Has anyone experienced same system but different results in different time frames?

As a rule of thumb, in most markets:

Multi year horizon: Mean reversion eg outperformance of value stocks
Multi week to 1 year horizon: Momentum (Most CTAs play in this field)
Multi day horizon: Mean reversion (stat arb)
Multi hour horizon: Momentum (see the published work by Soc Gen quant team)
Multi minute horizon / multi second horizon [I haven't analysed this region, but I'd expect the same pattern]
Sub second horizon: Mean reversion (buy low sell high - bid ask bounce, market making, HFT)

Rob

 

Insightful, do you have a link to the SocGen piece? Thanks

 

I don't think it's public, but it's this index https://sgi.sgmarkets.com/en/index-details/TICKER:SGIDTES/

GAT

 

So they did not publish it in public domain? Wondering, as I pride myself in following this space very closely and I usually would come across such paper.

 

Interestingly it topped out last April.