adaptive systems - how to define appropriate time windows ?

[rudolf stricker <lists@xxxxxxxxxxx>]

List,

using an adaptive system for day-to-day  trading of DAX options, I
wonder, which criteria might be helpful to define  "the best"  time
window to deal with ... Presently, I use a 5 years window, where the
rating criteria to select an appropriate system are weighted something
like exponentially over time. 

But at these rapidly changing markets, I get some unsatisfactory
results: While my system shows nice results e.g. for long puts over
the last year or so, this potential couldn't be used: my money
management (based on 5 years) nearly stops me out from trading these
system results, because the strategy working well for the last year
doesn't show good results for at least some of the years before.

So my questions are:

What time period may be appropriate to construct a(n adaptive) trading
system for a given equity?
What criterions (to read from the equity's historical data) could help
to define "the best" time period?
What other aspects may be important to define an appropriate time
window?

Any hint is welcome ...

mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.