📈 수익곡선이 진짜 핵심일까요, 아니면 Profit Factor?

Cool question, and it depends. With a prop, it depends. You have guardrails that dictate your trading so you generally need a high win rate strategy. With a low win rate, if you get unlucky, you get stopped out. There's a "rule of 3" in statistics that essentially says that you aren't unlucky until you triple the failure rate. That is, if you have a 1 in 2 success rate, 50% win rate, expect to lose 6 times in a row. If you lose 7 times in a row, then your win rate is probably less than 50%. Likewise, if you do a 3:1 strategy with a 1 in 4 win rate, you should expect to lose 12 times in row. This means each bet has to be less than 1/12 your max drawdown and it means that, if you get 1 trade a day, that you only have 8 days left to pass your account. So, 50% is better than 25% even if profit factor on 25% is better.

Outside of props, the metric id look at is, "profit factor beyond S&P buy and hold per time held." If you make 3.5 profit factor but S&P was 2.5 in that time period, its not a great strategy. If you have one person with 3.5 and the hold for 30 minutes a day, and another person has a 3.5 profit factor but buys at the open and sells at the close, then the 30 minute hold is 15 times as good of a strategy. They're making the same profit in 30 minutes rather than 7 and a half hours. Account for both of those and you have a good metric to compare strategies too. Oh, and be careful of using % of account to trade. While its more realistic, in backtests, one big outsized win early on swings the whole strategy and makes it look better than it is.