Performance Metric
Streak Length — Definition & Example
The number of consecutive winning or losing trades — a useful measure of variance and psychological pressure.
Streak length measures the longest consecutive sequence of wins or losses. Even a 60% win-rate strategy will produce 5+ losing streaks regularly. Knowing your strategy's historical streak distribution prevents the gambler's fallacy of believing "the run has to end" or sizing up after wins. Position sizing should be calibrated to survive the worst historical losing streak.
Example
Strategy with 55% win rate over 200 trades had a longest losing streak of 7 and a longest winning streak of 9. Position sizing should be small enough that 7 consecutive losses do not cause panic.
Related
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