I've been trading this way since Oct 2011, and after each devestating loss (and there were only a few) tweaked. Keep in mind, you can't protect yourself without giving up some profit potential on the other side. Highwater mark in 2012 was 78%, I think it ended something like 62% but that was not really accurate because I carried a trade over New Years that was a big awful loser and just by luck ended Jan 31 at breakeven. Lost 25% of account in just 10 days in Feb 2013 (but that was trading directional rather than the strategy that got me here. Why did I change? Because I was just breaking even and was afraid I just got lucky in 2012.) I'm tired of defending it. Buy dips, sell rallies (whether they are winners or losers), never add to my largest loser, and scale out with those hated miserable stops once I have a full load on, never move the stop, if it never gets hit, great, if it gets hit put in another until I get back down to an addable size. Don't think it would work in any other market. I need at least 3 or usually 4 pairs. Typically long two and short two the base currency. When I started I traded 6, but the SNB peg messed up eur.chf. Now it is going like clockwork. Almost every decision is covered. Except, when to take a profit. If you can come up with a good answer for that one, let me know. I have a target which when gets hit, profits are taken no questions asked. But many, if not most times I feel I am in a high energy profit and take it and get back down to starting size. so it's the same as it has always been, 90% is just money management, 10% is reading the market.
You on your way to becoming one of the 1%ers. You designed a solid method and found you second guessed it chalking it up to luck when all along it was better than you. Following your set of rules is often harder than making them. When you get down to 99% of decisions are covered, your there, walking on clouds. You can go to a higher timeframe as to when to finally get out, I prefer using RSI/divergences and shortening of distances between pivots(which causes the divergences in the RSI), this starts to form a "rounding" of highs or lows is good time to tighten stops to just below last pivot. If you have enough sample size, whether backtesting or real time you can determine what the max profit would have been had you stayed for last tick, I use 3000 sample size for day trading. Longs and shorts are different if you going for long profits. But I often found the first two targets made me the blunt of my profits no matter how much backtesting I did on five minute bars. I don't know your timeframe whether it starts on hourly or day charts, but for the big winners, I have always had to bump my stops up one timeframe, so if I use dailies to enter, I go up to weeklies to set my protective stops. It is the only way I have been able to get 50k winners per contract. It's taken me a number of stabs to find the high in Japan Yen in 2011 and added in sept 2012, but my stops remain where I approx. entered in 2011/2012. Always little differences cause of rollovers. I been long Nat Gas for a year, always rolling over, first target been reached of 10k and now sit with stops at breakeven. For long term trading, moving stops really hurts. Very boring way of trading, but if you want action, try walking across Interstate at rush hour. Oldtime, just stick with your plan, work it till it gets real boring, second guessing one's rules is like having no rules.
Use a volatility target. Calc a realized vol lookback based upon the avg duration of your hold. I don't like martingales, but I like adding to winners even less.
Stop worrying about the perfect TP. Hate to sound as if this is plucked from the 12-step program... Take care of the little things and the big things will take care of themselves. Big things being the profits. Aren't you doing that already... Who was that guy that said profits take care of themselves? They are right. Does not appear that you have a lot to complain about right now.
atticus, Does your aversion to adding on apply to longer timeframes as well or only intraday or few day swings? If so what is the rational behind it?
Suppose I'm moving my stop on my inititial position below support and I place the stop on my add on in the same place -- have I simply not allowed my increased size to affect my trade management? Or do you not believe in moving the initial stop (I assume the it is catastophic and not an exit point) and look for an optimal exit with that stop as a constant? Or is there another scenario to your view?