Tight trailing stop can make you loose

I made a simple trading system that use the following rules :
Number of position : 10
Commission: 0.2%
Buy and sell at the open on next day
Buy rules :
- Close>1
- Average daily volume > 100 000$
- Close>90 day moving average
Sell rules :
- Close<90 day moving average
Without any stop loss or trailing stop

I back-tested it from 17/04/2000 to 17/12/2005.
Here are results :
Annual return: 18.49%
Number of trades: 248
Risk-Reward Ratio: 0.86
Max. system % drawdown: -25.58 %
Recovery Factor 1.45

Now, i wanted to add a stop loss then a trailling stop to see how this trading system will perform.

Stop loss:
Using 5% stop loss: Annual Return: 10.85% and Maximum Drawdown: -22.37%
Using 10% stop loss: Annual Return: 25.51% and Maximum Drawdown: -20.77%
Using 20% stop loss: Annual Return: 20.16% and Maximum Drawdown: -26.18%
Using 40% stop loss: Annual Return: 19.98% and Maximum Drawdown: -25.52%

There isn't really big changes but using stop losses above 5%, i outperformed the first trading system.
Using 10% as stop loss make this system more profitable with less maximum drawdown.

Trailing stop:
Using 5% trailing stop: Annual Return: -43.33% and Maximum Drawdown: -67.07%
Using 10% trailing stop: Annual Return: -25.11% and Maximum Drawdown: -47.44%
Using 20% trailing stop: Annual Return: 5.24% and Maximum Drawdown: -31.24%
Using 40% trailing stop: Annual Return: 22.29% and Maximum Drawdown: -21.03%

Using tight trailing stop, will make this trading system a looser, while a high value of trailing stop make the system more profitable.

Each trading system need to be adjusted by its own stop loss or trailing stop values.
But what i want you to notice here is that high value of stop loss and low value of trailing stop make the system less profitable.
This is confirmed in most of my trading systems.

Conclusion : If you have a winning position, then let it run and don't stop it too early with tight trailing stop.