I have a trading system based on Machine Learning which is trading 8 symbols intraday. From the results I found out that some weeks of trading are successful for some symbols, then it usually switches to unsuccessful next week for previously successful symbol. At the same time another symbol which was unsuccessful previous week start to be successful this week.
As an explanation to this phenomenon it comes to my mind that the underlying symbol series switching from stationary to non stationary and vice versa.
So my question is: did somebody tried intraday (1 min data) stationarity test on FOREX or S&P ??? I believe such test should be'data window based' with sliding window than what would be a size of such window ???
What method would be the best for such test (DF, ADF, KPSS ) or other ???