Glossary

Expectancy

Diese rechtliche Seite ist nur auf Englisch verfügbar.

Expectancy = (win rate × average win) − (loss rate × average loss). A positive expectancy means the strategy makes money on average per trade; multiplied by trade frequency, it estimates the long-run result before costs.

Expectancy from a backtest inherits every flaw of the backtest — costs, slippage, overfitting. Treat it as a hypothesis to be tested forward, not a promise. And remember that even genuinely positive expectancy arrives wrapped in streaks and drawdowns.

Covered in depth in Lesson 13: Die Gewinnrate ist eine Eitelkeitsmetrik. Die Erwartung zahlt die Rechnungen..

Related terms

• Win rate — The percentage of trades that close in profit — meaningless on its own, informative next to the reward-to-risk ratio.
• Backtest — Running a strategy against historical price data to see how its rules would have behaved in the past.
• Drawdown — The decline from an account's peak value to its subsequent low — the number that measures how painful a strategy is to hold.