Expectancy

Expectancy is the average net result per trade: total net profit and loss divided by the number of trades, or equivalently the win rate times the average win minus the loss rate times the average loss. Expressed in R it becomes the average multiple of the risk taken at entry.

Senzoukria · Glossary · Updated September 2026

Two ways to write it

The direct form is net P&L divided by the number of trades, after commissions and slippage. The decomposed form is win rate × average win − loss rate × average loss, which shows that a low win rate and a large average win can produce the same expectancy as a high win rate and a small average win.

The quant guide on this site works through a hypothetical example in ticks: 40% winning trades averaging 3 ticks and 60% losing trades averaging 1 tick give a gross expectancy of 0.40 × 3 − 0.60 × 1 = 0.6 tick per trade; with 0.8 tick of round-trip costs the net expectancy is −0.2 tick. The point of the exercise is that costs are subtracted from a per-trade average, so a positive gross expectancy can turn negative after execution.

Dollars, ticks or R

  • In dollars, expectancy depends on contract size and instrument. It does not compare across strategies.
  • In ticks, it is independent of the dollar tick value but still tied to the instrument's tick size.
  • In R, each trade is divided by the distance to its stop at entry. A trade that made forty dollars with an eight-tick stop and one that made forty dollars with a forty-tick stop are the same in dollars and very different in R. Trades without a stop have no R.
  • A rolling expectancy over the last N trades shows where a whole-run average hides a strategy that turned.

In Senzoukria

The Replay performance panel shows Expectancy / trade with the hint 'Net P&L divided by the number of trades', next to the win rate, the average win and the average loss that make up the decomposed form. A Rolling expectancy chart over the last N trades is drawn below it.

The backtest panel offers Expectancy per trade as one of the walk-forward objectives and draws an R-multiple chart whose summary reports expectancy in R, the median R, the share of trades at or above one R and the share of trades that had a stop. The site's journal page lists expectancy among the computed statistics of a trading record.

Common mistakes

  • Quoting gross expectancy. Commissions, exchange fees and slippage are part of every trade.
  • Reading a positive expectancy on a handful of trades as an edge. The average of a small sample is dominated by its largest values.
  • Mixing instruments in one dollar expectancy. MNQ and ES trades do not share a tick value.
  • Ignoring the distribution around the mean. Two strategies with the same expectancy can have very different drawdowns.

This page in other languages

Frequently asked questions

Can a strategy with a win rate under fifty percent have positive expectancy?
Yes. Expectancy is win rate × average win − loss rate × average loss, so a minority of winners that are individually larger than the losers can produce a positive average. The reverse also holds: a high win rate with occasional large losses can be negative. Read the win rate and the win/loss ratio together.
Why does the backtest report expectancy in R as well as in dollars?
Dollars depend on the position size and the instrument, so they do not compare strategies with different stops. R divides each trade by what it risked at entry, which puts a tight-stop scalp and a wide-stop swing on the same scale. The desktop only computes R for trades that had a stop and reports the share of trades that did.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.