Adding contracts to a position that is already winning
Every add earns less per unit of risk than the first lot and is correlated with it. Across forty-two schemes, flat sizing came out ahead.
- Verdict
- Settled by the data
- Decided by
- Matched-risk comparison
- The number
- 42 of 42 schemes lose to constant size
The hypothesis, as pre-registered
Pressing a winner — adding a second and third contract as the trade moves in favour — should raise return more than it raises risk, because the added contracts are only ever committed once the position has already been proven right.
What the test found
It does not. Forty-two pyramiding and averaging schemes at three to five contracts were run against plain constant sizing at matched risk. Constant size won every one of them. The best pyramid gave up $118,000 over 2.7 years; the worst scheme, which widened the stop with each add, gave up half a million.
The reason is in the continuation curve, and it is closed-form once measured. After the position first reaches a quarter of an ATR in favour, the expected further move is +0.162 ATR. At one ATR it is +0.073. At two ATR it is negative. The first contract earns roughly +0.22 ATR per ATR of risk and every add earns less — while being close to perfectly correlated with the lot already on. Variance rises linearly, return sub-linearly.
One cell did read a better return-to-drawdown ratio than flat sizing, and it is the trap this shop has learned to check for: its Sharpe was lower, and its drawdown advantage sat inside the noise of its own bootstrap. A realised drawdown path is one draw.
The same ordering holds on a ten-year sample from before the deployed era, which rules out the obvious objection that the result belongs to one regime.
What would make this work
The continuation after an add would have to be at least as large per unit of risk as the entry edge, and the added contract would have to be meaningfully less than perfectly correlated with the one already on — a different instrument, or a different exit, not more of the same position.
Every insight ends with this line: the exact condition that would turn the finding into a tradeable edge. That is what makes each entry a next experiment rather than a full stop.
Screened September 6, 2026
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