So I implemented an exit strategy whereby I sell the security if the signal that caused me to buy the security is no longer active. It seems to work well. For most of the securities I'm trading, it adds a couple percentage points to annualized ROR. For securities like TVIX, it works like gangbusters! Not a lot of people are buying and holding VIX for 30 days, so the new exit strategy is more attuned to the characteristic price action of TVIX. New profit curve for XOP: Old profit curve for XOP: Quite similar, but the new strategy has lower volatility and a higher ROR.