<t>This is slightly echoing Blades final paragraph of first post, but I'd think of looking at ways you optimised your model. If you're struggling to reduce drawdowns to an acceptable level then look back at how you optimised, can you optimise with greater efficiency? You're idea is sound if it makes...

<r>This paper discusses using fuzzy momentum analysis for HFT order routing. Might not be what you're looking for.<URL url="http://www.iaeng.org/publication/WCE2010/WCE2010_pp352-357.pdf"><LINK_TEXT text="http://www.iaeng.org/publication/WCE201 ... 52-357.pdf">http://www.iaeng.org/publication/WCE201...

Solution: On the off chance another student comes across this same problem - be careful with historic CDS data, some may be rather illiquid therefore price constant, thus not good in a model for volatility.

<t>Im creating a model for volatility of shares prices using EGARCH(1,1) in Eviews.My mean equation is: Share Price = C + CDS Price (cds price as a proxy for %sool data - as my investigation relates to the short selling ban)When running tests for statistical significance most of my results are good....