Trading Expectancy Calculator
Understand whether a defined trading system has positive or negative mathematical expectancy under its assumed win and loss statistics.
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How this tool works
Understand whether a defined trading system has positive or negative mathematical expectancy under its assumed win and loss statistics. Inputs should represent your own assumptions, current instrument specifications and account denomination; no automatic market-data feed is used unless the page explicitly states otherwise.
Expectancy = win probability × average win − loss probability × average loss − average round-trip costs.
Worked example
A 40% win rate, £250 average win and £100 average loss produces £40 expectancy before costs per trade.
What to check before relying on a result
Check the direction of the trade, units and currency, market contract specifications, realistic spreads and slippage, execution conditions, any applicable taxes and fees, and whether the assumed model fits your instrument. A calculator does not eliminate market risk.
Frequently asked questions
Does positive expectancy guarantee profit?
No. Results vary, sample statistics can change and real trading may differ materially from model assumptions.
How do fees affect the calculation?
Enter the average full round-trip cost per trade, including commissions and other estimated costs.
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Trading expectancy is the average modelled net outcome per trade: win probability multiplied by average winning trade, minus loss probability multiplied by average losing trade, minus average transaction costs. It evaluates the arithmetic of an assumed distribution; it does not prove that a trading strategy will deliver the same outcomes in future markets.
How to use this calculator correctly
- Step 1. Estimate the win rate using a suitably large and relevant sample of completed trades.
- Step 2. Use realistic average gross winning and losing amounts rather than the largest winner or intended target.
- Step 3. Enter a full round-trip transaction-cost estimate and an illustrative number of trades.
- Step 4. Compare the result with sample variability, maximum drawdowns and out-of-sample performance.
Worked comparisons
These are illustrative arithmetic examples, not forecasts or market quotations. They help show how changing one input affects the result.
| Win rate | Average win | Average loss | Gross expectancy per trade |
|---|---|---|---|
| 40% | £250 | £100 | +£40 |
| 30% | £250 | £100 | +£5 |
| 25% | £250 | £100 | −£12.50 |
How to interpret the results
A positive expected value can coexist with a long run of losing trades. A £40 average does not mean each transaction makes £40; it is a modelled long-run arithmetic mean given the inputs. If a strategy's win rate changes across market regimes or its trading costs rise, the expectation can reverse. Examine the actual distribution of R multiples and the concentration of returns across a handful of unusually large winners.
Common mistakes and limitations
- Estimate outcomes from realised fills, not planned profits.
- Use one consistent denominator: win rate excludes or explicitly accounts for break-even trades.
- Treat this as a first-moment model; it does not measure variability, sequence risk or the probability of ruin.
Further questions
Is a 40% win rate necessarily poor?
No. A lower win rate can be consistent with positive expectancy when average wins are sufficiently larger than losses and costs.
Does expectancy predict next month's profit?
No. Sample size, variance, execution quality and changing market conditions create considerable uncertainty.
Why run a Monte Carlo simulation too?
Expectancy considers average outcomes; a simulation explores possible sequences and drawdowns under specified assumptions.
Related Traders MBA learning
Explore the methodology and related calculations in these directly relevant resources:
Figures are illustrative and depend on input assumptions. This material provides general education, not financial advice, trading signals or a forecast. Verify instruments, exchange or broker terms and execution costs before relying on a calculation.