time series - How to "uncluster" a set of financial data?

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.