Most people judge a trader by how often they win. It feels natural: 70% sounds good, 30% sounds bad. But win rate is only half of a two-part equation, and on its own it tells you almost nothing about whether a strategy makes money.
Expectancy = (win rate × average win) − (loss rate × average loss). It is the average result per trade, measured in R, where 1R is the amount risked on a trade. Positive expectancy is the minimum requirement for an edge. Everything else is detail.
Trader A wins 60% of trades, but winners average +0.5R and losers average −1R. Expectancy: 0.6 × 0.5 − 0.4 × 1 = −0.10R per trade. Wins most of the time and still loses money.
Trader B wins 30% of trades, with winners averaging +3R and losers −1R. Expectancy: 0.3 × 3 − 0.7 × 1 = +0.20R per trade. Loses seven times in ten and comes out ahead.
These are made-up numbers for illustration, not results from any real account. The point is that the two columns must be read together.
For any payoff ratio (average win ÷ average loss), the win rate needed just to break even is 1 ÷ (1 + payoff), before costs:
A high-win-rate strategy is usually one that takes small profits and lets rare losses get large. A low-win-rate strategy cuts losses fast and waits for big winners. Neither style is better; each has a different way of failing.
High win rate, small payoff: one or two oversized losses wipe out weeks of small gains. It feels safe until it doesn’t.
Low win rate, large payoff: long losing streaks are normal, and they are the real test. At a 30% win rate, any given run of eight losses in a row has about a 6% chance (0.7 to the 8th power). Over hundreds of trades that will happen several times. If you can’t sit through that, or your position size can’t absorb it, the edge never gets a chance to play out.
Fees and slippage are a fixed cost per trade. If a strategy’s expectancy is +0.20R and costs take 0.10R, half the edge is gone. If costs are 0.25R, the edge is negative. This is why a paper result that looks fine can fail live; we wrote about that gap in Fees and slippage: why a paper profit isn’t a live profit.
Our public Binance lead page shows a win rate of roughly 31% over 180 days, so the book loses more often than it wins and relies on winners being larger than losers. That does not make it good on its own. Several of our testnet and paper strategies also stop out often and sit below a profit factor of 1.0 live; for those, the payoff has not been big enough to pay for the losses, and they are under review against their own kill rules. A low win rate is a feature of a style, not a verdict on it. The verdict comes from expectancy, over a large enough sample, after costs.
We publish the numbers either way. The full strategy book, wins and losses, backtest next to live, is on the research page.
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