Strip any strategy to two numbers. EXPECTANCY: (win% × avg win) − (loss% × avg loss) — the average R you make per trade taken. PROFIT FACTOR: gross wins ÷ gross losses — how many dollars come in per dollar lost. Positive expectancy with a profit factor above ~1.3 across a REAL sample is a business; anything else is a hobby with variance.
The rules of honest measurement
- Sample size first: nothing is knowable from 10 trades. Judge setups at 20+, systems at 50+. Before that, judge only rule-following.
- Expectancy explains why a 35%-win-rate trader can crush a 65% one: 35% × 3R wins beats 65% × 0.6R wins, every time, forever.
- Variance literacy: a +0.3R/trade system STILL has 5-loss streaks and losing weeks. Knowing your streak math in advance is what makes them survivable (see Sizing).
Track expectancy monthly, in R, from the journal. The moment you know your real number, trading stops being about feelings and becomes about protecting and compounding a measured edge.