Which single metric matters most?

The question does not have an answer, and treating any one figure as a summary is how the others get ignored. Expectancy tells you the average, drawdown tells you the path, and the sample size tells you how much either is worth. They are read together or not at all.

Why does my profit factor look good while my account is down?

Most often because the period being measured is not the period the account lost money in, or because open positions are excluded. Profit factor is computed from closed results; a book can have a healthy closed-trade ratio and an unrealised position carrying the account.

Do fees change these numbers much?

They change every one of them, and by more than most books assume, because the cost is charged per trade rather than per dollar of profit. A cost that is a rounding error on one trade is a fixed drag repeated across every trade in the sample.

Trading Journal Metrics Explained

Win rate and payoff are one fact in two parts

Win rate is the share of trades that closed positive. Payoff — the average win divided by the average loss — is how much a winner is worth relative to a loser. Neither means anything alone.

A 70% win rate at a 0.5 payoff and a 35% win rate at a 2.5 payoff are both above break-even; a 70% win rate at a 0.2 payoff is not. The figure that reconciles them is the break-even win rate implied by the payoff: 100 ÷ (1 + payoff).

Win rate against payoff

The line is the break-even win rate for each payoff. A book above it has a positive average; below it, negative.Illustration built from the example in the text — not real trades.

Expectancy and profit factor say the same thing differently

Expectancy is the average result per trade — in dollars, or in R when size is normalised out. Profit factor is gross profit divided by gross loss: above 1 means the winners covered the losers.

They are computed from the same four inputs and cannot disagree about direction. Expectancy is the more useful of the two for planning, because it is per trade and therefore multiplies by a trade count; profit factor is the more useful for comparing two books of different lengths.

The statistics that depend on order

Almost every metric is order-independent: shuffling the trades changes nothing. Three are not.

Maximum drawdown — the largest peak-to-trough fall in the equity curve. The same set of trades in a different order produces a different figure.
Streaks — the longest run of consecutive wins or losses.
Anything conditioned on what came before, such as how the trades taken immediately after a loss compare with the rest.

SQN, and why sample size is capped

SQN divides expectancy in R by the standard deviation of those R values and scales by the square root of the trade count. It is expectancy measured against its own noise: two books with the same average can have very different SQNs if one is far more variable.

The sample-size scaling is capped at 100 trades by convention, because without a cap a long enough sample makes any positive average look exceptional — the statistic would end up measuring how long someone has been trading.

Hold time, and the metric most books ignore

Average hold time separates approaches that look identical in P&L. Two books with the same expectancy, one holding for four minutes and one for four days, have different capacity, different fee sensitivity and different exposure to events.

It is also the cheapest way to spot a book that is not what its owner thinks it is — a set of intended day trades with a median hold of two days is a description of behaviour, not of a plan.

Questions

Which single metric matters most?: The question does not have an answer, and treating any one figure as a summary is how the others get ignored. Expectancy tells you the average, drawdown tells you the path, and the sample size tells you how much either is worth. They are read together or not at all.
Why does my profit factor look good while my account is down?: Most often because the period being measured is not the period the account lost money in, or because open positions are excluded. Profit factor is computed from closed results; a book can have a healthy closed-trade ratio and an unrealised position carrying the account.
Do fees change these numbers much?: They change every one of them, and by more than most books assume, because the cost is charged per trade rather than per dollar of profit. A cost that is a rounding error on one trade is a fixed drag repeated across every trade in the sample.