Some partners like to look at the win rate when doing quantitative trading. If they make a profit on 8 out of 10 trades, they feel it's very amazing. I hope everyone stays vigilant and does not blindly take a Heavy Position.

A very simple way to determine whether your quantitative strategy is excellent.
Choose a strategy, backtest the results and incorporate the expected value formula: Expected Value = Profit * Win Rate - Loss Rate * Loss.

When the sample size is sufficiently high, the higher this value, the more your long-term returns will be. If it is a negative number, the probability of losing money is 100%.

Any trade is essentially the result of probability and game theory, where all trades balance the relationship between win rate, profits, and losses, in order to find the optimal value.

For example: Strategy 1: Win rate 80%, Profit-loss ratio 1:4;
Strategy 2: Win rate 60%, profit-loss ratio 1:1, Strategy 3: Win rate 40%, profit-loss ratio 2:1.
What kind of choice does everyone make?
In the image below, the closed position has a 100% win rate, yet the account is expected to incur huge losses.
#BTC
#量化交易