TopFroxx said:btw i didnt forget about this. i tried but could not find any significant pattern comparing relative currency positions vs equity. maybe it's neccessary to adjust the relative positions with the historical performance of that currency in some way.
but maybe i am just blind. attached you find the aggregated realtive positions for each currency. they are realtive to the overall portfolio, so they all add up to 1. the black line is the scaled equity curve. historical performance over the past ~2 years. if anyone can find a pattern in there that i cant see, please let me know
This is cool. You pretty much got it...
Pattern wise, one thing stand out: Swings in your P/L happen most often around drastic changes to your weighting, which suggests the P/L is 'realized' only and not including floating P/L from open trades.
Any chance you can add in another line for 'unrealized + net'?