Goodgoing's reference to an article prompted me to take a brief look at the factors that might impact on the performance of commodity trading advisors. Of the nine I ran across, the two that seemed most relevant to this thread were: The specific trading strategies employed by CTAs play a crucial role. Factors such as trend-following, mean reversion, or pattern recognition strategies can impact results. CTAs often use optimization techniques to fine-tune their trading models. The selection of parameters and the optimization process itself can impact results, and there's a balance between overfitting and underfitting. [Emphasis is my own.] Having recently finished developing my system, I'm glad that I did not share goodgoing's opinion that "the exit problem" is a waste of time, since I feel that finding a solution to this problem which fit my personal approach to trading greatly improved my results. I include the image below as an example. Though my selection of parameters is complete, I continue to fine-tune my trading model and the optimization process. So then here, the general idea was to only enter long positions where the purple and black baselines were both sloping upward (or the black MA's overall progress was at least headed north); and only enter short positions when the purple and black baselines were both angling downward (or the black MA's overall progress was at least headed south. Again, I'm glad I didn't share the view that there were no answers. Otherwise, I never would have been motivated to look for, what from my perspective, amounted to very satisfactory solutions to my questions, at least for me personally. So yes, with some trades, I will exit early, with some close to optimal levels, and with some late. However, I find that in practice, very few (rather than many) trigger stops; and that it takes a much shorter span of time than years to average some return. I think it could be that the reason everyone is not rich is because the answers are difficult to find—and not because they don't exist. As a matter of fact, where I found my own answers were in some of the very places that a good number of ET contributors advised me to STOP looking.