Trading expectancy and SQN calculator
“From a win rate and an average win and loss — what does one trade earn on average, and how tradeable is that edge given how noisy it is?”
Expectancy is what one trade is worth on average. On its own that is only half the story, because two systems with the same expectancy can be wildly different to sit through. SQN divides expectancy by its own variability and scales by sample size, which is the second half.
Free to use, nothing to sign up for, and nothing you type here is sent anywhere — the arithmetic runs in your browser.
What it computes
payoff = avg win / avg loss expectancy $ = p x avg win - q x avg loss expectancy R = p x payoff - q profit factor = (p x avg win) / (q x avg loss) break-even win rate = 100 / (1 + payoff) edge = win rate - break-even win rate SQN = (expectancy R / std dev R) x SQRT(N), N capped at 100
What you type in
| Field | What it means | Example |
|---|---|---|
| Win rate % | Share of trades that win. | 50 |
| Average win | Mean size of a winner. | $200 |
| Average loss | Mean size of a loser, as a positive number. | $100 |
| Trades | Sample size, used in the SQN scaling. | 100 |
Reading the result
- Expectancy in dollars and in R — the same fact in two units.
- Break-even win rate — the win rate this payoff needs just to tread water. The gap between it and the actual win rate is the edge.
- Profit factor — above 1 means winners paid for losers.
- SQN with van Tharp's rating bands: below 1.6 below average, 1.6–2.0 average, 2.0–2.5 good, 2.5–3.0 excellent, 3.0–5.0 superb, and above 5 the tool says verify — too good?, because in practice that usually means the sample is wrong.
Worked example
50% win rate, $200 average win, $100 average loss, 100 trades.
- Payoff 2.0, expectancy +$50 per trade, expectancy +0.5R
- Profit factor 2.0
- Break-even win rate 33.3%, so the edge is +16.7 percentage points
- Standard deviation 1.5R, SQN 3.33 — rated superb
N is capped at 100 in the SQN scaling, following van Tharp's convention: a bigger sample should not turn a mediocre system into a great score.
What trips people up
- Expectancy is an average, not a schedule. +0.5R per trade says nothing about the order the wins and losses arrive in — that is what the drawdown and ruin calculators are for.
- The inputs are averages, and a single outlier winner can flatter the average win badly. The trade sample calculator, which takes the actual results, is the check on that.
- A high SQN on 20 trades is a statement about 20 trades.
Questions
- What is a good expectancy?
- Positive, measured over a sample large enough to mean something. Beyond that the figure is only comparable against your own history — expectancy in dollars scales with position size, so it is not comparable between accounts at all.
- Expectancy in R or in dollars?
- R is the same number with position size divided out, which makes trades of different sizes comparable. Dollars answer what the account did.
Related calculators
These are the same calculators built into Ledger of Alpha, where they read your own trade history instead of numbers you re-type. See the full product
Keep the record these numbers come from
A free account logs the trades you size here, so the win rate and averages you type into these calculators come from your own history rather than a guess.