Hi Jcl,
I just posted it if you want to take a look
here, note that this is a preliminary analysis on EUR/USD daily data. It shows that while small lag systems do have an advantage regarding a probability of OS success, long lag correlations do not constitute a certainty of OS failure (this could be unique to the EUR/USD, I don't know yet).
I also mention how you could potentially have a long term lag that has a causal relationship. For example if a non-speculative market player makes systematic moves across fixed time intervals.
I will run a more complete analysis on this matter and will publish it in a few weeks when it's ready (when I have more data around different symbols and larger numbers across larger/smaller lags). A more complete analysis is needed to really draw some conclusions.
For the global trading strategy, I would indeed be inclined to examine it further. Perhaps this persistent long-lag and long-lived correlation across several symbols is a consequence of something else, that can be expressed in a less odd manner.
Thanks again for visiting my website :o)
Best Regards,
Daniel