Defining Win Rate in Strategy Evaluation
Summary
This short Chinese-language community thread asks how win rate is defined for a trading strategy. The replies suggest one possible interpretation: the number of days with profitable total holdings divided by the number of backtest days. The participants present this as a guess, rather than a confirmed definition, and the thread does not provide a platform-specific formula or authoritative explanation.
The exchange highlights an important measurement choice: a daily profitability rate counts profitable days, while a trade win rate would count profitable trades. Those measures can differ because trades may span multiple days, and daily portfolio returns can combine gains and losses across positions. The thread offers no data, examples, or comparison of definitions, so it is useful mainly as a reminder to specify the unit being counted and the profit criterion before interpreting a reported win rate.
Key ideas
- The discussion asks what a strategy’s win rate measures.
- One participant speculates that it may mean profitable portfolio days divided by backtest days.
- The proposed definition is explicitly unconfirmed and may differ from a per-trade win rate.
- Win-rate comparisons require a clear definition of the observation unit and profitability rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.