Win Rate vs. Survival Probability: The Math Behind Trading Ruin

Описание: Most 0DTE traders make a fatal mistake: they confuse the probability of profit with the probability of survival. In this video, we break down "The Survival Paradox" to explain why optimizing for a high win rate might actually increase your chances of blowing up your account.
In this video, we cover:
1. The Core Insight: There is a massive difference between the probability a trade wins and the probability your account survives a sequence of trades. These two metrics are not the same, and often, you can increase your win rate while simultaneously lowering your survival probability.
2. The "First-Passage" Problem: Retail traders obsess over their win rate, but the correct mathematical question is: "What is the probability I hit my loss threshold before I hit my profit target?". This is a "first-passage problem," not an Expected Value (EV) problem.
3. Why 90% Accuracy Can Fail: High win rate strategies in 0DTE often rely on asymmetric payoffs—small, frequent wins paired with rare, massive tail losses. A 90% win rate can be a death sentence because the account doesn't care how often you are right; it only cares if you cross a drawdown level you cannot recover from.
4. The Mathematical Proof: We look at a Python simulation comparing two strategies with the same EV. The code proves that "Strategy B" (higher win rate, big tail loss) touches the ruin threshold far more often than "Strategy A" (lower win rate, small losses).
5. How to Fix Your Trading: Stop treating win rate as a "comfort metric" and start viewing survival probability as a "risk metric".
• The Golden Rule: If a single loss is larger than 20 to 30 average wins, your sizing is wrong, regardless of your EV.
• The Professional Mindset: Amateurs optimize for how often they feel good; professionals optimize for whether they will still be trading next month.