And here's the tricky part for those of you who haven't learned it yet - quite often you find yourself not able to sleep only when your portfolio turns south. (Sleeping is quite nice when things are going well, even if you're margined!) But generally, you'll find yourself unable to sleep right about when things go wrong, generally when your portfolio hits a low point in its up and down cycles. The problem is that's usually the worst time to stop trading systems, because they tend to recover afterwards, and you'll likely miss out if you stop then.

So, do yourselves a favor and don't trade more than you'd be reasonably comfortable with if you lost, say, 20%. (I've found that portfolios of mechanical systems traders have regular portfolio pullbacks (meaning the whole account) of 10% or more from peaks, so just be ready for that. Higher pullbacks can happen during more volatile times. And these pullbacks often last for weeks!)