In contrast, my new S&P 500 setup is always either long or short. It turned out that after looking at a few million potential setups, the most statistically robust one was based on the commercial hedgers alone. (My previous SPX setup relied on both the commercial hedgers and the small traders.)
I picked two weeks as my max because of my natural gas trading setup, which has achieved a 106-percent profit since I started trading it in mid-2009 while gas prices exploded and then collapsed in the same period. My gas setup uses signals with one- and two-week trade delays. You can't argue with that kind of success.
I then use a few Excel spreadsheets I've laboriously developed over the years to re-analyze the best of those, check other setups I come up with through other processes and run tests of robustness, such as Monte Carlo testing and one of my favourite testing procedures, walk-around testing, which compares how the setup performs against "neighbouring" setups with slightly varied parameter values.
See my FAQs page for more details on my backtesting process.