Let me give an example about sticking with it. The biggest crises Paul Mulvaney had was during July and August 2007, where he had his two biggest down months consecutively. A 42 percent drawdown was the result. In the aftermath he went back and reexamined everything. He examined every possible misstep, considered all assumptions, but in the end concluded that the system was valid. One of the tests performed in the aftermath was rerunning his trading results against a whole range of different levels of leverage. Mulvaney is notorious for man- aging his leverage–even if he uses a lot of it. However, Mulvaney objectively asked what would have happened if he traded with more or less leverage than he actually used? He discovered that had he used lower leverage he would have actually generated a bigger drawdown (read: bigger loss) during the crisis. That seems intuitive, does it? Hold your judgment. When his account finally bottomed in August 2007 at the depths of a 42 percent drop, a new gold position kicked in and started making money. By the end of August, he had made new money and had crawled away from the low of his drawdown. At a lower level of leverage, theoretically, he would have captured a smaller recovery from those new gold positions that were kicking in, and actually his system would have taken a slightly larger maximum drawdown.
I just saved you and made you a fortune.
Source: The Little Book of Trading