Subject: Re: look back period
The most effective look back period for relative strength is proportional to the forward holding period.

This implies that for the canonical monthly hold the best look back would be four weeks. That certainly hasn't been my experience over the years.

In time series statistical analysis, the rule of thumb is that you can predict with some reliability one-fourth to one-third of the time frame for which you achieve stationarity on the past (stationarity: jargon-speak for getting a stable pattern from the data). Thus, if you have a statistically reliable pattern over 12-month intervals, you can reliably predict 3-4 months into the future.

Eric Hines