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AV,
Thanks for your help. Will put it into action. I had not seen the
earlier posts when I emailed to the group.
Keith
--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> 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 of
winners, 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
> ----- Original Message -----
> From: knewhous
> To: amibroker@xxxx
> 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?
>
> Keith
>
>
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