Streaks are part of any variable sequence of outcomes. Even a positive-expectancy strategy can produce several losses in a row, while a weak strategy can string together winners over a short period.
What to track
- Maximum losing and winning streaks.
- Cumulative R during each streak.
- Associated drawdown.
- Changes in size or risk during the sequence.
- Mistakes and plan adherence.
Separate normal variation from deterioration
A streak alone does not prove that a strategy stopped working. Check whether trades still meet setup rules, whether costs changed and whether the recent distribution is genuinely outside what you have historically observed.
Define risk changes in advance
If your plan reduces size after a certain drawdown, write the rule before you need it. Emotionally changing risk after every loss creates a second source of variability.
Winning streaks matter too
A run of winners can increase confidence and lead to larger size, looser filters or lower-quality trades. Track those behavioural changes too.
Place the streak inside a larger sample
Compare streaks by strategy and period. A low-win-rate strategy may naturally experience longer losing streaks while remaining viable if its winners are sufficiently large.