Win Rate

What is win rate?

Win rate is the percentage of completed trades that end with a net profit after costs: the number of net profitable completed trades divided by all completed trades. A record with 42 winners out of 100 completed positions has a 42% win rate. It measures how often a strategy wins, not how much, so it needs average win and loss sizes beside it.

Define the trade unit consistently. Group partial fills and exits into their complete position result unless the strategy explicitly treats each tranche as a separate trade.

Break-even win rate and expectancy

For two nonzero outcome categories, break-even win rate equals average loss magnitude divided by average win plus average loss magnitude. Average net wins of $200 and average net losses of $100 give a 33.33% threshold.

With a fixed scratch probability s, the break-even all-trades win rate becomes (1 − s) × average loss ÷ (average win + average loss). An exact zero-net scratch contributes zero to the average payoff.

Nine $100 wins and one $1,200 loss total −$300 despite a 90% win rate. Measure both outcome frequency and payoff size to calculate expectancy.

How to compare win rates across setups

Review win rate, average net gain, average net loss and completed-trade count together. Compare selected setups and holding periods with consistent position accounting.

For a rolling comparison, specify the window and the observations it contains. Track exposure, holding time and drawdown separately so frequency and capital usage remain clear.

When the rate changes, review which part of the process changed: candidate selection, entry, payoff design or execution. Win rate supplies the frequency measure; expectancy combines it with the size of the outcomes.

Limitations of win rate

• Read win rate beside average win and loss size. Nine $100 wins and one $1,200 loss lose money at a 90% win rate.
• State the counting rules for costs, scratches and partial exits with the rate: the same 80 trades read 45% or 47.37% depending on scratch treatment.
• Build a long record before you trust the rate, because a few trades can move a short one sharply.
• Check expectancy when you change exits. Taking profits early can raise the win rate while shrinking the average win, so a higher rate can come with lower expectancy.
• Break the rate out by setup, holding period and market condition, because an account-wide figure can hide the differences.

Bottom line

Win rate tells you how often completed trades end in profit, which is half of the expectancy calculation. State the counting convention, compare the rate with the break-even rate implied by your average win and loss, and judge a strategy on frequency and payoff size together.