Win rate is the number traders quote in bios. It is also the number that tells you least, because it deliberately discards the only thing that matters about a trade: how big it was.
A strategy that wins 90% of the time and gives it all back on the tenth trade has a magnificent win rate and no edge. Martingale and grid systems produce exactly this shape — long smooth stretches, then one drawdown that erases the year. Win rate cannot see the difference. These five numbers can.
1. Expectancy
Expectancy is what you earn per trade on average, once wins and losses are weighted by size: (win rate x average win) - (loss rate x average loss).
It is the honest replacement for win rate, and it reorders leaderboards violently. A 35% win rate with average wins four times the average loss is a genuinely strong system. An 85% win rate with average losses ten times the average win is a countdown.
If you track one number instead of win rate, track this one.
2. Maximum drawdown
Max drawdown is the largest peak-to-trough fall your equity has taken. It answers a blunt question: how much of your capital has this strategy been willing to lose in order to produce its returns?
Two things to check that most people skip:
- Duration, not just depth. A 20% drawdown that recovers in a week is a different experience from a 20% drawdown that grinds for five months. The second one is what makes people abandon a working system at the worst possible moment.
- Whether it is still open. A strategy sitting at the bottom of its worst drawdown reports the same number as one that recovered a year ago.
3. Time to recovery
The natural companion to the number above, and the one almost nobody records. How long, historically, has this strategy taken to make a new equity high after a drawdown?
This is the number that decides whether you can actually run the thing. It is also the number a funded-account trader needs most, because a firm's evaluation period is a hard deadline: a strategy whose typical recovery is eight weeks cannot be run inside a four-week window, no matter how good its expectancy is.
4. Session skew
Aggregate performance hides where the edge lives. Split every trade by session — Asia, London, New York, and the overlaps — and the picture usually changes:
- Many strategies make everything in one session and give a portion back in another.
- Some are profitable only in the London/New York overlap, and flat-to-negative outside it.
- A few are quietly funded entirely by a handful of hours a week.
If one session is reliably negative, the cheapest improvement available to you is not a better entry signal. It is a trading-hour filter.
Most strategies do not need a new edge. They need to stop trading the hours where they demonstrably do not have one.
5. Exposure and correlation across accounts
If you run more than one account, your per-account statistics are all measuring the same underlying decisions, and your real risk is the aggregate.
Two positions on EURUSD and GBPUSD in the same direction are close to one position in a dollar view. Across four copied accounts, that is eight correlated positions wearing four different labels. Everything looks diversified in the per-account view and is not.
The check: sum your open risk by currency and direction, not by ticket. It is usually a larger number than expected the first time anyone does it.
None of these require exotic tooling — a trade export and a spreadsheet will produce all five. What they require is the willingness to look at the ones that are unflattering, which is the actual bottleneck.
Start with expectancy and time to recovery. If those two hold up, the strategy is worth the work of improving. If they do not, no amount of win rate is going to save it.
