Gross Expectancy
N/A
R per trade, before costs
Net Expectancy
N/A
R per trade, after all-in costs
Expected $ per Trade
N/A
Net expectancy × planned risk
Break-Even Win Rate
N/A
Minimum win rate to cover costs
Risk Management Tools
Trade Expectancy & R-Multiple Calculator
Does your strategy have an edge, or just winning streaks?
Enter your win rate, average win and loss in R, and per-trade costs to see gross and net expectancy, expected dollars per trade, and the exact win rate your strategy needs to break even.
What Is Trade Expectancy?
Trade expectancy measures the average amount you expect to make, or lose, per trade if you ran the same setup many times. It combines win rate with the size of your average win and average loss into a single number. A strategy with a positive expectancy has a mathematical edge; a negative expectancy strategy loses money over time regardless of individual winning streaks.
Expectancy is expressed in R-multiples. R is the amount you risk on a single trade, your planned stop distance times your position size. Quoting results in R keeps the math comparable across different position sizes and account sizes: a 0.50R expectancy means you earn half your risk on every trade on average.
Gross expectancy (R) = Win rate × Avg win (R) − Loss rate × Avg loss (R)
Net expectancy (R) = Gross expectancy − Cost per trade (R)
Expected $ per trade = Net expectancy × Planned risk ($)
Break-even win rate = (Avg loss R + Cost R) ÷ (Avg win R + Avg loss R)
Net expectancy (R) = Gross expectancy − Cost per trade (R)
Expected $ per trade = Net expectancy × Planned risk ($)
Break-even win rate = (Avg loss R + Cost R) ÷ (Avg win R + Avg loss R)
The break-even win rate is the minimum win rate at which the strategy covers its costs and breaks even. Any win rate above it produces positive expectancy; below it, the strategy destroys capital even when individual winners are large.
All calculation happens locally in your browser. No values are sent to any server or captured in analytics.
Trade Expectancy Calculator
Results are mathematical estimates based on historical inputs. Past performance does not predict future results. Not investment advice.
Results
Low sample size: statistics based on fewer than 30 trades are unreliable. The expectancy may not reflect the strategy's true long-run edge. Collect more data before drawing conclusions.
Negative net expectancy: these inputs produce a losing strategy. Each trade destroys capital on average. Improve win rate, cut average losers, grow average winners, or reduce costs before trading this setup live.
Win rate entered
N/A
Loss rate
N/A
Average win (R)
N/A
Average loss (R)
N/A
Win/loss R ratio
N/A
Cost per trade (R)
N/A
Planned risk per trade
N/A
Net expectancy (R)
N/A
Cost Sensitivity
How net expectancy changes at different per-trade cost levels, holding win rate and average win/loss constant. Your entered cost is highlighted.
| Cost (R) | Net Expectancy (R) | Expected $ / Trade | Edge |
|---|
Results are mathematical projections from the inputs you provided. They assume constant win rate, average win, and average loss across all trades, a simplification that does not hold in live markets. This calculator does not account for position sizing variation, correlation between trades, drawdown dynamics, or changing market conditions. Use results as a planning baseline, not a prediction.
Methodology
The calculator applies the four formulas shown above directly to your inputs, with no smoothing, rounding beyond display precision, or hidden adjustments:
- Gross expectancy (R) = win rate × average win (R) − loss rate × average loss (R), where loss rate is
1 − win rate. - Net expectancy (R) = gross expectancy − cost per trade (R).
- Expected dollars per trade = net expectancy (R) × planned risk in dollars.
- Break-even win rate = (average loss R + cost R) ÷ (average win R + average loss R). This is undefined when average win R and average loss R are both zero.
- Win/loss R ratio = average win R ÷ average loss R. This is undefined when average loss R is zero.
The cost-sensitivity table recomputes net expectancy and dollar expectancy at five fixed cost levels, 0, 0.05R, 0.10R, 0.15R, 0.20R, plus your entered cost value if it doesn't already match one of those levels, so you can see how sensitive the result is to cost assumptions without re-entering numbers.
Assumptions and limitations
- Inputs are historical statistics you supply, win rate, average win/loss in R, and cost per trade. The calculator does not pull trade history automatically and does not verify that your inputs are representative of a large enough sample.
- Assumes R-multiples are computed consistently. The math is only meaningful if "1R" means the same dollar risk (planned stop distance × position size) across every trade in your sample. Inconsistent stop placement or position sizing distorts both the expectancy and the win/loss ratio.
- Expectancy is an average, not a guarantee for any single trade. A positive expectancy strategy can still produce a losing streak, the calculator does not model sequence-of-returns risk, drawdown probability, or risk of ruin.
- Cost per trade is a single R value you provide. Real trading costs (commissions, spread, slippage) can vary trade to trade; the sensitivity table shows a fixed set of scenarios, not a distribution.
- All calculation happens locally in your browser using the inputs on the page; nothing is fetched from or sent to a server.
References
- CFA Institute Research and Policy Center: general methodology background for the win-rate, R-multiple, and expectancy conventions this calculator applies.
Results are mathematical projections from the win rate, average win, and average loss you enter, holding those inputs constant, they are a planning baseline, not a prediction of future trading results.