Trend following strategy should be done like insurance.
Actuaries do not look at one person to get an expected value.
And you should not look at one trade.
A great trend following strategy should look at many trades, many gains and losses, and many expected values.
Understand the expected value of your trading.
Listen to Larry Hite:
“What makes this business so fabulous is that, while you may not know what will happen tomorrow, you can have a very good idea what will happen over the long run. The insurance business provides a perfect analogy. Take one sixty-year-old guy and you have absolutely no idea what the odds are that he will be alive one year later. However, if you take 100,000 sixty-year-olds, you can get an excellent estimate of how many of them will be alive one year later. We do the same thing; we let the law of large numbers work for us. In a sense, we are trading actuaries.”
–Larry Hite, in Market Wizards, By: Jack Schwager