"I figured out a while ago that I tended to hold my losers longer than my winners. Not doing this takes a huge effort of the will. I have thought about this in relationship to some reading I have done in psychology, and come up with the following insight. Kahneman (sp?) and Tversky have noticed that people have asymmetric risk preferences when facing losses and gains....we are more risk loving when it comes to avoiding losses than we are than we are faced with prospective gains. In other words, it is human nature to rely on chance more to get us out of losing situations than we do when we are in winning situations. This is why it is hard to fight the tendency to let your losers run. I think this is particularly intense in the emini market because it is so volatile."


There is an excellent treatise on this very subject by the psychologist interviewed by Jack Schwager in Market Wizards. Some of the traders he interviews talk about this as well.


Basically, I believe we are risk averse when it comes to letting our winners run because we are subconsciously attempting to sabotage our success. We are risk seeking when it comes to losing because we expect to lose and this fulfills our expectations.