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I have made leagues where I move on as soon as I win a World Series as well as ones that my goal is more long-term and I try to build a dynasty. Often I will make mini-goals within those leagues as well (no trades, free agents only get 1 yr deals, no free agents, get a player to x career wins or the hall of game, etc).
In the end, it's the typical refrain: play however you want. As long as you're staying interested and having fun.
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