It took me 9 years to understand these truths, but finally it pays off: 1.) Day trade the ranges, swing trade the trend. 2.) Match size to strategy 3.) Never grow complacent Most people don't make it in trading, because it's too easy: "Ralph Vince invented a game, where bet size was the only moveable parameter. He chose forty doctors of sciences (i.e. not the dumbest people at least) as players, none of which were professional traders or studied statistics. The doctors played a game where 100 random trades were generated, one by one. Every one began at $1000, and before every trade one had to make a single decision - how much (up to 50% of the capital) to bet. 60% of the time the players won their bet, and 40% of the time they lost their bet. This game has an expectancy of 20 cents per dollar risked, i.e. in the long run the player can receive 1 dollar 20 cents per dollar. The academicals made their 100 bets, enough to resolve the expectancy. Making the same trades, they finished the game with different results. Guess how much of them increased their starting capital? Two of forty. 95% of doctors lost money playing a game with a positive expectation!" ( http://www.traderssoft.com/publications/mm/mm1/mm1.shtml ) It's only when you treat trading as a professional game, that the rewards will come...
The reason for failure is elementary. Even though the expectancy was positive the order of winning and losing was sufficiently random that with such large trades the probability of blowing up is significant. They should have limited the trading capital at risk to a far smaller amount.