Expectancy calculator
What each trade is worth on average, and the win rate your reward-to-risk actually needs before any of it is profit.
- Break-even win rate
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- Your edge over it
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- Profit factor
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- Reward to risk
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- Over — trades
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Why win rate on its own means nothing
A 70% win rate is a losing system if the losers are four times the winners. A 35% win rate is a good one at 3:1. The only question that matters is whether your win rate clears the break-even rate your reward-to-risk implies, and that number is not intuitive: 1:1 needs 50%, 2:1 needs 33.3%, 3:1 needs 25%. Reward first in every one of those, the same order the answer above is written in. Before costs, in every case.
Where the costs hide
Commission, clearing, exchange, IP and NFA fees come out of every trade, and they are not in the numbers above unless your average winner and loser are already net of them. On a scalping strategy this is the difference between an edge and an expensive hobby. NinjaTrader's export reports profit net of whatever costs your account is set up to charge: all of them with a commission template configured, none without one. The Trades grid is the export worth having, because it itemises the costs it took out, so you can see which case you are in.
Expectancy is not a forecast
It is an average, and averages say nothing about order. A positive expectancy system still delivers losing streaks long enough to end an account that is sized wrong, which is what the risk of ruin calculator is for.
Your own numbers beat any calculator. Drop a NinjaTrader export on the Trade Lab and it works these figures out from the trades you actually took. It reads the file in your browser and nothing uploads.