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The definition of expectancy (E) I'm used to seeing is as follows:
E = Probality of Win*Avg. Win - Probability of Loss * Avg. Loss
Algebraically, this is equivalent to Dimitrov's formula because if you divide the right side of the equation above by Avg. Loss, you get Prob. Win * Avg. Win/Avg. Loss - Prob. of Loss.I've not seen Wong's formula before, but I'm open.
Al Venosaavcinci@xxxx
>From: "Rick Parsons"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: [amibroker] Expectancy Formulas
>Date: Fri, 18 Oct 2002 10:02:34 -0400
>
>There seems to be two different formulas for Expectancy:
>
>Payoff Ratio (Ave $win / Ave $loss) = 10.66
>Percent winners = 98%.
>
>From Wong: Expectation = (1 + pay off ratio) * %win - 1
> -0.23 = (1 + 10.66) * .98 - 1
>(somehow this doesn't seem right for these system statistics)
>
>From Dimitrov: (Avg.Win*PercentProfitable/Avg.Loss - PercentLosing)
>
>(should this be: (Avg.Win*PercentProfitable/Avg.Loss * PercentLosing) ?? )
>
>What is the correct formula?? And based on the numbers above, what is the correct expectancy number?
>
>Thanks,
>Rick
>
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