Expectancy — the math of an edge
Win rate is not edge. The full equation, and why it changes everything.
A strategy's expectancy is what one average trade earns: (win rate × average win) − (loss rate × average loss). Positive expectancy compounds; negative expectancy destroys accounts slowly enough to feel like bad luck. Nothing about a single trade tells you which one you have.
The win-rate trap
A 90% win rate loses money if the wins are +0.2R and the occasional loss is −5R — that is the classic retail pattern of taking profits instantly and letting losers run. A 35% win rate prints money if winners average +3R. Win rate and reward size trade off; only their product matters. Chasing win rate for its own sake usually means paying for comfort with expectancy.
Variance — why good strategies feel broken
Even a solid 45%-win-rate system will produce five-loss streaks routinely and ten-loss streaks occasionally. That is not the edge failing — it is variance doing what variance does. Traders abandon working systems in normal drawdowns because they never computed what normal looks like. Judge a method over dozens of trades, never over this week.