Trading Expectancy and Profit Factor Calculator

Expectancy: the average trade

Expectancy is what a strategy makes or loses per trade on average. It combines how often you win with how much you win and lose, which is why a 35% win rate can be healthy and a 75% win rate can lose money.

expectancy     = win rate × average win − loss rate × average loss
profit factor  = gross profit ÷ gross loss
breakeven rate = average loss ÷ (average win + average loss)

Worked example

With the default inputs, 40% of trades win an average of 180 and 60% lose an average of 100. Expectancy is 0.4 × 180 − 0.6 × 100 = 12 per trade. Profit factor is 72 ÷ 60 = 1.2. The breakeven win rate at this payoff is 100 ÷ 280 ≈ 35.7%, so the strategy has about four percentage points of margin before costs erase it.

Expectancy in R

Dividing by the average loss expresses expectancy in R, the amount risked per trade. A result of 0.12 R means the strategy returns 12% of its risk per trade on average. R makes strategies comparable across account sizes and position sizes, and it feeds directly into the risk of ruin calculator.

How much to trust the number

• Sample size. Expectancy from 30 trades is a rough guess. The standard error shrinks with the square root of the number of trades, so precision improves slowly.
• Costs. Spread, commission and swap belong inside the average win and loss. Leave them out and a thin edge looks better than it is.
• Outliers. One unusually large win can carry the whole average. Check the result with that trade removed.

The free trade log analyzer computes these figures from a real trade export and flags thin samples and outlier dependence automatically.