Trading Expectancy Calculator
Trading expectancy is the average amount a trade makes or loses: win rate × average win, minus loss rate × average loss, minus costs. Win 40% of the time with a $450 average win and a $200 average loss, pay $10 a trade in costs, and expectancy is +$50 a trade, or +0.25R.
Enter your win rate and your average win and average loss, in dollars or in R, plus your costs per trade if you want them counted. You get your expectancy per trade after costs in dollars and in R, the profit factor before costs, the average over a number of trades, the breakeven win rate at your payoff, and how much of the edge the costs take. It is arithmetic on the numbers you type, so it never sees your chart, your account, or your trade history.
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Trading Expectancy Calculator
What your win rate and average win and loss make per trade, after costs
Enter the average loss as a positive number. Costs are commission plus slippage, taken off every trade.
Enter your win rate, average win, and average loss to see your expectancy.
The formula
How trading expectancy is calculated
Expectancy = W × Average win - (1 - W) × Average loss - Costs
Expectancy (R) = Expectancy ÷ Average loss (dollars mode; entered in R, it is already in R)
Profit factor = (W × Average win) ÷ ((1 - W) × Average loss)
Breakeven win rate = (Average loss + Costs) ÷ (Average win + Average loss)
Average over N trades = Expectancy × N
W is your win rate as a decimal, so 1 - W is the share of trades that lose. The formula counts every trade as either a win of your average win or a loss of your average loss, and the costs, commission plus slippage, come off every one of them. The answer is what the average trade in your record made, which is the number an edge is made of.
Dividing by the average loss puts expectancy in R, the size of a typical loser, so a record traded on a small account compares directly with one traded on a big one. Measuring trades as multiples of the risk taken is the framing Van K. Tharp uses in Trade Your Way to Financial Freedom, which, as its publisher McGraw Hill describes it, evaluates trading systems as a set of R multiples and explains expectancy. If you risk a fixed amount per trade, switch the calculator to R and enter your averages as multiples of that risk. In dollars, it uses your average loss as 1R, the closest stand-in when the planned risk is not typed.
Worked examples, with and without an edge
| Line | Low win rate, big winners | High win rate, small winners | Entered in R |
|---|---|---|---|
| Win rate | 40% | 75% | 50% |
| Average win | $450 | $120 | 1.6R |
| Average loss | $200 | $400 | 1R |
| Costs per trade | $10 | $5 | 0.1R |
| Expectancy before costs | +$60 (+0.30R) | -$10 (-0.03R) | +0.30R |
| Expectancy after costs | +$50 (+0.25R) | -$15 (-0.04R) | +0.20R |
| Profit factor (gross) | 1.5 | 0.9 | 1.6 |
| Breakeven win rate | 30.8% | 76.9% | 38.5% |
| Breakeven after costs | 32.3% | 77.9% | 42.3% |
| Average over 100 trades | +$5,000 (+25.00R) | -$1,500 (-3.75R) | +20.00R |
In the first column, 0.4 × $450 = $180 of wins and 0.6 × $200 = $120 of losses per trade on average, so the record makes $60 a trade before costs and $50 after $10 in costs, which is 0.25R at a $200 average loss. Over 100 trades that averages $5,000. The second wins three trades in four and still loses: 0.75 × $120 = $90 against 0.25 × $400 = $100 is -$10 a trade before costs and -$15 after, because at that payoff it needs 77.9% winners once costs are counted. The third is entered in R: 0.5 × 1.6R - 0.5 × 1R = 0.3R before costs and 0.2R after 0.1R in costs, or 20R over 100 trades.
Expectancy by the numbers
Expectancy across win rates and payoffs
Each cell is the expectancy per trade in R before costs, where the payoff is the average win divided by the average loss. Read across a row to see what a bigger payoff does at the same win rate, and down a column for a better win rate at the same payoff. The 0R cells sit exactly on the breakeven line, 1 ÷ (1 + payoff), which the breakeven win rate calculator works out for any payoff.
| Win rate | Payoff 0.5 | Payoff 1 | Payoff 1.5 | Payoff 2 | Payoff 3 |
|---|---|---|---|---|---|
| 30% | -0.55R | -0.40R | -0.25R | -0.10R | +0.20R |
| 40% | -0.40R | -0.20R | 0R | +0.20R | +0.60R |
| 50% | -0.25R | 0R | +0.25R | +0.50R | +1.00R |
| 60% | -0.10R | +0.20R | +0.50R | +0.80R | +1.40R |
| 70% | +0.05R | +0.40R | +0.75R | +1.10R | +1.80R |
Expectancy per trade in R, before commission, spread, or slippage.
A 30% win rate is a winning record at a payoff of 3 and a losing one at 2. A 70% win rate is a winning record even at a payoff of 0.5, but only just. Neither number means much without the other, which is the whole point of working out the expectancy.
