In my ongoing refinement of the PDQ Dashboard I've been studying each pair chart individually to see how these trades actually play out.
One phenomena that keeps popping up is what I'll call z-band zero (zbz) line rejection and it can be seen clearly on the EWC/VXX performance chart above.
Note how each of the winning trades (green lines) move smoothly from one band to the other with only minor chatter and a clean break of the zero line.
Now note how the 2 losing trades had a completely different profile, characterized by multiple bounces off the zero line, which also produced open trades of 43 and 26 days respectively, whereas the average duration of the winning trades was only 9 days.
Examining each of the losing trades a bit further shows that if the trades had been exited when the z-score retraced 10% off the zero line both trades would have actually produced marginally profitable results and closed after only 7 and 12 days respectively.
Lesson learned. A new risk management stop (BZB zbz) will be added to our current stop menu that will incorporate a fixed time stop and/or a 10% zero line bounce hit.