System expectancy (expectancy in R)
Computes win rate, average win and average loss over the history, then expectancy per trade in currency AND in multiples of R — the single number that tells you whether the system is worth running.
Prerequisites
MetaTrader 5, MQL5
MQL5
void ExpectancyReport(int days)
{
if(!HistorySelect(TimeCurrent() - days * 86400, TimeCurrent()))
return;
double gains = 0, losses = 0;
int nw = 0, nl = 0;
for(int i = 0; i < HistoryDealsTotal(); i++)
{
ulong d = HistoryDealGetTicket(i);
if(HistoryDealGetInteger(d, DEAL_ENTRY) != DEAL_ENTRY_OUT)
continue;
double p = HistoryDealGetDouble(d, DEAL_PROFIT);
if(p >= 0) { gains += p; nw++; } else { losses += -p; nl++; }
}
int n = nw + nl;
if(n < 20 || nl == 0)
{
PrintFormat("Expectancy : échantillon insuffisant (%d trades)", n);
return;
}
double avgWin = nw > 0 ? gains / nw : 0, avgLoss = losses / nl;
double winrate = (double)nw / n;
double expectancy = winrate * avgWin - (1 - winrate) * avgLoss;
PrintFormat("=== EXPECTANCY (%d jours, %d trades) ===", days, n);
PrintFormat("Winrate %.1f %% | gain moyen %.2f | perte moyenne %.2f",
100 * winrate, avgWin, avgLoss);
PrintFormat("Espérance par trade : %+.2f soit %+.2f R", expectancy, expectancy / avgLoss);
PrintFormat("Verdict : %s", expectancy > 0 ? "espérance POSITIVE — le système a un edge"
: "système PERDANT sur la période");
}Result
2026.06.10 22:10:30.456 EdgeStats (EURUSD,H1) === EXPECTANCY (60 jours, 87 trades) === 2026.06.10 22:10:30.457 EdgeStats (EURUSD,H1) Winrate 58.6 % | gain moyen 42.18 | perte moyenne 38.50 2026.06.10 22:10:30.457 EdgeStats (EURUSD,H1) Espérance par trade : +8.78 soit +0.23 R 2026.06.10 22:10:30.458 EdgeStats (EURUSD,H1) Verdict : espérance POSITIVE — le système a un edge
ExpectancyStatistiquesWinrateR-multiple