Comparing two trading strategies properly means using the same statistics, over comparable sample sizes and time periods, adjusted for risk — not just checking which one made more total profit. Total profit alone can make a riskier, less repeatable strategy look better than a more consistent one.
Use the Same Statistics for Both
Calculate win rate, expectancy, and maximum drawdown identically for both strategies. Comparing one strategy's win rate against another's total dollar return isn't a real comparison — it's comparing two different things that happen to both be numbers.
Match Sample Size and Time Period
Comparing 20 trades of Strategy A against 200 trades of Strategy B isn't a fair test — see how many trades you need to evaluate a strategy for why small samples are dominated by variance. Where possible, compare results from the same or similar time period too, since market conditions that favored one strategy may not have existed for the other.
Compare Risk-Adjusted Performance, Not Just Returns
A Worked Example
Strategy A returns 20% over a period with a 10% maximum drawdown. Strategy B returns 30% over the same period with a 35% maximum drawdown. Strategy B made more money, but Strategy A delivered a much better return for the risk taken — and would likely be far more survivable through a bad stretch. "Which made more" and "which is better" are frequently different answers.
Check Consistency, Not Just the Averages
Two strategies with identical expectancy can have very different consistency — one delivering smooth, steady results and the other swinging wildly around the same average. Reviewing the equity curve shape for each, not just the summary statistics, often reveals a clearer picture than the numbers alone.
Simultaneous vs. Sequential Testing
Where practical, testing two strategies over the same calendar period — even in parallel on different accounts — removes market conditions as a confounding variable. Comparing a strategy tested during trending markets against one tested during a ranging period conflates strategy quality with market luck.
Compare Strategies With Identical, Automatic Statistics
LedgerPips calculates the same win rate, expectancy, and drawdown statistics automatically for every synced strategy or setup, so comparisons are apples-to-apples by default.
Conclusion
A fair comparison between two strategies uses the same statistics, matched sample sizes, and risk-adjusted performance — not just total profit. The strategy that made more money isn't automatically the better one once drawdown and consistency are taken into account.
