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Keith,
See the post I just made (No. 20056). Basically, assuming you use position
sizing, you just multiply your average winning trade by the no. of winning
trades divided by your risk per trade and subtract your average losing trade
times the no. of losing trades divided by the risk per trade. The resulting
number is divided by the total no. of trades to give you your expectancy per
trade. Mathematically, it is expressed as follows:
E = ((W*Nw - L*Nl)/R)/Nt
where E = expectancy, W = average winning profit, Nw = number ofwinners, L
= average loss, Nl = number of losing trades, R = risk per trade in dollars, Nt
= no. of trades. Using Rob's example, E = ((3413*13 - 811*18)/1000)/31 = 0.96.
AV
<BLOCKQUOTE
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----- Original Message -----
<DIV
>From:
<A title=knewhous@xxxx
href="">knewhous
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 21, 2002 4:22 PM
Subject: [amibroker] Positive
expectancy
Does anyone do a Positive Expectancy calulation on their
system test results? What data do you use in the
formula?KeithYour
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