Trading statistics are the six numbers that measure a method from the trades you actually executed: win rate, real risk/reward, expectancy, profit factor, maximum drawdown and holding time. Read together, they tell you whether a method wins. Read one at a time, they almost always mislead.
This article gives the exact formula for each, how to read it, and the trap specific to it. Then the part most traders skip: segmentation, without which these six numbers stay comfortable averages.
Why a single statistic never tells the whole story
Take any one of these on its own and it will mislead you eventually. A high win rate can belong to a method that loses money. A positive monthly P&L can hide a subset of trades that bleeds, offset by another that performs.
That is where most journals stop: a total P&L, a win rate, and nothing else. The global average then absorbs the segment destroying value, and nobody ever isolates it.
None of these six is new. What changes everything is reading them together and segmenting them — not merely averaging them. And all six assume reliable execution data underneath, which is to say a clean trade blotter.
1. Win rate
The percentage of winning trades across all closed trades.
Win rate = (winning trades / total trades) × 100
How to read it. It tells you how often you are right. It says nothing about what being wrong costs you — which is why it is unusable alone.
The trap. A 70% win rate can belong to a flat account, and a 35% win rate to one compounding steadily. Everything depends on the size of the wins and losses.
2. Real risk/reward
The ratio between what an average winner returns and what an average loser costs — measured on execution, not on the plan.
Real R:R = average win / average loss
How to read it. Your plan may target 1:2. The figure after execution is almost always lower, because gains get banked early and losses get room. The gap between the two is a direct measure of your exit discipline.
The trap. Computing this from the theoretical strategy rather than the last 30 actual trades. It is the executed figure that feeds every calculation below.
3. Expectancy
The average gain expected per trade, across all trades. This is the one that settles the question.
Expectancy = (win rate × average win) − (loss rate × average loss)
With a 42% win rate, an average win of €180 and an average loss of €100:
Expectancy = (0.42 × 180) − (0.58 × 100) = 75.6 − 58 = +€17.60 per trade
How to read it. Positive, and every trade moves the account forward on average, whatever its individual result. Negative, and the method destroys capital even with a flattering win rate. It condenses the two previous metrics into one decision: continue, adjust, or stop.
The trap. Expectancy in currency depends on your position size. To compare periods where size changed, express it in R rather than in euros.
4. Profit factor
The ratio of everything you have won to everything you have lost.
Profit factor = gross profits / gross losses
How to read it. Above 1, the method wins. Below, it loses. Above 1.5, it absorbs a bad month without damage. It is the most robust of the six, because it depends on neither trade count nor position size.
The trap. A very high profit factor on a small sample nearly always comes from one exceptional trade. Recompute it with your best trade removed: if the result drops below 1, that is not a method, it is a lucky hit — and the source of most unrealistic return expectations.
5. Maximum drawdown
The deepest loss taken from the peak of your capital, never from your starting balance.
Max drawdown = (peak capital − subsequent trough) / peak capital × 100
Capital climbs to €10,300, falls to €9,320, then recovers. The real drawdown is €980, or 9.5% from the €10,300 peak — not the 6.8% you would get by comparing against the €10,000 you started with.
How to read it. It measures what your method requires you to endure, and therefore whether you will be able to stay with it.
The trap. This gap in perception is exactly what blows up prop firm challenge accounts, where the permitted loss is counted in tenths of a percent.
6. Holding time
The average time a position stays open. Rarely tracked, yet it diagnoses a bias the other five cannot see.
Average holding time = Σ (exit time − entry time) / closed trades
The genuinely useful figure is not the global average but the winners-to-losers ratio:
Holding ratio = average duration of winners / average duration of losers
How to read it. Above 1, you let winners run and cut losers: the intended behaviour. Below 1, you do the exact opposite — banking fast for fear of giving the gain back, and letting losers drift in hope of a return to breakeven. That is the disposition effect, and this ratio puts a number on it in one line.
The trap. A global holding average means nothing if you mix scalps and swings. Segment by style before concluding. This countermeasure is one of the ten detailed in trading psychology mistakes.
Segmentation: where the average hides the leak
This is where the six statistics, taken as global averages, mislead the most.
Over one month, 120 trades. Global averages: 42% win rate, real R:R of 1.8, expectancy +€18 per trade. Nothing alarming.
Segmented by session, the picture changes completely:
| Session | Trades | Win rate | Expectancy | Result |
|---|---|---|---|---|
| Morning (8–11am) | 90 | 51% | +€37/trade | +€3,330 |
| Evening (8–11pm) | 30 | 20% | −€39/trade | −€1,170 |
Total: 3,330 − 1,170 = €2,160, which is exactly the €18 per trade average across 120 trades. The global figure is not wrong — it is incomplete. It adds a session that builds performance to one that destroys it, and reports the sum as a single homogeneous behaviour.
This trader has nothing to change about the method. They need to stop trading between 8 and 11pm. That alone takes the month from €2,160 to €3,330 — +54% with no strategy adjustment at all.
The same logic applies replacing "session" with setup, instrument, or day of the week.
How many trades before concluding
The question that decides whether any of the above is valid.
At least 30 trades per segment. Below that, noise dominates signal and you will cut a session that merely had a bad week. One poor evening proves nothing; thirty evening trades with a stable negative expectancy does.
And recompute regularly rather than once: these six describe your current behaviour, which drifts.
Reading the six together
| Statistic | What it measures | Warning threshold |
|---|---|---|
| Win rate | Frequency of winners | No useful threshold alone |
| Real R:R | Size of wins vs losses | Wide gap against planned R:R |
| Expectancy | Average gain per trade | ≤ 0 |
| Profit factor | Overall robustness | < 1.5, or < 1 without the best trade |
| Max drawdown | What you must endure | Close to your account's limit |
| Holding time | Exit discipline | Winners/losers ratio < 1 |
None of the six reads alone. Expectancy summarises the first two, profit factor tests robustness, drawdown measures the psychological price, and holding time reveals the behaviour the other five average away.
Where TradeStack fits
Maintaining these six by hand in a spreadsheet is possible, but that friction is precisely what stops most traders at the global P&L.
TradeStack computes win rate, real R:R, expectancy, drawdown and holding times — global, and separately for winners and losers — from your history, and lets you segment them by setup, session or instrument without rebuilding a pivot table.
The free plan covers 20 trades a month, enough for a first segmentation; what a free offer does and does not include is detailed in free trading journal.
TradeStack works by manual entry. No automatic CSV, MT4 or MT5 import — your real executions are what feed the six numbers.
Key takeaways
- Six numbers, six formulas: win rate, real R:R, expectancy, profit factor, max drawdown, holding time.
- Expectancy settles it; profit factor tests robustness — remove your best trade to check.
- Drawdown is measured from the peak, never from the starting balance.
- A winners/losers holding ratio below 1 is the disposition effect.
- No global average beats segmentation. 30 trades minimum per segment before concluding.
