Streaks & Sequences
Streak metrics measure the clustering of wins and losses. Long losing streaks test your discipline and capital reserves.
Quick Reference
| Metric | Formula | Unit |
|---|---|---|
| Max Consecutive Wins | Longest winning streak | count |
| Max Consecutive Losses | Longest losing streak | count |
| Avg Consecutive Wins | Mean win streak length | count |
| Avg Consecutive Losses | Mean loss streak length | count |
| Largest Consecutive Profit | Dollar sum of the longest winning streak | $ |
| Largest Consecutive Loss | Dollar sum of the longest losing streak | $ |
| Win Streak Ratio | Max Consecutive Wins / Max Consecutive Losses | ratio |
Key Metrics Explained
Max Consecutive Losses
The longest run of consecutive losing trades. This is critical for capital planning — you need enough capital to survive the worst streak without being forced to stop.
Warning
Your backtest shows the historical worst losing streak. In live trading, longer streaks are possible. Monte Carlo simulation can estimate the probability of worse streaks. The Monte Carlo Block Bootstrap method is specifically designed to stress-test streak behavior.
Win Streak Ratio
Max consecutive wins divided by max consecutive losses. A ratio above 1.0 means your longest winning streak exceeded your longest losing streak. This provides psychological context — are the good streaks longer than the bad ones?
Largest Consecutive Loss ($)
The total dollar loss during the worst losing streak. While Max DD captures peak-to-trough decline, this captures the damage from a specific cluster of losses. Plan your position sizing so this amount doesn't force you to stop trading.
Average Consecutive Wins/Losses
The typical streak length. Combined with the averages of win and loss sizes, this helps predict the normal rhythm of your strategy — how many wins to expect between losing patches.
Tip
Long losing streaks are inevitable — use Monte Carlo simulation to estimate how bad yours could get and plan your capital accordingly.
Tip
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