No sooner did I put up my trading performance for the last couple of months than I managed to wipe out last months gains!
My latest thoughts about filters are to only trade when both sides of the trade are at extremes (one is overbought, one is oversold, that way they should come together a bit better).
I’m also considering the posibility of position sizing based on volatility, at the moment I have all values balanced on the primary position size, however I’ve been noticing that the volatile pair appears to affect the trades a little more than I might like.
Tags: Market Neutral, strategy