In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now. Similarly, if we use time series forecasting methods to predict(say daily data-whether S&P is going higher tomorrow), how much historical daily data would be optimal(bet 2 weeks-1month-3 months)? Too much or too little past data does not give accurate prediction.
(1) generate results in 5 days intervals(within 3 months) until you get the best interval prediction that is closest to yesterday's closing value...Then use this interval for predicting tomorrow's close?
(2) combine 3 months forecasting and backcasting(reverse data) until there is a result that coincides...then use this day as starting reference point for forecasting? http://www.spiderfinancial.com/support/documentation/numxl/tips-and-tricks/backward-forecast http://pakaccountants.com/what-is-backcasting-and-difference-forecasting/