Expectancy Reality Check

Most trading discussions focus on entries.
This tool focuses on math.

Expectancy Reality Check is a symbol-agnostic calculator that shows whether your assumed edge is mathematically viable — before you trade it.

It does not generate signals.
It does not predict price.
It exists to answer one question:

“If my assumptions are correct, does this strategy deserve capital?”

What this tool does

Given your assumptions for:

Win rate

Reward-to-Risk (R)

Costs per trade

Risk per trade

Trade frequency

the indicator computes:

Expected Value (R per trade)

Expected Value per month

Break-even win rate (cost-adjusted)

Edge vs break-even (percentage points)

Risk-of-ruin proxy (fixed-fractional approximation)

Estimated sample size needed to validate your win rate at a chosen confidence level

All values are expressed in R-units, not currency, to remain portfolio-independent.

How to use it

Enter honest assumptions — not best-case backtest results.

Observe:

Is EV meaningfully positive?

How small is the margin above break-even?

How many trades are required before results are statistically meaningful?

Decide whether the strategy is worth:

testing,

refining,

or discarding.

If the math fails here, execution quality will not save it.

What this tool is not

❌ Not a strategy

❌ Not a signal generator

❌ Not a performance backtest

❌ Not a guarantee of results

It is a reality check, not a promise.

Notes on methodology

Expectancy is computed in standard R-unit form.

Break-even win rate is adjusted for per-trade costs.

Risk-of-ruin is a proxy, based on a Lundberg-type root for i.i.d. outcomes under fixed fractional risk.

Sample size guidance uses a normal approximation for binomial confidence intervals.

All calculations assume stationarity — real markets may violate this.

Use judgment.

Who this is for

Traders designing rule-based systems

Traders comparing multiple strategies

Traders tired of “high win rate” marketing

Anyone who wants math before emotion

Final note

A strategy with:

high win rate but negative expectancy

or positive expectancy but no statistical margin

is not an edge — it’s noise.

Systems over feelings.