Win Rate, Average Win and Average Loss

Calculating

From fifty journalled trades: 22 winners and 28 losers gives a win rate of 44 percent. Total profit on winners of 4,400 dollars gives an average win of 200. Total loss on losers of 2,800 dollars gives an average loss of 100. Expressed in R, where R is the amount risked per trade, say 100 dollars: average win 2R, average loss 1R.

Why R

Measuring in R strips out account size and lets you compare periods and strategies. A trade that risked 100 and made 250 is a 2.5R win; one that risked 100 and lost 80, because the stop was moved, is a 0.8R loss. The average loss should be close to 1R if stops are honoured; an average loss above 1R means stops are being widened or slipping, and the journal will show which.

Win rate is not the goal

High win rates feel good and often come with small wins and large losses, because the trader takes profit early and holds losers. The strategies that make money over years mostly have unremarkable win rates and large average wins.

By setup and by condition

Calculate the three figures for each setup in the strategy and for each condition, such as trending versus ranging or by session. One setup often carries the whole result and another quietly drags it down; the journal cannot tell you that until you split it.

Key takeaways

• Win rate, average win and average loss come from the journal.
• Measure in R to compare across sizes and periods.
• A high win rate can lose; a low one can win.
• Split the figures by setup and condition.