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Win rate

The percentage of trades that close with a profit; meaningless on its own without average win and loss size.

The win rate needed to break evenA falling curve: the more a winning trade pays relative to the amount risked, the smaller the share of trades that must win to break even.BREAKEVEN WIN RATE0%20%40%60%80%1:11:21:31:41:5REWARD-TO-RISK RATIO1:1 needs 50%1:2 needs 33.3%1:3 needs 25%breakeven win rate = 1 ÷ (1 + reward-to-risk)above the curve, wins more than cover losses
The win rate needed to break even. How often a method must win just to stay level, for each reward-to-risk ratio. At 1:1 half the trades must win, at 1:2 a third, and at 1:3 a quarter, because each win covers more losses.

A 90% win rate can lose money if the 10% of losers are huge, and a 35% win rate can be very profitable if winners are large. Win rate only means something alongside risk-reward-ratio in the expectancy formula.

High-win-rate strategies (many mean-reversion and premium-selling approaches) feel good and blow up rarely but badly. Low-win-rate strategies (trend following) feel bad and bleed slowly with occasional big wins.

Example: strategy A wins 80% with +0.5R wins and -2R losses: expectancy = 0.4 - 0.4 = 0. Strategy B wins 35% with +3R wins and -1R losses: expectancy = 1.05 - 0.65 = +0.40R.

Related: expectancy, risk-reward-ratio, profit-factor, sample-size

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