Win rate is not the edge
Why a high win rate can still lose money
Small wins and big losses add up to a record that feels good and loses money. Taking profits early while giving losers room to run does exactly this: the win rate climbs while the payoff shrinks. The table holds the win rate at 80% and the average loss at $400, and changes only the size of the average win.
| Average win | Payoff | Breakeven win rate | Expectancy at 80% | Profit factor |
|---|---|---|---|---|
| $80 | 0.2 | 83.3% | -$16 | 0.8 |
| $100 | 0.25 | 80.0% | $0 | 1 |
| $120 | 0.3 | 76.9% | +$16 | 1.2 |
| $200 | 0.5 | 66.7% | +$80 | 2 |
Per trade, before costs, with a $400 average loss.
At a payoff of 0.25 the breakeven win rate is 80%, so winning four trades in five only breaks even, and a smaller average win loses money at the same win rate. The fix is rarely more winners. It is either bigger winners or smaller losers, which is why the risk reward calculator is worth running before the trade, not after. For more on why a positive expectancy is the definition of an edge, see what a trading edge is.
Three readings of one record
Expectancy, profit factor, and the breakeven win rate
Profit factor is total winnings divided by total losses. TradeStation's strategy performance report calculates it by dividing gross profit by gross loss, and notes that its figure takes commissions into account. Here it comes from your averages, (W × average win) ÷ ((1 - W) × average loss), and it is gross: the costs you enter are not in it, which is why the calculator shows the expectancy after costs next to it.
Before costs the three numbers always agree. A profit factor above 1, a positive expectancy, and a win rate above the breakeven line are the same statement. In the first worked example the profit factor is 1.5: $180 of average winnings per trade against $120 of losses, which is +$60 a trade before costs, and a 40% win rate against a breakeven of 30.8%. In the second, 0.9 lines up with -$10 a trade. What each one adds is the unit: expectancy says how much, profit factor says how many dollars of wins per dollar of losses, and the breakeven win rate says how far your win rate could fall before the edge is gone.
Expectancy says whether there is an edge. It does not say how much to risk on it. Once the number is positive, the Kelly criterion calculator shows how much of the account the same win rate and payoff support risking per trade, and the position size calculator turns that risk into a share count.
Costs and sample size
What costs and a short record do to expectancy
Costs come off every trade
A small edge traded often is where costs hurt most. Say a setup wins 55% of the time and wins and loses $60 on average. Before costs that is +$6 a trade, a profit factor of 1.22. At $4 a trade in commission and slippage it is +$2, so the costs take 66.7% of the edge. At $7 it is -$1 a trade, and the win rate it needs to break even rises to 55.8%. The profit factor is the same in all three cases, because it is measured before costs. Slippage is the easiest cost to leave out, because no fee line shows it; see why your fill isn't always your price.
Why 20 trades is not enough
Expectancy from a short record mixes skill with luck. Take 10 wins in 20 trades at a $300 average win and a $200 average loss: a 50.0% win rate and +$50 a trade. Flip 2 of those wins to losses and it is 40.0% and $0, no edge at all. In 20 trades every result moves the win rate by 5 percentage points, and streaks of that size happen by chance all the time. There is no exact number of trades that makes a record trustworthy, but more trades of the same setup make the estimate steadier, and a record that holds up as it grows is worth more than one good month. Logging the same fields on every trade is what makes that record usable; see what to track in a trading journal.
A positive expectancy also does not mean a smooth ride. The average hides the order the trades come in, and a run of losers in a row still happens to a record with an edge. For what a deep run of losses costs to climb back from, see what drawdown is and why getting back costs more.
Common mistakes
Common trading expectancy mistakes
- Leaving the costs out. Commission, spread, and slippage come off every trade, win or lose. A record that makes +$6 a trade before costs is a losing record at $7 a trade in costs.
- Trusting a short record. In 20 trades each result moves the win rate by 5 percentage points, so a few lucky or unlucky trades can make an edge look bigger, smaller, or gone.
- Entering the average loss as a negative number, or mixing units. The formula already subtracts the losses, so type the average loss as a positive number, and keep the win, the loss, and the costs in the same unit.
- Blending setups into one record. A win rate mixed from your best setup and your impulse trades describes neither. Work out the expectancy of each setup on its own record.
- Reading the 100-trade figure as a forecast. It is the average the numbers imply. Any real run of 100 trades lands above or below it, with losing streaks along the way.
- Judging a strategy by its win rate alone. The win rate only means something next to the payoff, which is why a strategy that wins 75% of the time can still lose money.
- Counting scratch trades as losses. The formula treats every trade that is not a win as an average loss. If you close a lot of trades near breakeven, work out the win rate from wins and losses only, and read the result as the expectancy per trade that won or lost.
