Trading expectancy calculator

How to calculate trading expectancy

Trading expectancy weights the average winning and losing amounts by how often each occurs, then subtracts the average cost per completed trade. CME’s explanation of mathematical expectancy describes why win rate alone cannot settle whether the arithmetic is positive.

Enter average wins and losses as positive amounts in one currency. The result uses that currency per trade. Negative expectancy is a valid result: under the entered assumptions, the weighted losses and costs exceed the weighted wins.

How a 40% win rate produces +15 per trade

The default example uses a 40% win rate, an average win of 200, an average loss of 100 and a round-trip cost of 5. Winners contribute 0.40 × 200 = 80 per trade. Losers subtract 0.60 × 100 = 60. After the cost of 5, expectancy is +15.

Multiplying by 100 gives 1,500 of mathematical expected value. It does not tell you the outcome or order of the next 100 trades. A past sample can contain very different loss streaks and unusually large wins even when its average is positive.

Now change the average win to 150 and keep every other input. The winning contribution falls to 60, matching the losing contribution. Costs push expectancy to −5. The win rate stayed at 40%; the payoff changed the answer.

What win rate covers the losses and costs?

For this two-outcome model, break-even win rate is (average loss + cost) ÷ (average win + average loss). The default example gives 105 ÷ 300, or 35%. This threshold describes the entered payoffs; it does not estimate how likely your next setup is to win.

If the cost equals or exceeds the average winning amount, even the winning outcome has no positive net gain. The calculator flags that condition instead of presenting a break-even percentage above 100%. If cost exactly equals the winning amount, a 100% win rate would only break even.

Use averages from the same trade sample

Use realized wins, losses and win rate from the same strategy and period. Mixing a historical win rate with an aspirational profit target answers a different question. If your average amounts already include all costs, enter zero for the additional cost field to avoid counting them twice.

For a setup you have not traded yet, compare a planned entry, stop and target with the risk-reward calculator. Its planned payoff belongs in the setup review; realized outcomes belong in this sample.

This model has winning and losing groups. If your records include a separate break-even group, calculate the average net result across all trades directly, or use a model that includes that third outcome. Keep its count visible when reviewing results.

Expectancy evaluates a set of outcomes. The position size calculator answers a separate question: how many shares fit a chosen risk budget and stop distance. You can use both without treating a positive average as a reason to increase exposure.