Expectancy is the average expected profit per trade, expressed either in currency or in R-multiples (units of risk). It combines win rate and average win/loss size into a single number. A positive expectancy is the bare minimum for a strategy to be profitable in the long run.
In R-multiples: expectancy = (win_rate · avg_win_R) − ((1 − win_rate) · avg_loss_R). 'Avg loss R' is positive by convention (it is the magnitude of the loss). 0.2R expectancy means you make an average of 0.2 R per trade over many trades.
Expectancy multiplied by trade frequency gives 'expectancy per unit time' — a strategy with 0.3R per trade and 10 trades a week beats one with 0.5R per trade and 1 trade a month.
Formula
expectancy = (win_rate · avg_win) − ((1 − win_rate) · avg_loss)
Esempio
Win rate 45%, avg win 2R, avg loss 1R. Expectancy = 0.45 · 2 − 0.55 · 1 = 0.35R per trade.
Come Noon Barbari usa Expectancy
Ogni concetto qui è implementato nella piattaforma. Apri la documentazione o lo strumento corrispondente per vederlo all'opera.
Risk-reward & expectancy →Termini correlati
- Statistica
Win rate
Fraction of trades that closed profitable. On its own, says little about edge.
- Statistica
Profit factor
Gross profit divided by gross loss. > 1.0 = profitable, > 1.5 = strong.
- Rischio
Risk-reward ratio
Ratio of potential gain to potential loss on a trade — also written R-multiple.
- Statistica
Sharpe ratio
Excess return over the risk-free rate per unit of total volatility.