HJ/Dressage rider here but I’m coming to you because who knows more about tail bags than western folks?!
I bag my Grey horse’s tail to keep it clean but I want the best tail bag. I don’t like the braid in ones because they’re not water proof and his tail gets dirty anyway. I’ve tried the tail boot and it was so strong that my horse got his tail caught on something and instead of pulling free he ripped out a chunk of hair. I typically use the simple nylon bag with the velcro at the top but they’re always coming off!! Arrrrgg someone tell me there is a unicorn of tail bags out there somewhere!!
This is the one I used on my tobiano mare. She lived outside in a paddock with a run-in, and had a long, snowy white tail. This worked for her. Instead of velcro, it has a snap. So you weave a nylon strap through your tail braid then snap it closed on the bag itself.
Otherwise, all of the show horses at our barn use the Sleezy Sleepwear ones that are stretchy lycra, with 4 self-fabric ties at the top. Again, weave the ties through the tail braid, then tie bows to secure in place. A little trick I was taught was to then take vetrap and wrap it around a couple times, over the bows, to keep them from coming undone.
Of course you never want to tie the tail bag, or wrap the vetrap, over the tail bone.
Once the tails are braided and put in bags, they stay “up” for a couple of weeks. Then they’re taken out, washed, conditioned and sometimes oiled. Even if a gray or white tail gets a little stained or discolored, it’s simple to wash out.
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I would braid the tail then put the nylon loop through the top of the braid then velcro it closed, If it got caught the velcro would give way and the braid kept it from coming out. 
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I’m on year two of this super cheap tail bag for my palomino mare’s white tail: https://www.amazon.com/Mustang-Nylon-Tail-Bag-Navy/dp/B009SXJ56A/ref=sr_1_7?keywords=nylon+tail+bag+for+horses&qid=1676317171&sprefix=nylon+tail+bag%2Caps%2C133&sr=8-7.
It may not technically be waterproof, but it gets the job done and has held up remarkably well, especially for the price!
I too was supremely disappointed in the tail boot. Like all of the “fold the tail up” methods, I thought it caused way too much tail breakage.
Do these things stay on for a horse that has 24/7 turnout? And takes things off (like Shoo Fly boots)? And if the horse pulls it off does it take tail hair with it? My problem child grows pretty decent tail but tends to swish it thinner and occasionally catches it on things and pulls whole sections out. I would like to grow more tail in the summer with her.
Hmmmm, I’m a big TailBoot user for the past couple years and I’ve never had a problem. My horses are turned out 24/7 and some of it even has bushes and such. My only complaint is when the flies are really bad and they are squishing a lot, it gets loose quick.
They are not waterproof either. After a good rain, it’s wet inside.
I too have a gray with an amazing tail! The only other thing I use sometimes when we are at a show, is a basic lyrca tail bag if I just want to keep it clean but don’t want to put it back in the Tail boot for the next day.
Mine stays on 24/7 all winter. I do not bag her tail during the spring/summer/fall months when it is warm enough to wash it weekly. I’d be afraid she’d rip too much hair out swatting flies.
Hers has come out a few times with little to no hair breakage. The Velcro just came unfastened, and the whole bag just slipped free unharmed.
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