So then this is a question about (trailing) stop losses?

I have to experiment with every system that I make, so see which type of stop loss appears to be the most appropriate.

Take, for example, my stock system. It is extremely passive as far as monitoring individual trades and places far more emphasis on the health on the overall system. But if the overall system takes a hit, then the risk management kicks in hard and closes losing positions. I just happen to know that this works for my system, and I cannot comment on how well this would work for yours.

There's also a book I read, Systematic Trading by Robert Carver. He actually recommends using volatility normalization, especially for risk management and also to standardize position sizing across varying asset types (something that can be critical for diversified futures trading). I might have a futures system modeled after this within a year.