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Playing for exchange when you are a piece ahead

So, I was just wondering, is it better to try to exchange all of the remaining pieces 1:1 when you are a minor piece ahead or should you just advance with everything you have ?
Personally it really annoys me when someone plays like that because im feeling like im starting to have much fewer options to recover from my mistake.
Depends.
If you have attacking oportunites, attack with all the pieces you have. Otherwise trade.

GM Ben Finegold says something I agree with, he says that it doesn't matter you're a piece up.

Simply trade all your bad pieces for the good ones of your opponent, otherwise not trade and keep building up.
I do it more often than not. Yes, it's "boring" but it wins the game, so what the hell.
But yeah, it depends. If there's a good attack, why not attack. And you don't want to exchange down so hard that you don't have enough material to win.
You do want to trade pieces but if you trade your good pieces for your opponents bad pieces it will come back and bite you.
Well, trading pieces is usually beneficial for the player who is ahead in material. I try to trade problematic pieces off the board when i'm ahead too.

Key word here is usually. There's always exceptions in chess.
If you're down material, trade you're bad pieces for their good pieces. It will relieve a lot of their pressure and could create for some attacking chances with the weaknesses of them giving their good pieces away.

When you're up pieces only trade when it is suitable for you and don't let them try and force trades. depending on your position and the piece you are up. You could have strong attacking chances without needing to trade pieces down to simplify the position and make it safe as possible. (although trading down is recommended, I prefer to force the tactics and practice than take the easy way out.)
The classical rule is that when ahead in material, trade pieces but not pawns. When behind in material, trade pawns but not pieces. The idea is pretty straight forward. When ahead material aim for pawns + piece vs pawns - which are almost very trivial to win. When you're behind material, even endings where you are down quite a lot (such as two knights) may be impossible to win without pawns, and keeping the pieces on board not only increases the chances of your opponent making a mistake but endings with more pieces tend to also be more difficult to convert even when it is technically a forced win.

In practice, I think the best way to play is simply to keep playing without the material balance really changing your goal. Nearly every game I've managed to win/draw when down a substantial material was because my opponent ended up getting obsessed with trying to trade pieces and ended up making suboptimal moves trying to do such.
attack like you feel like. depending on your opponent and the situation on the board, you will try to force trades or not. just follow your instincts, there is no right answer to your question.
This is a great topic. I ponder these points all the time when playing. It's the beauty of chess.

I try to continue playing good chess, first and foremost. Trading when up a piece is a good idea but you have to keep playing good chess.

Lasker said, "the hardest game to win is a won game".
As a general rule of thumb in this situation for both sides. (Not all situations, but most of the time)

Side A = up a minor piece
Side B = down a minor piece

If no resignation is to be had then Side A will benefit by trading off pieces.
If no resignation is to be had then Side A will not benefit by trading off pawns.
If no resignation is to be had then Side B will benefit by trading off pawns.
If no resignation is to be had then Side B will not benefit by trading off pieces.

There are of course many exceptions to this general rule. If the pawns kept on contribute to a fortress for instance or if opening more lines help activate your piece advantage better. Also, it's a big difference if it's just a clear piece up for nothing vs being up a piece for a couple of pawns or up a piece but behind in development or just up the exchange or if the piece you are up is a very bad piece like a very bad bishop or a knight with no squares. It all depends on the postion. Sometimes the best plan is to throw everything away but the 1 pawn you need for a mate.

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