Trading expectancy calculator
Calculate what a set of trades made or lost per trade on average, from win rate, average win and average loss.
How it is calculated
Expectancy weighs the average win by how often trades win, and the average loss by how often they lose:
The result is the average outcome of one trade in the unit you entered. A positive figure means the gains from winners outweighed the losses from losers across the sample; a negative figure means the opposite.
Expectancy in R divides by the average loss, so it reads as a fraction of a typical loss: +0.26R means each trade added about a quarter of an average loss. That makes strategies with different position sizes comparable.
Profit factor is gross profit divided by gross loss. Above 1 matches positive expectancy, below 1 matches negative expectancy.
Two sets of trades
Win rate 45%, average win 180, average loss 100
| Step | Working | Result |
|---|---|---|
| Expectancy | 0.45 × 180 − 0.55 × 100 | +26.00 |
| In R | 26 ÷ 100 | +0.26R |
| Profit factor | 81 ÷ 55 | 1.47 |
| Break-even win rate | 100 ÷ (180 + 100) | 35.71% |
A high win rate with negative expectancy
Win rate 65%, average win 80, average loss 170.
| Step | Working | Result |
|---|---|---|
| Expectancy | 0.65 × 80 − 0.35 × 170 | −7.50 |
| In R | −7.5 ÷ 170 | −0.04R |
| Profit factor | 52 ÷ 59.5 | 0.87 |
| Break-even win rate | 170 ÷ (80 + 170) | 68.00% |
Nearly two trades in three win, yet the set loses money, because the average loss is more than twice the average win and the win rate is below the 68% that payoff needs.
Pitfalls and assumptions
- A description of the past. Expectancy summarises trades that already happened. The total over 100 trades is a multiplication, not a projection.
- Include costs. Use averages after commission and swap, or expectancy will look better than the account statement.
- Break-even trades. The formula assumes every trade is a win or a loss. If your records leave out trades closed at zero, the win rate and expectancy both shift, so count them the same way every time.
- Sample size. With few trades, one outlier moves the averages a long way. There is no fixed number of trades after which an average becomes reliable.
- Order is invisible. Two sets of trades with the same expectancy can have very different losing streaks and drawdowns. The risk of ruin calculator looks at that side.
Frequently asked questions
What is trading expectancy?
Expectancy is the average amount won or lost per trade across a set of trades, taking into account both how often trades win and how large wins and losses are. It is a summary of the trades that were measured.
How do you calculate expectancy?
Multiply the win rate by the average win, multiply the loss rate by the average loss, and subtract the second from the first. At a 45% win rate, an average win of 180 and an average loss of 100: 0.45 × 180 − 0.55 × 100 = 26 per trade.
What does expectancy in R mean?
R is one unit of risk, usually the amount lost when a stop is hit. Expectancy in R divides expectancy by the average loss, so +0.26R means the average trade gained 26% of an average loss. It lets you compare records with different position sizes.
Can a high win rate have negative expectancy?
Yes. A 65% win rate with an average win of 80 and an average loss of 170 has an expectancy of −7.50 per trade. The win rate needed to break even at that payoff is 68%.
How many trades does expectancy need to mean anything?
There is no fixed number. The fewer the trades, the more a handful of unusual results move the averages. A figure from a few dozen trades describes those trades; it says much less about trades that have not happened yet.
What is the difference between expectancy and profit factor?
Expectancy is an amount per trade. Profit factor is a ratio: gross profit divided by gross loss. Both come from the same inputs, and a profit factor above 1 always goes with positive expectancy.
Related calculators
- Break-even win rate calculatorThe win rate at which average wins pay for average losses and trading costs.
- Risk of ruin calculatorHow often simulated accounts with your win rate, payoff and risk per trade fall to a set drawdown.
- Risk reward ratio calculatorThe reward-to-risk ratio from entry, stop and target, and the win rate that ratio needs to break even.
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