10 losses in a row look like a sign that something broke. Sometimes they are; often they are what chance gives a system with an ordinary win rate and enough trades. The useful question is not whether a streak hurts but whether it is longer than your win rate and trade count would give. Here is a table computed with Rigor's engine function, the assumption behind it and what changes when there is a loss limit.
What the table counts
The longest losing streak in a history is the largest number of losing trades in a row. It depends on two things: how often each trade loses and how many trades there are. More trades give more chances for several losses to line up, so the longest streak grows even when the system does not change.
The table gives two figures per row. The median streak is the longest one reached in at least half of the histories of that size. The 1-in-20 streak is the longest one reached in at least 1 history in 20: less common, but still within what chance gives.
How the table was calculated
Declared · Assumption: independent trades with the same probability of losing on each, equal to one minus the win rate. The longest_run_tail function in Rigor's engine computes exactly, with Feller's recurrence, the probability that the longest losing streak reaches at least each length. The median streak is the longest length with a probability of at least 0.5; the 1-in-20 streak, the longest with a probability of at least 0.05.
There are no draws and no seeds: the result is exact under that assumption. If your losses depend on each other, because they come together in certain markets or because you open several positions at once, real streaks can be longer than the table's.
Table: longest losing streak from chance
| Win rate | Trades | Median streak | 1-in-20 streak |
|---|---|---|---|
| Declared · 45 % | Declared · 100 | Declared · 6 | Declared · 11 |
| Declared · 45 % | Declared · 200 | Declared · 8 | Declared · 12 |
| Declared · 45 % | Declared · 500 | Declared · 9 | Declared · 13 |
| Declared · 50 % | Declared · 100 | Declared · 6 | Declared · 9 |
| Declared · 50 % | Declared · 200 | Declared · 7 | Declared · 10 |
| Declared · 50 % | Declared · 500 | Declared · 8 | Declared · 12 |
| Declared · 55 % | Declared · 100 | Declared · 5 | Declared · 8 |
| Declared · 55 % | Declared · 200 | Declared · 6 | Declared · 9 |
| Declared · 55 % | Declared · 500 | Declared · 7 | Declared · 10 |
| Declared · 60 % | Declared · 100 | Declared · 4 | Declared · 7 |
| Declared · 60 % | Declared · 200 | Declared · 5 | Declared · 8 |
| Declared · 60 % | Declared · 500 | Declared · 6 | Declared · 9 |
How to read the table
Declared · At a 50 % win rate and 200 trades, the longest streak reaches 7 losses in at least half of the histories and 10 in at least 1 history in 20: in 9.0 % of them. At 60 % and the same trades, the figures are 5 and 8; at 45 %, 8 and 12. At a 50 % win rate, going from 100 to 500 trades moves the median streak from 6 to 8.
A streak that does not exceed your row's 1-in-20 figure does not, on its own, point to a change in the system. A clearly longer one does deserve an explanation: dependence between trades, a change of regime or a change of rules. A streak that fits the table does not show an edge either: the table only describes chance at that win rate. If your win rate comes from few trades it also has a wide margin, and the linked win-rate calculator shows it.
Why a loss limit makes an ordinary streak decisive
In a prop-firm challenge a streak is not only endured: it is measured against a limit. If each loss takes a fixed percentage of the initial balance, a streak of k losses takes k times that percentage, before costs.
Declared · At a risk of 1.0 % per trade, the 1-in-20 streak of the 50 % and 200-trade row takes 10.0 % of the initial balance; at 0.5 %, it takes 5.0 %. If your challenge's total limit is below that figure, a streak that chance gives in 9.0 % of histories ends the attempt.
The daily limit acts sooner: several losses in the same session can touch it even when the whole streak fits within the total limit. That is why it matters how many trades you open per day and whether several can lose at once. Rules differ between firms and change over time; read them in your challenge's current terms and compare them with the streaks in your own history, not those in a backtest screenshot. The linked page for prop-firm challenges and the article on how many attempts your history suggests explain the rest of the calculation.
What the report measures with your trades
With a history of closed trades, the report compares your longest losing streak with the one chance gives at your own share of losses. Up to 5,000 trades, the loss_streak_review function uses your same trades in random order, exactly: it spreads your losses over every possible position. Above that, it uses the table's recurrence. It shows the typical longest losing run by chance, the 1-in-20 one and the chance of a streak at least as long as yours.
If that chance falls below 1 in 20, the report notes that the losing trades came closer together than chance explains, which often points to losses that depend on the type of market or to positions open at the same time. It needs at least 20 closed trades, with losing and non-losing ones; otherwise the figure stays Not measured. None of this changes the class or anticipates the next streak.
Find your row
Open the linked win-rate calculator to see the margin on your win rate, then find your row in the table.
FAQ
Does the table apply to any strategy?
It applies to the assumption it declares: independent trades with the same probability of losing. If your strategy changes size after a loss, opens several correlated positions or loses more in certain markets, real streaks can get longer. The report compares your streak with your own trades in random order.
Does a streak longer than the table's prove that something changed?
It does not prove it. It is a reason to review dependence between trades, a change of regime or of rules. With few trades, the win rate you read the table with also has a wide margin, and a neighbouring row may describe your history better.