Psychology and neuroscience are increasingly looking to fine-grained analyses of decision-making behaviour, seeking to characterise not just the variation between subjects but also a subject's variability across time. When analysing the behaviour of each subject in a choice task, we ideally want to know not only when the subject has learnt the correct choice rule but also what the subject tried while learning. I introduce a simple but effective Bayesian approach to inferring the probability of different choice strategies at trial resolution. This can be used both for inferring when subjects learn, by tracking the probability of the strategy matching the target rule, and for inferring subjects use of exploratory strategies during learning. Applied to data from rodent and human decision tasks, we find learning occurs earlier and more often than estimated using classical approaches. Around both learning and changes in the rewarded rules the exploratory strategies of win-stay and lose-shift, often considered complementary, are consistently used independently. Indeed, we find the use of lose-shift is strong evidence that animals have latently learnt the salient features of a new rewarded rule. Our approach can be extended to any discrete choice strategy, and its low computational cost is ideally suited for real-time analysis and closed-loop control.