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So the short answer is yes.

The data represents [well actually is] different economic/political/regulatory/monetary/etc environments.

Are you:

(a) the past, as an echo will re-emerge at some point; or

(b) the current environment is the most important [for the model] type of chap; and

(c) do you model volatility in any shape or form as 'out of sample' or 'in sample'?

The impression I get, is that your system is LONG only. Would that be correct?

jog on

duc