Rolling Hit Rate

Rolling hit rate tracks the share of signals that turn out profitable over a moving lookback window, often 5 to 63 business days. Unlike a static hit rate computed once over a full backtest, it updates as new trades close, so a decline shows up early. That makes it a live health check on whether a signal is still working rather than a verdict delivered only after the fact.

Hit rate alone can mislead. What matters is the hit rate together with the average size of wins versus losses: a strategy right only 40% of the time can be highly profitable if its winners are much larger than its losers, while one right 60% of the time can lose money if the rare losses are severe. Read the rolling hit rate next to the payoff ratio, not on its own.