Win Rate
Win Rate is the percentage of trades won out of the total amount of trades taken. These refer to round trip trades, where an entry and exit are both submitted fully closing the position. We will explain how win rate factors into the algorithm, how it relates to trading frequency, and what the ScaleTrade algorithm's win rate means. The general formula for win rate is as follows:
In this section, we will be discussing the win rates of the 6-year, 2-year, and 1-year backtests. Based on our backtests, we get the following trade counts and win rates for the tested securities:
Security | Win Rate 2016-2022 | Trades 2016-2022 | Win Rate 2020-2022 | Trades 2020-2022 | Win Rate 2021-2022 | Trades 2021-2022 |
|---|---|---|---|---|---|---|
AAPL | 58.73% | 2166 | 59.67% | 781 | 65.88% | 425 |
AMZN | 62.18% | 2380 | 68.75% | 880 | 72.06% | 544 |
NVDA | 69.41% | 3194 | 74.1% | 1247 | 75.54% | 691 |
TGT | 56.3% | 2192 | 59.47% | 760 | 68.16% | 424 |
From this table, we can then calculate the win rate across all of the securities by summing the winning trades for each security and dividing it by the total number of trades taken. After doing so, we get the following results:
Timeframe | Total Trades | Win Rate |
|---|---|---|
2016-2022 | 9932 | 62.45% |
2020-2022 | 3668 | 66.71% |
2021-2022 | 2084 | 71.16% |
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