hi everyone, i want to get started in studying overall conditions for certain tradign styles. i have three different trendfollowing futures strategies at hand. avg holding period 15, 45 and 270 days. now i want to identify which should do better in which environment. i want to set up one regime indicator. that shall be set up out of stock indices, bonds and oil. my first thought is to try to cointegrate them and i would expect that usually you do not find convincing cointegration, but once you do you know something is "going on". the idea is that at critical times, and hopefully some time in advance the relations between the single time series become more intense. has someone spend time on such thing, given it some thought? thnx for your comments.