Rolling metrics show how your strategy's performance changes over time. Instead of a single overall win rate or expectancy, you see these metrics calculated over sliding windows of trades.
Why Rolling Metrics Matter
Overall statistics hide critical information:
| Metric | Overall | Reality |
|---|---|---|
| Win Rate | 55% | Was 65% in first 100 trades, now 45% in last 100 |
| Expectancy | $500/trade | Started at $800, declining to $200 |
The overall numbers look acceptable, but the strategy is clearly degrading. Rolling metrics catch this.
Rolling Win Rate
Calculated over a 20-trade window (or 25% of total trades, whichever is smaller). Shows your win rate for the most recent N trades at each point.
What to Look For:
| Pattern | What It Means | Action |
|---|---|---|
| Stable around 50-60% | Consistent edge | Strategy is reliable |
| Declining trend | Edge deteriorating | Market may have changed, investigate |
| Wild swings | Small sample or inconsistent strategy | Need more data or strategy improvement |
| Below 50% recently | Currently in losing phase | Reduce position size until recovery |
Example Interpretation:
Start of backtest: Rolling win rate = 62% Middle of backtest: Rolling win rate = 58% End of backtest: Rolling win rate = 54% This strategy is slowly losing its edge. In live trading, it might decline further to 50% or below.
Rolling Expectancy
Shows average profit per trade over the rolling window. More important than win rate because it accounts for both win rate and win/loss size.
Key Insights:
- Positive and stable: Strategy has a consistent edge
- Positive but declining: Edge is weakening, prepare to stop trading
- Crosses zero line: Strategy has periods of negative expectancy (losing edge temporarily)
- Volatile but positive: Edge exists but is inconsistent, size positions conservatively
Example Patterns:
Pattern 1: Consistent Strategy
Rolling expectancy stays between $400-$600 per trade Fluctuates but no trend Good strategy, normal variance
Pattern 2: Degrading Strategy
Started at $800 per trade Gradually declined to $200 Now approaching zero Stop trading soon, edge is disappearing
Pattern 3: Regime-Dependent Strategy
High expectancy in trending markets Negative expectancy in ranging markets Need to add regime filter or only trade certain conditions
Using Both Together
Win rate and expectancy tell different stories:
| Win Rate | Expectancy | What's Happening |
|---|---|---|
| Declining | Declining | Strategy failing completely |
| Stable | Declining | Still winning, but winners getting smaller |
| Declining | Stable | Losing more often but winners are bigger |
| Stable | Stable | Consistent performance |
Window Size Selection
VivaTrades uses a 20-trade window (or 25% of total trades if less than 80 trades):
- Smaller window (10 trades): More responsive, but noisier
- Medium window (20 trades): Balanced, catches trends while filtering noise
- Larger window (50 trades): Smoother, but slower to detect changes
Setting Live Trading Rules
Use rolling metrics to create systematic rules:
Rule Example 1: Exit Condition
If rolling expectancy (20-trade window) stays negative for 30 consecutive trades, stop trading the strategy.
Rule Example 2: Position Sizing
Base position size: $10,000 If rolling win rate > 55%: Trade full size If rolling win rate 45-55%: Trade 50% size If rolling win rate < 45%: Trade 25% size or pause
Rule Example 3: Strategy Health Check
Every 50 trades, compare: - Current rolling expectancy vs. backtest average - If current < 50% of backtest: Strategy degraded, investigate - If current < 25% of backtest: Stop trading
Common Patterns to Watch
The Fade Pattern
Rolling metrics start strong and gradually decline throughout the backtest. This strategy is not robust. Either:
- Overfitted to earlier data
- Market structure changed
- Other traders started using similar strategies
The Cycle Pattern
Rolling metrics oscillate predictably. Strategy works in certain market conditions but not others. Consider:
- Adding a regime filter
- Only trading when conditions are favorable
- Pausing during unfavorable regimes
The Noise Pattern
Rolling metrics swing wildly with no pattern. Strategy might be:
- Trading too frequently (small sample in each window)
- Too sensitive to noise
- Lacking a real edge
Real-World Example
Trader reviews a strategy with 200 trades:
- Overall win rate: 58%
- Overall expectancy: $450/trade
- Rolling win rate: Starts at 68%, ends at 48%
- Rolling expectancy: Starts at $700, ends at $200
Decision: Don't trade this strategy. The overall numbers look good, but both metrics are declining sharply. The strategy had an edge in earlier periods but is losing it. In live trading, performance will likely continue declining.
Limitations
- Requires sufficient trades: Need 50+ trades minimum for meaningful rolling metrics
- Window size affects sensitivity: No perfect window size for all strategies
- Past performance: Even stable rolling metrics don't guarantee future performance
- Can't predict regime changes: Markets can shift suddenly, invalidating historical patterns
In VivaTrades
Find rolling win rate and rolling expectancy charts in the Risk Analysis tab. VivaTrades automatically calculates the optimal window size based on your trade count and displays both metrics with interpretation guides.