Expectancy Calculator
What one trade is worth on average, and what that compounds to over your sample.
Expectancy, not win rate, decides whether a system is profitable
A 70% win rate sounds impressive and loses money when the average loss is three times the average win. A 35% win rate sounds terrible and makes money when winners pay 3:1. The thing to compare across strategies is expectancy per unit of risk, often written as R-expectancy - how many dollars of average profit you earn per dollar you were willing to lose.
+0.1R per trade is marginal. +0.3R is solid once costs are properly priced in. +0.5R and above is unusually strong and worth investigating for curve-fitting before you believe it.
Common questions
What is expectancy in trading?
Expectancy is the average profit or loss per trade across your entire history. The formula is win rate x average win - loss rate x average loss. A strategy with a 40% win rate that makes $300 on winners and loses $150 on losers has an expectancy of 0.4 x 300 - 0.6 x 150 = +$30 per trade. That number, not the win rate, is what tells you whether the system is profitable.
What is a good expectancy?
There is no absolute number because expectancy scales with position size. The right ratio to compare across systems is expectancy divided by average loss, often called R-expectancy: it tells you how much you earn per unit of risk. +0.1R is marginal, +0.3R is solid, +0.5R and above is unusually strong once costs are properly priced in.
What is breakeven win rate?
The win rate at which your expectancy is exactly zero, given your average win and average loss. It is loss / (win + loss) when both are expressed as positive numbers. A 1:2 payoff ratio has a breakeven of 33% - any win rate above that is profitable, any below is not. This is why 'win rate' alone is a misleading quality metric.
How many trades do I need before expectancy means anything?
Below 30 trades the number is almost pure noise. 100 trades is a reasonable floor for a first read. For strategies that take 20-30 trades a year, that means several years of data before expectancy is informative - which is why many annual anomaly strategies cannot be validated inside a single researcher's career without pooling across symbols.
Does expectancy include costs?
It should. The expectancy figures that matter are net - after spread, commission and swap. A gross expectancy of +0.5R that becomes +0.05R after real costs is not the same system. Every strategy published on this site has its expectancy priced on real per-minute spread data for exactly this reason.
Where we use this
The expectancy numbers that matter are net - after real spread, commission and swap.
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