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Consecutive losses

The longest run of losing trades in a record, which is a near-certain event rather than a sign that something has broken.

Expected longest streak grows with sample size. A rough estimate for the longest run of losses in N trades at loss rate q is log(N) / log(1/q). With 500 trades and a 55% loss rate, that is log(500) / log(1.818) = 6.2 / 0.598 ≈ 10 consecutive losses.

Ten in a row at 1% risk each is roughly a 9.6% drawdown arriving with no warning, purely from ordinary variance in a profitable system. Anyone who has not planned for it will conclude the edge is gone at trade seven, which is exactly the point at which the sample says nothing of the kind.

Plan the response in advance: a drawdown-throttle that cuts size, a review trigger that checks process compliance rather than results, and a pre-written statement of what would actually constitute evidence of a broken strategy. See streak-probability.

Related: streak-probability, loss-rate, drawdown-throttle, risk-of-drawdown

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

An equity curve and its drawdownAn account balance rising over a year, falling from a peak to a trough, then climbing back to the old peak.ACCOUNT EQUITY$20k$12k$8k024681012TIME (MONTHS)PEAK $16,000TROUGH $12,000DRAWDOWN−25%RECOVERY
Equity curve and drawdown. An account balance plotted month by month. The fall from the $16,000 peak to the $12,000 trough is a 25% drawdown, and the shaded area lasts until the balance climbs back to the old peak.

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