With Mathematics we can easily analyze this:
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What this table highlights:
1. We used a system which has 50% success rate for each buy signal to the next buy signal/target
2. We keep 2 points SL for each buy signal.
3. For the same risk of 60 points, no scale-in will give us a reward of 90 points (1:1.5 RR) vs 50 points (1:0.8 RR) for scale-in.
4. Probability of win at the Buy-3 is only about 25% from the start, hence one should pyramid when scale-in.
5. From this analysis we can conclude that mathematically No scale-in is better than scale-in.
But does Scale-in Works?
1. Yes, definitely if one is able to get in at the beginning of the trend he will make good profits if the trend sustains. But its an outlier.
2. Scale-in works at higher time frame and preferably on commodity futures where the trends are usually sustainable and volatility will be low if one has good idea about the demand/supply.At lower time frame volatility is more and higher chances of pull backs before continuing with the trend.
3. If you read about the legendary traders like Turtles, Seykota, Jesse, Rakesh etc they all traded at higher time frames and quantity and preferred commodity futures over stocks or were lucky enough to trade in a period when the markets used to give nice trends.They were to some extent contrarian traders and when they got hint about trend change they first tested the waters and if its proved their expectation they scaled in rapidly and were out once the trend started reversing.
4. However these days the playing field has leveled and traders have better tools and everyone get to see the trend formation almost at the same time which makes the trend continuation at lower time frame difficult and one can expect frequent pullbacks.