On any timeframe look for the volume peaks. Drill down and again look for volume peaks. Look for the trends and the trend segments. There was a right side and wrong side of the market to be in at the turns. at the turns look on the T&S. Filter for at least 50 contracts and above. Note the price action at those levels. Notice the difference between clusters of price and the empty levels in-between.
You mention that you see your basket of trades tumble, as if they were in unison. That gives me the impression that the positions were strongly correlated with each other. Diversification could have helped here, such that their trends would not change at the same time. (Sorry for being late to the discussion)
Your impression is correct, but necessarily so when trend-following. There is no real diversification available if trend-following in forex or equities so this would be a cul de sac for me to explore.
You think so? Your decision to use a trend following strategy exposes you to lack of diversification? There is no way out of this? I guess it depends on account size and the choice of instrument(s) whether diversification is possible.
I do think so. Of course, I could diversify more into commodities, overseas equity markets, bonds etc. but that seems like taking on higher risk per instrument in order to reduce risk on more economically tradable instruments, so not something I'm keen on. I don't put faith in diversification in trading anyway, although an essential element if you solely invest. It was a surprise when I started out in forex that if I was in say AUD/CHF, it would move based on something happening to USD or JPY.