I had a similar journey into smaller time frames and now I am back out to the longer time frames, mostly because of the better quality signals that you can get and less need to monitor markets.
Lots of noise in the smaller time frames and unless you can write a program to beat the computers you would have to be in the top 0.00001% of people globally that can short term trade consistently over long periods of time without the advantages that technology has to offer.
A good place to start is knowing what kind of return you want. You made an interesting point about 20% ROI.
The top fund managers in the world make between 16% and 20% per annum over lets say 20 years. These are the absolute top people, so if you find a fund that can return 20% compounded, or have a long term system that returns this well you are doing extremely well.
Trading is a different kettle of fish altogether. Some of the best trading records are posted on the robbins trading championship website. There are some phenomenal individuals that can return >200% per year fairly consistently, but they are freaks of nature, and Larry Williams controversial performance of 11000% return in 1987 was never replicated, adding to suspicion that it was rigged somehow. There seem to be some other performs that get good returns over the year, but they are total trading freaks.
IMO short term trading can be a good hobby, but to make money using a discretionary trading system is extremely difficult.