Expectancy is a property of a record, so it works best next to the per-trade tools. The risk reward calculator gives the payoff of a single planned trade, the breakeven win rate calculator shows the win rate that payoff needs, and the Kelly criterion calculator sizes a positive edge once you have one.
Grade the setup before you take it
Expectancy describes the trades you already took. It can't tell whether the next chart looks anything like the ones that earned it. Upload a chart screenshot and SnapPChart grades the setup A+ to F in seconds. If you sign in and log the entry and exit of the trades you take on graded setups, the Trade stats card on the SnapPChart analytics page shows the win rate, the average win and loss, and the profit factor of those logged trades. The card's average win and loss are percent returns, with a dollar figure only when you log a quantity, so type the dollar figures here, not the percents. They are only as good as what you log, and you still type them in here yourself.
Upload a Chart ScreenshotYour first grade is free and shows the setup's grade and the general read. Entry, stop, targets and the trade plan come with a paid plan.
Keep going
Related free tools and guides
- GuideWhat is a trading edge?Why an edge is positive expected value over many trades, the expectancy formula worked through, and how to build one you can measure.
- Free toolPosition Size CalculatorFree position size calculator: enter account size, risk percent, entry, and stop loss to get your share size instantly. No signup, no AI, pure risk math.
- Free toolBreakeven Win Rate CalculatorFree breakeven win rate calculator: enter your reward:risk ratio (or entry, stop, target) to see the minimum win rate to break even, plus expectancy.
- Free toolFutures Position Size CalculatorFree futures position size calculator: pick ES, NQ, MES, MNQ, CL or GC, enter your risk and stop, and get the contract count with tick and point values.
- Free toolProp Firm Drawdown CalculatorFree prop firm drawdown calculator: enter your balance, peak, and max loss limit to see your liquidation level, buffer left, and losses until you fail.
- Free toolRisk Reward Ratio CalculatorFree risk reward ratio calculator: enter entry, stop and target for a long or short trade to get the R:R as 1 : X, the R-multiple, and your breakeven win rate.
- Free toolKelly Criterion CalculatorFree Kelly criterion calculator for trading: enter your win rate and payoff ratio to get the full, half, or quarter Kelly risk per trade, plus your expectancy.
FAQ
Trading expectancy questions
What is the trading expectancy formula?
Expectancy = W × average win - (1 - W) × average loss - costs per trade, where W is your win rate as a decimal and the average loss is a positive number. At a 40% win rate, a $450 average win, a $200 average loss and $10 in costs: 0.4 × 450 - 0.6 × 200 - 10 = $50 per trade.
How do I convert expectancy to R?
Divide it by your risk per trade. If you risk the same amount on every trade, use that; if you only have your results, the average loss is the closest stand-in, which is what this calculator uses in dollars mode. $50 per trade with a $200 average loss is 0.25R.
What is the difference between expectancy and profit factor?
Expectancy is what the average trade makes, in dollars or R. Profit factor is total winnings divided by total losses, a ratio with no unit. Before costs they always agree on the sign: a profit factor above 1 means positive expectancy, and below 1 means negative. This calculator shows profit factor before costs and expectancy after them.
Can a high win rate still have negative expectancy?
Yes. Win 75% of the time with a $120 average win and a $400 average loss and the trades lose $10 each before costs: 0.75 × 120 = $90 of wins against 0.25 × 400 = $100 of losses. At that payoff the breakeven win rate is 76.9%.
Is any positive expectancy good enough?
It is the minimum. A positive number after costs means the record makes money on average. How much it is worth depends on how often the setup comes up and how big the losing streaks get, and a small positive number from a short record can easily be luck.
How many trades do I need to trust my expectancy?
There is no exact number, but small samples swing hard. In 20 trades each trade is 5 percentage points of win rate, and two results going the other way can turn a $50 edge into none. Use as many trades of the same setup as you have, and keep updating the numbers as the record grows.
What happens with a 0% or 100% win rate?
At 0% every trade is a loss, so expectancy is the average loss plus costs as a negative number, and profit factor is 0. At 100% there are no losing trades, so profit factor has nothing to divide by and the calculator shows a message instead of a number. A record with no losers is too short to judge an edge.
Does this calculator read my trades or my account?
No. It does arithmetic on the numbers you type and nothing else. It does not see your chart, your broker account, or your trade history, and it is not a forecast of what your next trades will do.
Benjamin Loh
Founder & Developer at SnapPChart
I build AI-powered tools for traders. I created SnapPChart to help day traders analyze chart patterns faster using computer vision and machine learning. Learn more · Follow on X
This calculator is for planning purposes only and is not financial advice. Expectancy describes the average of the numbers you enter, not what your next trades will do, and real results vary around it. It does not know your broker's fees or slippage unless you enter them as costs. Trading involves risk of loss.