Win rate is the share of eligible closed trades that finish with a profit. If 40 of 100 trades are winners under the journal's stated rules, the observed win rate is 40%.
Read it with payoff
The classification must be consistent: fees, break-even trades, partial exits and open positions need rules before the percentage is calculated. A small sample produces an uncertain estimate, so a backtest's win rate should not be treated as a fixed future probability.
Win rate says how often wins occurred, not how large they were. A strategy can win frequently and still lose money if its average loss is much larger than its average win. See Win rate and Expectancy for the full calculation and interpretation.
Sources
- NIST/SEMATECH, Confidence intervals for a proportion — explains sampling uncertainty around an observed proportion.
- Van Tharp Institute, Tharp Think Trading Concepts — relates win probability and average win/loss size through expectancy.