Like most people (I think) I have focused on entries and exits with a fixed number of contracts (so far). The result is a collection of automated strategies trading via Multicharts. See more here:
I came across two related quotes (paraphrasing):
1. Most people seek to maximise the chance of a gain, rather than its size (Soros)
2. Pyramiding should be done as shown on a US$ note (Seykota - he means an egyptian pyramid, not an upside down shape)
I have not done any experimentation with pyramiding. If anyone has and can share some insights, or sources / directions / books / whatever to look into, that would be great.
thanks
PS nexusfi.com (formerly BMT) is a great site. I'm starting to get the hang of it