Business tendency indicators are recognized as useful instruments for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. Vector autoregressive models are specified and estimated to construct forecasts. As the potential number of lags included is large, full-specified VAR models are compared with subset models obtained using a Genetic Algorithm enabling 'holes' in lag structures. In addition, a structural break for Russia and seasonal variation of indicators have to be taken into account. The dynamic adjustment and the forecasting performance of the leading indicators for both countries are compared.