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Trading expectancy & break-even calculator

Estimate a strategy’s average result per trade from its win rate, average win and trading costs. See the break-even win rate and the average win needed to break even.

Inputs

Required strategy inputs
Loss and costs (optional)1R loss · 0R costs
Optional strategy assumptions

Result

Your result will appear here

Enter the win rate and average win, then calculate to see expectancy per trade and the break-even thresholds.

How it’s calculated
Expectancy = Win rate × Average win − Loss rate × Average losing trade − CostBreak-even win rate = (Average losing trade + Cost) ÷ (Average win + Average losing trade)Required average win = ((1 − Win rate) × Average losing trade + Cost) ÷ Win rate

The model uses two average outcomes: the entered average win for winners and the entered loss for losing trades. Real outcomes, fills and costs vary, so positive expectancy does not ensure a profitable sample of trades.

Win rate never works alone

A high win rate sounds like a good strategy. On its own it says almost nothing. What matters is how the wins compare to the losses.

Take a strategy that wins half its trades. If the average win equals the average loss, it breaks even and nothing more. Now let the average win grow to twice the average loss. The same strategy only needs to win one trade in three.

That relationship is fixed. For any average win, there is exactly one win rate where the strategy stops losing money. Below it you lose, above it you gain. The chart shows that threshold across the common payoff levels, with every average loss held at 1R and costs left out.

Win rate × average win matrix

The curve gives the exact break-even point. In practice you rarely sit on it. You want to know whether a given pair of numbers lands on the profitable side at all.

The matrix answers that directly. Read down for your win rate and across for your average win. Each cell states whether that combination makes money, loses money, or lands on break-even.

One pattern is worth noticing. A win rate of 30 percent is profitable at 3R and above, and unprofitable below it. A win rate of 60 percent survives almost everything except the smallest payoffs. Neither number is good or bad on its own.

Assumptions: every winning trade earns the listed average R, every losing trade is −1R and trading costs are 0R. “Profitable” means positive mathematical expectancy under those assumptions, not guaranteed profit over any sample.

Use realized averages when possible

A planned take-profit does not prove that the average win will reach it. The expectancy model uses the frequency of wins and the average size of wins and losses, as explained in the CME mathematical expectation lesson. If you already have closed trades, the local trading performance analyzer calculates those realized averages from a CSV or summary totals.

Costs move the threshold

Commissions, fees, spread and slippage reduce the result. The Investor.gov fee bulletin explains why costs matter. Next, compare the plan in the stop-loss and take-profit calculator or turn the stop into a whole-contract limit with the position size calculator.

One expectancy, many possible outcomes.

Simulate how the same numbers can play out over many trades, or analyze your actual trade history — every trading tool lives on one page.

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