BacktestFolio · Glossary
Success Rate
In plain language
If in 920 out of 1,000 historical scenarios the portfolio does not run out before the chosen duration, the success rate is 92%. It does not mean there is a 92% chance things will go well — the future differs from the past — but it shows how historically sustainable that strategy has been.
Technical definition
Percentage of historical or simulated scenarios in which the portfolio is not depleted within the chosen duration and, if a final goal is set, is worth at least that share of initial capital at the end (final value and depletion count, not interim drawdowns). A variant weighted by probability of being alive also exists.