Performance Analytics — Win Rate, MAE, MFE, Expectancy, Consistency
These metrics define professional trading performance. Profit alone is not enough — consistency and structure matter.
Key Insight: A profitable trader relies on expectancy, not just win rate.
1. Win Rate
WR = Wins ÷ Total Trades
High WR ≠ profitability
Low WR can still win with strong RR
Example: 58 wins out of 100 → WR = 58%
2. MAE & MFE
MAE = max drawdown per trade
MFE = max unrealized profit
MAE
Shows risk control
Too large → bad entries or stops
MFE
Shows potential profit
Low capture → exits too early
Capture Ratio: Profit ÷ MFE
Compare planned stop vs actual MAE to refine entries.
3. Expectancy
E = WR × AvgWin − (1 − WR) × AvgLoss
E > 0 = profitable system
Metric | Value |
WR | 45% |
Avg Win | $220 |
Avg Loss | $130 |
Expectancy | $12.5 / trade |
4. Consistency
Best Day ≤ 40%
Scaling rules apply
30% MAE rule enforced
Consistency matters more than single big wins.
5. Trade Examples
Trade | Result | MAE | MFE | Capture |
#101 | +180 | -70 | 260 | 0.69 |
#102 | -120 | -140 | 40 | - |
#103 | +95 | -45 | 180 | 0.53 |
Capture > 0.5 = decent execution
6. Checklist
Positive expectancy
Controlled MAE
Good MFE capture
Respect 40% rule