Trade Statistics
Trade statistics break down the individual trade results — how often you win, how much you win/lose on average, and how those compare.
Quick Reference
| Metric | Formula | Unit |
|---|---|---|
| Total Trades | Count of all trades | count |
| Winning Trades | Trades with P&L > 0 | count |
| Losing Trades | Trades with P&L < 0 | count |
| Even Trades | Trades with P&L = 0 | count |
| Win Rate | (Winning / Total) × 100 | % |
| Profit Factor | Gross Profit / Gross Loss | ratio |
| Expectancy | Net Profit / Total Trades | $ |
| Avg Win | Mean of winning trade P&Ls | $ |
| Avg Loss | Mean of losing trade P&Ls | $ |
| Median Win | Median of winning trade P&Ls | $ |
| Median Loss | Median of losing trade P&Ls | $ |
| Median Trade | Median of all trades | $ |
| Largest Win | Maximum winning trade | $ |
| Largest Loss | Maximum losing trade (negative) | $ |
| Avg Win/Loss Ratio | Avg Win / |Avg Loss| (payoff ratio) | ratio |
| Win/Loss Count Ratio | Winning Trades / Losing Trades | ratio |
| Kelly % | (WR - (1-WR)/Payoff) × 100 | % |
| MAE | Average maximum adverse excursion | $ |
| MFE | Average maximum favorable excursion | $ |
| MFE/MAE Ratio | MFE / MAE | ratio |
Key Metrics Explained
Win Rate
Percentage of trades that make money. While a high win rate feels good psychologically, it's not sufficient on its own — a 90% win rate with huge occasional losses can still lose money overall.
| Win Rate | Tier | Note |
|---|---|---|
| ≥ 70% | Excellent | Very high — verify not curve-fit |
| ≥ 55% | Good | Solid |
| ≥ 45% | Caution | Acceptable if payoff ratio is high |
| < 45% | Failed | Needs strong reward/risk to compensate |
Very high win rates (above 80%) can also be a sign of look-ahead bias — worth investigating in your strategy code.
Profit Factor
Gross profit divided by gross loss. The simplest measure of whether a strategy makes money.
- PF > 1.0 — Profitable (earning more than losing)
- PF > 1.5 — Solid edge
- PF > 2.0 — Strong edge
- PF < 1.0 — Losing money
Expectancy (Average Trade)
The average dollar amount per trade. Positive expectancy means each trade is expected to make money on average. This is the most fundamental metric for a trading system.
Payoff Ratio (Avg Win/Loss Ratio)
How much you win on average vs. how much you lose. A payoff ratio of 2.0 means average wins are twice the size of average losses.
Tip
Win Rate × Payoff Ratio is the key relationship. You can succeed with low win rates if your winners are much larger than losers (trend following), or with high win rates and smaller winners (mean reversion). Neither is inherently better — they're different styles.
Kelly Percentage
The mathematically optimal percentage of capital to risk per trade, based on your win rate and payoff ratio:
Kelly % = (Win Rate - (1 - Win Rate) / Payoff Ratio) × 100
In practice, most traders use half-Kelly or quarter-Kelly to reduce volatility. AlgoChef displays full Kelly for reference only — do not use it directly for position sizing without adjustment.
MAE & MFE
- MAE (Maximum Adverse Excursion) — How far a trade goes against you before closing. Helps optimize stop-loss placement.
- MFE (Maximum Favorable Excursion) — How far a trade goes in your favor before closing. Helps optimize take-profit placement.
- MFE/MAE Ratio — Values above 1.0 mean trades typically move more in your favor than against you.
These require entry/exit price data in your import.
Tip
MAE and MFE data requires entry and exit prices in your import file. See the CSV Format Reference for details.
Tip
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