I don't understand a few things you said: 1. statistical "arbitrage" model went long... What does "arbitrage" mean in your model which went long today. 2. "open" market. What is "open" market? Is there a closed market for QM? Now, let me comment on your chart which showed your "model" in action: Your model sucks! Your model is worse than a monkey throwing a dart.
Shows what you know, beachhouse. It would take the duration of mastern's natural life if he doesn't wake up and realize that if there is no quantitative definition of under or overvaluation then it doesn't matter what he does, he's all but guaranteed to lose money unless he creates a strategy, backtests it, then trades it.
I remember I once took a course called Sturctural Equation Model. I went to the class and what the teacher did was to list a few variables and put them together, and call it a "model." People have been using the word for many many vague things. I never get it. Now you have a model too. When it comes to trading, you are like a guy who tells others how to swim, but you have never got into the water. You need to try trading yourself.
I trade everyday. The model is extatically perfect, since it doesn't have extremum variables like I'm sure your structural equation model did. If there was a 1 and 0 extremum, that is still an extremum based model. I don't know know what else to say to your masterm. The drawdown is enormous, and doesn't have to be. I think I traded coffee today for a profit in my strategy runner portfolio, so unless you put on other trades the drawdown may be typical monthly, but if it continues, I'm sure you'll stop posting. GET AN EDGE FIRST! QUIT MAKING HOLDING AND HOPING DECISIONS AND FIND A SYSTEM YOU'VE BACKTESTED THAT WORKS! Another 50% down and that's a 75% drawdown. You'll be poor the rest of your life unless you get real, and examine what the pros are doing. -33% is way too much to lose on discretionary trading. Having lost 31% in one month, though, I don't know how much worse this is than not understanding the reasons behind the loss, which you don't.
They lose because they have no strategy, and risk management by itself won't ever save a losing strategy. I kind of assume the person wants to be an automaton, and if they don't have that disposition their trading will suffer anyway.
Most people risking 40-50% of their account on futures are really trying to put up some high numbers, like 500+% np. If there was an edge and a backtest to go with the trade it wouldn't be as horrifying to watch mastern blow-up.