When applying it to a trend following system: Entering 2 Contracts at trade initiation: Net Profit: $205,440 Max DD: $29,640 Net Profit/Max DD: 6.93 Profit Factor: 2.95 # Trades: 66 % Periods Profitable: 61% Entering 1 contract at trade initiation, 1 when trade becomes profitable: Net Profit: $194,550 Max DD: $28,960 Net Profit/Max DD: 6.72 Profit Factor: 3.01 # Trades: 126 % Periods Profitable: 61% Entering 1 contract at trade initiation, 1 when trade enters draw down: Net Profit: $199,390 Max DD: $27,380 Net Profit/Max DD: 7.28 Profit Factor: 3.21 # Trades: 125 % Periods Profitable: 64% Notes: 1. These two systems are always in the market and are long term in nature - not day trading. 2. They may or may not have an edge, although I suspect from some statistical tests run on the range bounded system as described by Acrary, that the first one has an edge. Observations: 1. On this example, doubling the number of trades and increasing the profit factor did not improve my % of profitable periods. This may be because I am taking the 'Global Profit Factor' ove the life of the system rather than on a period - by - period basis. I am suspecting there is something I am missing. 2. Entering added positions when in a draw down did improve the risk adjusted results. This is against conventional wisdom and other results posted on this thread. What am I missing? What could be a faulty assumption that I am adhering to? Granville 1.