Thank you for the answers. For the last question I failed to express myself clearly enough. What I meant with "the lookback period for calculating the return" is not identical to the lookback period you refer to. I was referring the LookBack = DAYS = 252 in the MVOtest.c file, which I assume is identical in the Z8 strategy. To calculate the mean return values and covariance matrix 1 year is used. Tests on certain ETF portfolios with MVOtest.c indicate a very clear dependence on this LookBack and substantial improvement in return without increase in DD or decrease in SR is frequently found if this LookBack is shortened to a few trading months only. This occurs not for singular values of LookBack but for a broad range of values significantly shorter than 1 year, indicating that it may be relevant to shorten in this cases the LookBack variable. Hence if there were a Z8.par where one could set this, the flexibility of using the Z8 strategy would be improved.