TRADING • EXPECTANCY • EDGE

Trade Expectancy Calculator

Estimate expected value per trade from win rate, average win and loss sizes, costs, slippage and capital, with confidence intervals, Monte Carlo and strategy comparison.

EXPECTANCY PER TRADE—

—

EXPECTANCY (R)—

Net of costs and slippage

Breakeven win rate—

Profit factor—

Projected return—

Expected value after N trades—

Projected ending capital—

95% CI win rate—

95% CI expectancy—

Losing streak probabilities

Chance of seeing a streak of k consecutive losses (or more) within N trades, Bernoulli model.

Monte Carlo simulation

Seeded and reproducible: the same inputs always produce the same distribution. Fixed $ outcomes per trade.

Median ending capital—

5th percentile ending—

95th percentile ending—

Median max drawdown—

Chance of reaching profit target—

Chance of hitting loss threshold—

Sensitivity matrix

Expectancy per trade in R-multiples for a grid of win rates and payoff ratios (win ÷ loss), recomputed live. The highlighted cell is your current setup.

R-multiples are units of the average loss. Costs and slippage change your effective payoff ratio, so read the highlighted column against your net win and loss.

What this result means

Expectancy is one number; sequence, variance, costs and drawdowns decide what actually happens.

MODELFixed-dollar expectancy

Each trade adds the average win or subtracts the average loss, net of costs and slippage. Expectancy is the probability-weighted average outcome.

CIWald confidence interval

Treating the entered win rate as observed over N trades, the 95% Wald interval shows the plausible range for the true win rate and the resulting expectancy range.

SIMULATIONSeeded Monte Carlo

A fixed seed derived from the inputs reshuffles trade sequences reproducibly, so a given shareable URL always returns the same distribution.

How the numbers are computed

Formulas behind the analyzer.

EVEV = p × Win − (1 − p) × Loss

REV(R) = p × (Win ÷ Loss) − (1 − p)

BEBreakeven = Loss ÷ (Win + Loss)

PFPF = (p × Win) ÷ ((1 − p) × Loss)

CIw ± 1.96 × √(w(1 − w) ÷ N)

STREAKP(streak ≥ k) = 1 − a(N)

MCEquity → Equity + Win | − Loss

The model assumes independent trades with a constant win rate and fixed average outcomes. Real strategies can have regime shifts, serial correlation, variable outcomes, gaps and execution effects. Monte Carlo does not predict the future.

Important:Expectancy is an average over many trades; sequence, variance, costs and drawdowns matter. Monte Carlo only reflects the assumptions entered. Informational tool only — not financial advice.

Method, example and assumptions

Example: with a 45% win rate, an average win of $300, an average loss of $150, no costs and $10,000 starting capital over 100 trades, p = 0.45 and EV = 0.45 × $300 − 0.55 × $150 = $135 − $82.50 = +$52.50 per trade. In R multiples: 0.45 × (300/150) − 0.55 = +0.35 R. The breakeven win rate is 150/(300+150) = 33.3%, the profit factor is 135/82.50 = 1.64, the projected return is 52.50/10000 = 0.53%, and the expected value after 100 trades is $5,250 (projected ending capital $15,250).

Formulas: EV = p × Win − (1−p) × Loss, where Win and Loss are net of costs and slippage. EV(R) = p × (Win ÷ Loss) − (1−p). Breakeven win rate = Loss/(Win + Loss). Profit factor = (p × Win)/((1−p) × Loss). With N trades, expected value = EV × N and projected return = EV / capital. The 95% Wald interval uses ±1.96 × √(w(1−w)/N) on the win rate and maps to the expectancy range. Losing-streak probabilities come from the exact Bernoulli run recurrence. The Monte Carlo reshuffles N-trade sequences from a seed derived from the inputs; the sensitivity matrix evaluates EV(R) on a grid of win rates × payoff ratios; the comparison applies the same costs and slippage to both strategies.

Method reviewed August 24, 2026.

How to interpret trade expectancy

Trade expectancy, also called expected value per trade, combines your win rate with the average size of your wins and losses into a single number. This analyzer starts from those averages, subtracts costs and slippage, and reports the per-trade expectancy in currency and in R-multiples, the breakeven win rate, the profit factor, the projected return on starting capital and the expected value over N trades. It also shows a 95% confidence interval, losing-streak probabilities, a seeded Monte Carlo over ending capital and drawdowns, a live sensitivity matrix and a two-strategy comparison.

A positive expectancy means the system is expected to add value per trade in the long run after costs, while a negative expectancy means it is expected to lose. Because expectancy is an average, the confidence interval and the Monte Carlo distribution show how much the outcome can vary — sequence, variance and drawdowns still decide what actually happens.

Frequently asked questions

What is trade expectancy?

The average profit or loss per trade implied by win rate and the average size of wins and losses, net of costs and slippage; a positive expectancy is required for a system to be profitable in the long run.

What is the breakeven win rate?

The win rate at which average wins and average losses cancel out after costs and slippage; above it the expectancy turns positive.

What is expectancy in R multiples?

Expectancy expressed per unit of average loss: p × (win ÷ loss) − (1 − p). It makes strategies with different dollar sizes directly comparable.

What do costs and slippage do?

They shrink effective wins and enlarge effective losses, lowering expectancy, reducing the profit factor and raising the breakeven win rate.

What does the Monte Carlo simulation add?

It reshuffles many sequences with the same averages to show the range of ending capitals and drawdowns. It is seeded, so the same URL always reproduces the same distribution.

What is the confidence interval?

Treating the entered win rate as observed over N trades, the 95% Wald interval shows a plausible range for the true win rate and the resulting expectancy range.

Does expectancy guarantee profit?

No. It is an average over many trades; sequence, variance, costs and drawdowns still matter (see Risk of Ruin).

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