Back

Trade Outcome Distribution Explorer

Upload trade results to see mean, median, EV, and how black swan losses skew your distribution.

Feb 23, 2026, Eric

The Core Idea

Most traders judge their strategy by win rate. But a 70% win rate on small gains can be demolished by a handful of large losses — a phenomenon every systematic trader calls "left-tail risk." The Expected Value formula collapses win rate, average win, and average loss into a single number that tells you whether each trade is building or destroying capital in expectation.

The mean and median of your trade distribution tell different stories. The median describes your typical trade — it ignores outliers. The mean describes your average trade — it is pulled by every catastrophic loss. A large gap between the two is a quantitative signal that black swan events are silently eroding your edge.

Data Source

Accepts: numeric values, optional header row, dollar signs and commas are stripped automatically. E.g. 250, -80, $1,200, -3500

Using default data: 120 deterministic trades with 55% win rate, avg win ~$320, avg loss ~$210, one black swan at -$4,200.

Trade P&L Distribution

Green bars = winning trades. Red bars = losing trades. White dashed line = mean. Amber dashed line = median.

Win Rate

50.8%

61 of 120 trades

Loss Rate

49.2%

59 of 120 trades

Avg Win

$412

Avg Loss

$246

absolute value

Mean

$88.46

arithmetic average

Median

$215.00

middle value

Std Deviation

$502

volatility of trades

Mode (±$10 bucket)

$-170

most frequent trade

EV per Trade

$88.46

expected value

Total Trades

120

Largest Win

$740

Largest Loss

-$4,200

Skewness

-5.211

Strongly negatively skewed — heavy left tail from large losses

Expected Value Breakdown

EV = (Win% × Avg Win) − (Loss% × Avg Loss)

= (50.8% × $411.64) − (49.2% × $245.68)

= $209.25 − $120.79

= $88.46 per trade

Win contribution vs. loss contribution (by dollar weight)

+$209.25
-$120.79
Win side: 63.4% of gross flowNet EV: $88.46Loss side: 36.6% of gross flow

Black Swan Effect — Mean vs. Median

Watch the mean move when a single extreme loss is added. The median barely changes.

Mean

$88.46

Median

$215.00

Mean is dragged 51.5% of avg loss below median by outlier losses

The median is resistant to outliers. The mean is not. A strategy with a great median trade but a poor mean may have hidden tail risk — the kind that does not show up in most summary statistics until it is too late.

What This Means

Your strategy is EV-positive at $88.46 per trade. Over 120 trades the expected total edge is $10,615. However, the mean of $88.46 is equal.
Negative skewness of -5.21 is a hidden risk signal. Your distribution has a long left tail — meaning rare but catastrophic losses are stretching the mean below the median. A strategy with great-looking "typical" trades can still be ruined by a handful of these events.
The gap between your mean ($88.46) and median ($215.00) is 51.5% of your average loss — above the 10% tail-risk threshold. Your "typical" trade (median) is meaningfully better than what your average (mean) reflects. Tail events are distorting your true performance picture.
Win rate: 50.8%, avg win: $412, avg loss: $246 — EV of $88.46 per trade is the net result of these three factors multiplied together.