you're right. i was referring to a simple fair game ie coin toss. in the market an edge that could be achieved and sustained would translate into positive expectancy. A TS could be part of it or not, it is up to you. in my experience the TS is not a good method because the market is most often in whipsaw mode which is a behavior that arises from multiple stops being placed around the then current price. That is the way the market eliminates such an edge. in the end, most stop traders end up exiting their position at the least favorable price. A TS or SL for that matter are just a reflection of the typical emotional aspects of trading, that is, greed and fear. so to answer your question, the SL and TS could be of help if properly configured to avoid whipsaws, etc, etc, but i doubt they'd be the cornerstone of any successful system, because everybody is using them and most traders lose money. from a mathematical standpoint, they dont yield positive expectancy as proved earlier, in fact, if you add the slippage and comm costs to the equation, the SL and TS would look much worse because they amplify the weighting of these costs in the strategy PL thereby sinking expectancy. now if you've attained an edge that consists in, say, picking the exact moment when the contract is about to trend and adapt your SL and TS accordingly, you'd got yourself an edge. but the edge is based on your skills to consistently pick the moment, not in the SL or TS itself. Those two are just the weapons you chose to use from your arsenal, in order to take advantage of your edge.
Wow, hot topic. Check this for a study (with equity curve) regarding a random entry strategy: http://newsletter.neoticker.com/?p=237