I´ve noticed that my most stable strategies have a very similar (straight) equity curve separately(!) for the long and for the short trades only. These strategies do better than other strategies that also have a combined(!) very straight equity curve (so long and short combined) but have a very uneven long only and short only equity curve if seen separately (basically showing that it´s just luck and good timing (which will never happen like this again) that the combined equity curve looks good, but the strategy is weak actually). So would it be possible to make a new correlation metric that measures the correlation (something like R-squared maybe) between the long-only equity curve and the short-only equity curve (also as an acceptance criteria of course)? This way we could see how close the long only and short only equity curve correlate with each oher and the higher the correlation, the more stable the strategy is (at least from my experience).
Thank you :-)
If anything, I look at correlation that exists on only one side to see if all my short strategies are trading around the same times and vice versa for long strategies. Curious to get more thoughts on this though.
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you can set filter for SYMMETRY for example
even with percentage, for example
short RDD > 80% long RDD
short RDD < 120% long RDD