The strategy with the highest total P&L is not always the strategy that works best for you. It may simply have more trades, take more risk or depend on one exceptional winner. Comparing strategies requires several metrics and, above all, enough data.
Define what “best” means first
Before ranking strategies, decide what you are comparing. It could be total result, average outcome per trade, expectancy, stability, drawdown, ease of execution or plan adherence. Different criteria can produce different rankings.
Apply a minimum sample
A strategy with three trades should not compete on equal terms with one that has fifty. You can set a minimum trade count for certain comparisons or, at the very least, always display sample size next to the result.
Useful comparison metrics
- Total P&L: cumulative contribution.
- Average P&L or R: result per trade.
- Expectancy: historical average expected outcome per trade.
- Profit Factor: relationship between gross profits and gross losses.
- Drawdown: depth of declines in the equity curve.
- Win rate: frequency of winning trades.
- Plan adherence: execution quality of the strategy.
Check where it works
A strategy can be strong on one timeframe and weak on another, or perform better long than short. Validate the strategy globally first, then drill down into subgroups that still have a meaningful sample.
Include costs and risk
Comparing gross results can favour high-frequency or high-turnover strategies. Commissions, spread, slippage, funding or other costs can change net performance. Where possible, compare strategies using consistent risk units too.
Look for stability, not just the best period
Compare different periods. If a strategy shines only during one particular week and then disappears, the evidence is weaker than if it behaves reasonably across several independent samples.
Separate strategy from execution
If a strategy has poor results but also poor plan adherence, you may not yet know whether the issue is the strategy or the execution. Review correctly executed trades first, then compare.
What decision should follow?
The goal does not have to be eliminating every strategy except one. You might decide to collect more data, reduce frequency, restrict a strategy to a particular context or conclude that a setup no longer fits your plan.
How Trading Life Journal can help
TLJ lets you compare strategies with filters, sample size, metrics and adherence. That helps avoid conclusions based only on “this one made the most money” and makes it easier to understand where each strategy adds or destroys value.
Practical application
To decide whether a strategy works, first define what “works” means. A useful evaluation combines profitability, drawdown, expectancy, frequency, stability and rule adherence; selecting only the metric that looks best can produce misleading conclusions.
Review checklist
- Define evaluation criteria before looking at results.
- Use enough trades and avoid optimising around a handful of outcomes.
- Separate correct execution from trades that did not follow the strategy.
- Look for stability across periods and contexts, not perfection.
Frequently asked questions
How many trades do I need?
There is no universal number. The more variable the strategy, the more evidence you need. Treat sample size as part of the conclusion rather than a magic threshold.
Can a lower-profit strategy be better?
Yes, if it offers lower drawdown, greater stability or a better return-to-risk profile. The choice depends on your objectives and constraints.