Ah, Interesting. If you don't mind me asking. How often does this system get to the point where it would stop reversing, take the loss and move onto next trade. If it fails to recover loss on the this "trade series". Do you martingale your size onto the next trades?
Unfortunately, this is "regime-switching," and there is no other option but to manually track the moment when the correlation disappears after a sudden event.
I remind myself of this classic pic whenever I'm more than two deep, adding to a winner that is getting more attractively priced....
" Actual data supporting no use of stop losses" It is in my journal. The problem with that approach is that you need a huge bankroll to suffer the drawdowns. But yes, it can work.