I think "winning" for David really means doing good for others. David is very much a Christ-figure. After David escapes the concentration camp, he begins his journey to Denmark. Along the way, he finds a girl trapped in a burning barn, and he saves her. Her name is Maria. Maria's family is incredibly thankful, but he overhears them talking one night; they're concerned he might have adult feelings toward Maria. They're concerned that his exposure to death, pain, and suffering has made David too mature for his age, too experienced.
He understands their concern and chooses to voluntarily ostracize himself from them. He leaves a sweet note explaining that he understands, and it's for the best. They regret their opinion and publish a letter to him in the paper, but he doesn't go back. David feels they might be correct about his emotional damage.