I have thought about this concept and done some testing with it. It seems to make alot of sense. However, as you trasition to a longer time frame (such as intra day to multi day) you also open up a new level of risk, such that if u had an intra day (5min, 3min) sized position on, you would be quite vulnerable to price shocks (at least if you step up the size on intra day trades, relative to multi day trades).
For example one shorter term system i have tested is based on a combination of gaps and ORB. It would have have been crushed by, say, the limmit down days in cattle a few months back. or, with a stock, an overnight earnings/accounting warning.
As a few have mentioned here, i think at least for me as the higher time frame is triggered, it makes sense to transition to the smaller position warented by the longer term risks, rather than maintaining the intra day size. Some may not step up size on an intra day trade, so perhaps this is a non issue.
Another idea is, even with these small initial risks, to spread the best over many markets, to mitigate the impact one price shock would create. however for the individual trader this may create some management issues, ie to many things happening at one time.
Mark Fisher said Tudor Jones has a note posted to himself that says "maximize size, minimize risk" at his trading desk. That seems to be what this concept is all about.
Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.