Sample size, win rate, payoff, profit factor and drawdown, worked through on 20 hypothetical trades
Published: 16 October 2026 · Last updated: 22 September 2026 · By Spencer Li, CFTe
Ask a new trader how their strategy is doing and you will usually get one number back, the win rate. It is the least useful number on the page.
The trading performance metrics that tell you whether a strategy works come as a small set, because each one covers a blind spot in the others. Five do most of the work. Sample size tells you whether there is enough evidence to judge at all. Win rate and payoff ratio (average win divided by average loss) tell you how the strategy makes money. Profit factor (gross profit divided by gross loss) tells you whether it makes money overall. Maximum drawdown tells you how painful the worst stretch was, and whether you could live through it again. Expectancy then rolls the middle three into one figure per trade, which has its own post: Expectancy.
Below, each one is worked through on the same 20 hypothetical trades.
What does the Five-Line Scorecard look like?
I call this set the Five-Line Scorecard, because you can fit it on five lines at the top of a trading journal. Here are 20 made-up trades, measured in R, where 1R is the amount risked on each trade. A win of 2.1R means the trade made 2.1 times what was risked.
| Line | Metric | How to work it out | Our 20 trades |
| 1 | Sample size | Count the closed trades | 20 |
| 2 | Win rate | Winning trades ÷ all trades | 8 ÷ 20 = 40% |
| 3 | Payoff ratio | Average win ÷ average loss | 2.23R ÷ 0.95R = 2.34 |
| 4 | Profit factor | Gross profit ÷ gross loss | 17.8R ÷ 11.4R = 1.56 |
| 5 | Maximum drawdown | Largest fall from a high in the running total | 2.5R |
Net, these trades made 6.4R. Now let me take them apart line by line, because each number says something different.
Why does sample size come first?
Because every other line on the card is noise until there are enough trades behind it.
Twenty trades is far too few. Flip a fair coin 20 times and getting 13 heads would not surprise anyone, so a 65% win rate over 20 trades says very little about the next 200, and even less about whether to put real money behind it. Our rule of thumb is that a system needs 100 to 200 trades before you judge it, and the reasoning behind that number is in How Many Trades Do You Need? The Law of Large Numbers and Sample Size.
So treat the rest of this card as a worked example of the method, rather than a verdict on these trades.
Why is win rate meaningless on its own?
A 40% win rate sounds poor. Yet these 20 trades made money, because the average win was more than twice the average loss. Win rate only means something next to the payoff ratio, which is why lines 2 and 3 sit together.
The opposite trap catches more people. A strategy can win 70% of the time and still lose money, if the few losses are large enough. How the two numbers trade off against each other is the subject of Win Rate vs Reward-to-Risk Ratio.
There is also a feeling hidden in the win rate, and it matters more than people expect. The lower it is, the longer the losing runs you have to sit through. I ran a quick simulation of 20,000 sets of 100 trades each:
| Win rate | Typical longest losing run in 100 trades | 1 in 10 sets saw a run of at least |
| 60% | 4 losses in a row | 6 |
| 40% | 7 losses in a row | 11 |
| 30% | 10 losses in a row | 15 |
A 30% strategy can be perfectly sound and still hand you 10 losses in a row in a normal stretch. If you were not expecting that, loss number 6 or 7 is where the fear starts telling you to quit, and if you listen, you never find out whether the strategy was working. Knowing the number in advance is what lets you keep going.
What is a profit factor, and what is a good one?
Profit factor is gross profit divided by gross loss. Add up every winning trade, add up every losing trade, and divide the first by the second. Above 1, the strategy made money over the period. Below 1, it lost.
Our 20 trades made 17.8R on the winners and lost 11.4R on the losers, for a profit factor of 1.56. Put another way, they made about 1.56 for every 1 they lost.
But a profit factor on its own can mislead. Take 2 hypothetical strategies over 10 trades each:
| Strategy | Win rate | Win size | Loss size | Profit factor | Average result per trade |
| A | 60% | 1R | 1R | 1.50 | +0.2R |
| B | 30% | 3R | 1R | 1.29 | +0.2R |
Strategy A has the better profit factor. Both make exactly the same 0.2R per trade on average, which is the figure expectancy measures. And B, with its 30% win rate, will put you through far longer losing runs to earn it. So profit factor tells you whether a strategy makes money, while expectancy tells you how much per trade, and neither tells you how it will feel. You need the whole card.
If you want a routine that records these numbers as you go, our free 15-Minute Swing Trader’s Checklist includes the weekly review. Get the free checklist →
What is maximum drawdown, and why does it decide whether you survive?
Maximum drawdown is the largest fall from a peak in your account, or in your running total of R, to the lowest point before a new peak. In our 20 trades, the running total once dropped 2.5R from its high before recovering.
It is the most honest number on the card, because it answers the question every trader eventually faces: how bad can this get, and can I live with it? A strategy with a fine profit factor and a 40% drawdown asks you to watch 40% of your account disappear before it comes good, and quitting near the bottom is what turns a sound strategy into a real loss.
Drawdowns also cost more to climb out of than they cost to fall into. A 20% fall needs a 25% gain to get back to where you were. A 50% fall needs 100%. So keeping the drawdown small does more for long-run results than squeezing a little extra out of the winners.
Drawdown tells you about the worst stretch. If you want one number for how bumpy the whole ride was, compared with what it earned, that is what risk-adjusted ratios do, covered in Sharpe and Sortino Ratios Explained.
Where do these numbers come from?
From your own records, which is why a trading journal is the first tool to build. Each closed trade needs four things written down: the entry, the stop, the exit and the size. From those you can work out the R on every trade, and every line of the scorecard follows. Our post on how to create a trading journal shows how to set one up.
Keeping score in public is harder, and it changes how you trade, because there is no quietly forgetting a bad week. Our own trade log is public, every trade since April 2024, dated, losses left in, and you can see how it is laid out on the trade log page.
So, pull up your last 20 trades. Which line of the card can you fill in today, and which one have you never measured at all?
FAQ
What are the most important trading performance metrics?
The core five are sample size, win rate, payoff ratio, profit factor and maximum drawdown. Expectancy, which combines win rate and payoff into a result per trade, is the usual sixth.
How do you calculate profit factor?
Divide gross profit by gross loss over the same period. If your winners made 17.8R and your losers lost 11.4R, the profit factor is 1.56.
What is a good profit factor?
Any profit factor above 1 means the strategy made money over the period measured. How good a given figure is depends on the sample size and the drawdown that came with it, so judge it alongside the rest of the scorecard.
How is maximum drawdown calculated?
Track your account value or running total after each trade, note each new high, and measure the largest fall from a high to the lowest point before the next high. That largest fall is the maximum drawdown.
How many trades do I need before these numbers mean anything?
Our rule of thumb is 100 to 200 trades. Below that, a lucky or unlucky run can make any of these numbers look far better or worse than the strategy really is.
Go deeper
This post sits under our guide to money and risk management. If you would like a routine that builds the scorecard week by week, the free 15-Minute Swing Trader’s Checklist is the place to start.
About the author. Spencer Li is The 15-Minute Trader and the founder of Synapse Trading. He is a Certified Financial Technician (CFTe) with 15+ years of trading, run from 70+ countries. He holds a B.Acc and B.BM from SMU. Every trade he takes is public, dated, losses left in. He teaches low-risk swing trading in 15 minutes a day, one system for any market.
Educational content only, not personalised financial advice. Trading carries risk, including loss of capital. Past performance is not indicative of future results. Synapse Trading is not licensed or regulated by MAS.
