Series are the number of consecutive wins (W) or losses (L). The metric helps to assess the stability of a strategy and to understand what periods of unsuccessful results one needs to be prepared for.
Why take series into account
Two strategies may have the same ROI and hit rate but show different results on individual segments. In one, wins and losses alternate, while in the other several losses may go in a row. Therefore average hit rate alone is not enough to assess the risk and stability of a strategy.
How a losing series affects the bankroll
The maximum losing series helps to choose the stake size. For example, 12 losses in a row with a fixed stake of 5% of the initial bankroll will lead to a loss of 60% of the bankroll. With a 2% stake the losses will amount to 24%. Therefore the stake size must be chosen so that the bankroll can withstand not only a normal but also a longer losing series.
Why a long series does not always mean a problem
Even a profitable strategy can sometimes show several losses in a row. The more bets that have been placed, the higher the probability of encountering a long series. Such a series by itself does not mean that the algorithm has stopped working. However, if it is noticeably longer than the series obtained during retroanalysis, it is worth additionally checking the strategy results and the relevance of its conditions.