This edge has already proven itself for a few years, but I thought that I might try to improve this simple logic further. Since the strategy only consists of two conditions, I feel comfortable adding more filters.

This is the result I got from adding one very simple filter to the long side of the edge. The filter is one that makes sense intuitively. That’s the reason why I believe it will hold also going forward!

Here is the equity graph. Transactional costs are included!