Average trade expectancy - some stats

Sheen

Member
67 0
Is this formula for calculating Average Trade Expectancy correct?

Ex = (W% * AW - L% * AL)/T

where
W% - percentage of winners of all non-scratch trades
AW - average winner (ticks)
L% - percentage of losers of all non-scratch trades
AL - average loser.
T - number all non-scratch trades

Multiplying Ex by T should give the total number of ticks made - is that correct?
The problem is, it does not. Am I doing something wrong here?
 

Shakone

Senior member
2,458 665
Is this formula for calculating Average Trade Expectancy correct?

Ex = (W% * AW - L% * AL)/T

where
W% - percentage of winners of all non-scratch trades
AW - average winner (ticks)
L% - percentage of losers of all non-scratch trades
AL - average loser.
T - number all non-scratch trades

Multiplying Ex by T should give the total number of ticks made - is that correct?
The problem is, it does not. Am I doing something wrong here?

Almost. You don't need to divide by T.
 

Sheen

Member
67 0
Seems to be the same thing from what I see.

There are lots of stats you can look into regarding your trading results. Two of the most important will be expectancy and drawdown.

Good luck.

OK. Let's consider this example. I have made 10 trades with the following results:
+4, +3, -3, -3, +6, -1, +5, +2, +1, 0.
SumW=4+3+6+5+2+1=21
SumL=-3+(-3)+(-1)=-7

AW = 21/6=3.5
AL = -7/3=-2.33

W% = 6/9 = 66.67%
L% = 3/9 = 33.33%

Ex = 66.67%*3.5 - 33.33%*2.33 = 1.56
Average trade = 14 / 9 = 1.56

So it is the same.
I must have made a mistake in my spreadsheet. I will have to have a closer look at the formulas I used.
 
 
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