Win rate vs expectancy — why win rate alone misleads
Win rate is “how often you win”; expectancy is “average P&L per trade.” A 90% win rate still loses long-term if expectancy is negative.
Why a “90% win rate” strategy can still blow up — win rate and expectancy are different stories.
Run a 90% strategy and a 50% strategy for 100 trades and watch how their equity curves diverge.
Expectancy
Expectancy = (win rate × average win) − (loss rate × average loss). It is the average you make per trade. This must be positive to make money over time.
Example: 90% win rate, +10 when you win, −100 when you lose. Expectancy = 0.9×10 − 0.1×100 = 9 − 10 = −1. You win 90% and still lose 1 per trade.
Key: option selling (credit spreads, 0DTE) “wins small often, loses big rarely,” which makes win rate look high. Do not be fooled — read expectancy and max drawdown together.
Metrics to read together
- ·Expectancy / average P&L per trade — is it positive?
- ·Max drawdown (MDD) — how deep was the worst stretch? Can you sit through it?
- ·Reward/risk (avg win / avg loss) — how many wins to recover one loss?
- ·Sample size — too few trades may just be luck.
In NOSKA
NOSKA shows expectancy, max drawdown, reward/risk and trade count alongside win rate, and uses Kelly sizing to compute how much to risk per trade without going broke.
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