Expectancy
Expectancy is the average profit or loss your strategy makes per trade over a large number of trades. Positive, it wins; negative, it loses.
The formula: expectancy = (win rate × average win) − (loss rate × average loss). Expressed in R, meaning multiples of your risk, it lets you compare different strategies.
Positive expectancy does not guarantee that every month will be profitable. It describes an average that only shows up after dozens, ideally hundreds, of trades. Over ten trades, luck dominates.
It erodes quickly with costs and slippage, and it only holds if you apply your method without changing it after every loss. Calculate it from your journal, not from your gut feeling.