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What Pangaea said in his OP. I have an attachment generally to the first club I manage and will play with them until basically forced out or bored of the save.
It really depends. Sometims I stick to a team through thick and thin. I usually change when I feel the team is dominating too much the local league, or the chairman is, well... plain silly.
I also leave when I feel I can take the club no further due to 'outside' reasons (lack of funding, being unable to compete with the pro teams etc.).
In my FM07 save, I left a club because of a **** of a chairman, and then stuck it out at another club, until I left and I hated every other club. In this one, I've become really attatched at my club, but if a good enough EPL, LA Liga or Serie A job comes up, I'll jump like that.
I usually form some affinity with a team, as long as the season doesn't end up with a relegation - or damned near it. However, it's not usually that big of a feeling to stop me from moving to a better position if I can.
Occassionally, though, I get that feeling that I just belong at a club. Those are those clubs where you always end up on the favoured personnel list after a few season, and you just struggle to replace any of your players, even though you know - YOU KNOW - they're not good enough any more. These are the teams that, even if you're never gonna win a trophy, you refuse to take a job offer from another club - no matter how good.
And THAT is when I know I love this game, and that SI have done their job. As good an incentive as you'll get, Sancho. If you don't find that feeling with a club, then definitely start over, or move teams. It really is nearly like real life.
Finding an incentive to stay at a club is easy enough (to slowly improve the squad, develop that youngster who might turn quality, a relegation dogfight or a promotion race, even getting some silverware).
There's tons of motives to be found.
Leaving a club, on the other hand, is quite tough for me. Either I have that highly interferring board who won't let me improve the team or I feel I've achieved all I can there.
When I leave a club because of those two motives I usually carry on with the save until infinity (or corruption).
Whenever I leave a club because of a nice wage package/transfer kitty is thrown at me from another place is when I usually lose interest in a save and I can't revive it any more.