical differences among them such as margin, tax implications, and regulatory considerations, the fact that these assets are related gives rise to the possibility that there are statistically compelling reasons to trade them against each other.
Our choice of timeframe also dictates how much noise we want to see. Many traders make a living on that noise. For others, it's just a nuisance which masks what they consider a "real" move. A valuable way of looking at charts is to not take what we see at face value. While charts clearly have a purpose and value, they may give a false sense that we get what we see. We can slice and dice that data in an infinite number of ways. We can split or join that data in an infinite number of ways. Markets don't trade linearly...a minute of trading at noon doesn't have the same market participation, volume, or impetus as the last 5 minutes of the day on expiration Friday when banks are cleaning positions. To look at a linearly timed chart and believe it tells the whole story is foolish. Finding creative ways to reinterpret that data to more accurately reflect the ongoings of the market can lead to greater insights and opportunities in any market.
