regime switch

Discussion in 'Strategy Building' started by man, Mar 15, 2007.

  1. man

    man

    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.