How to "uncluster" a set of financial data?

External question — Quantitative Finance Stack Exchange Author: Mike Furlender Original post: https://quant.stackexchange.com/questions/1947 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am attempting to evaluate and compare the profit factor of different "test runs" of a FOREX trading strategy. My problem is that, despite an average time between orders of 2hr+, some of these runs can have 20+ orders in a row, every 5 minutes, in the same direction. I need some way to normalize these clusters that occur without just throwing the data out. I want to treat the cluster as 1 data point by averaging the gain/loss of each trade within the cluster. I was thinking of doing it with a moving time window in the following manner: For each order: Weight = 1/(N+1) N = count of consecutive orders within 30 minutes of the current order. But I am not sure if that is correct.