Outcome concentration
How much of the submitted result depends on its few largest winners?
Rank trades by net outcome, remove the largest few, and recompute the record. The change measures dependence; it does not decide whether that dependence is acceptable.
THE PRESSURE TEST
Move the convenient assumptions.
Concentration is a property to disclose, not an automatic failure. Some strategies are structurally right-skewed. The evidence becomes weak when the strategy's explanation and its observed distribution disagree.
- Measure the share of the net result contributed by the top five winners.
- Recompute expectancy after removing those trades.
- Compare the stated strategy behavior with the observed distribution.
- Keep sample size visible beside every concentration percentage.
A trend-following record may reasonably rely on infrequent large moves. A mean-reversion strategy described as producing many small, repeatable outcomes deserves more scrutiny when four trades explain the entire history.
The check stops here.
Low concentration does not prove independence or persistence. High concentration does not prove luck. The test shows where the historical claim gets its weight so a reviewer can judge the dependence openly.
SEE THE CALCULATION, NOT A CLAIM