Why it matters
Two strategies can have the same win rate but wildly different survival because tails dominate long-run results.
Decision use: treat this term as a risk input. If you can’t observe it, you can’t size for it.
Common trap
Judging a strategy by win rate alone.
Example
A 90% win-rate system hides rare losses that exceed months of gains.
Operational cue: if you can’t point to it on the chart, in the DOM, or in your broker logs, treat it as a story and trade smaller.
Notes
In trading, the shape of outcomes matters more than the average.
Quick rule
- If you see this repeatedly, you are in a different regime than your model assumes.
- Regime change usually means position size change.
- When in doubt: trade smaller, or don’t trade.