delete your top 5% of trades and look at what is left

[Shadow Trader]

Sort the trade log by profit. Take the top 5% (10 trades out of 200, say) and remove them. What does the total look like now?

For a lot of strategies the answer is ugly. Trading profits are often fat-tailed, meaning a handful of outsized winners carry most of the result while the bulk of trades hover around break-even or small losses. Remove the handful and the equity curve can go flat or negative.

That is not automatically bad. Trend-style systems live this way. The trouble comes when a scalper expects steady small wins and the real profit came from three lucky news spikes, or from one big winner that cannot be repeated.

What the test shows is dependence. If the total survives with the top 5% gone, the edge is spread across many trades. If it vanishes, the edge sits on a few events, and a long stretch without one will look like a broken system.

Try it from the other end too and delete the worst 5%. The gap between the two answers is revealing.

What fraction of your total profit came from your best 10 trades, and did the number surprise you?