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Definition
A statistical measure that indicates how much the profits on your winning trades deviate from the average profit on winning trades. A higher standard deviation suggests greater variability in the size of your winning trades.
Formula
The same standard deviation formula is used, but only considering the PnL values of winning trades.
Example
Let’s say your last 5 winning trades had the following PnLs:
- Trade 1: +$100
- Trade 2: +$600
- Trade 3: +$200
- Trade 4: +$150
- Trade 5: +$80
If the calculated standard deviation on these winning trades is $220, it means your winning trade profits tend to vary by about $220 around your average winning trade profit.
Key Points
- Winning Consistency: A high standard deviation on winners might suggest inconsistency in your ability to maximize profits on winning trades.
- Risk Management: This metric, in conjunction with other win/loss statistics, can help refine risk management practices regarding winning trades.
Considerations
- Sample Size: A larger sample of winning trades provides a more reliable standard deviation calculation.
