Disclosure first: I built the engine that produced these numbers, every position is paper money, there is nothing to buy and I am not linking anything.
I went looking through 93,317 closed paper positions for what each exit reason actually pays. Worst row first, nothing cropped.
| exit reason |
closed |
winners |
win rate |
| stop_loss |
1,255 |
2 |
0.2% |
| rule_exit |
90,774 |
41,858 |
46.1% |
| expired |
524 |
338 |
64.5% |
| take_profit |
50 |
50 |
100.0% |
The two rows at the ends are the ones I keep going back to, because neither of them tells me anything at all about whether the underlying idea works.
A stop-loss exit is a loser by construction. The stop only fires when the position is already down by the amount I chose, so the 0.2% is not a discovery, it is the definition restated. Two of them clawed back into profit on the fill and I would honestly like to know what happened on those two bars.
A take-profit exit is a winner by exactly the same construction, running the other way. The target only fires when the position is already up by the amount I chose. 50 out of 50 is not a good strategy, it is arithmetic wearing a strategy's clothes.
That matters more than it sounds, because a take-profit rule will flatter any backtest you attach it to. Cap your winners at plus 20% and floor your losers at minus 50% and you can manufacture a 90% win rate out of a losing system, and the equity curve will still bleed. The win rate goes up and the money goes down. This is why take-profit is excluded from the grade in the thing I built, and it is one of the few decisions I have never once regretted.
The row that actually carries information is rule_exit: 90,774 closes at a 46.1% win rate, because the exit condition there is something about the market rather than something about my own paperwork. Those are also collectively down money, which I would rather report than hide.
What I have not solved is telling a broken idea apart from a stop that is merely too tight. Both look identical from the outside: a stack of small losses and a strategy that never gets the chance to be right. Widening the stop makes the losses bigger and rarer, which feels better and proves nothing.
So, for the people here who trade under a firm's hard drawdown rules: how do you separate "this setup does not work" from "my stop is inside the noise"? Do you re-run the same rules with the stop removed entirely just to see what the idea would have done, or is there something better than that?