EURGBP is the pair where my win rate and my expectancy tell completely different stories, so I thought it would make a good example for a thread on the difference. Here are my numbers. If you trade the pair, I'd like to see yours in the same format.
Period: January to September.
Trades: 143.
Win rate: 64%.
Average winner: 0.71R.
Average loser: 1.02R.
Expectancy: about plus 0.05R per trade, after costs.
That 64% looks great, and it's my highest win rate of any pair. But the expectancy is my lowest of any pair I still trade, and it's barely positive.
The reason is in the averages. EURGBP's small ranges mean my targets are small, so winners are modest. When it does move against me, it often moves quickly, so losers hit the full stop or worse.
If I compare EURUSD over the same period: win rate 48%, average winner 1.34R, average loser 0.98R, expectancy about plus 0.13R. Lower win rate, more than twice the expectancy.
If I judged by win rate, I'd trade more EURGBP. Judging by expectancy, I should trade it less, or only at its best times, which for me is 08:00 to 10:00 London.
Would you post yours? Format: period, trades, win rate, average win in R, average loss in R, expectancy. No account sizes needed.
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Win-rate vs expectancy on EURGBP: post anonymized stats
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LondonScalper
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Shadow Trader
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Re: Win-rate vs expectancy on EURGBP: post anonymized stats
Happy to share mine in the same format, and the attached chart is an illustration of how my EURGBP and EURUSD equity curves compare in R, with synthetic trades built to match these numbers.
EURGBP, January to September: 96 trades, win rate 61%, average win 0.68R, average loss 0.95R, expectancy about plus 0.05R after costs.
EURUSD, same period: 158 trades, win rate 46%, average win 1.38R, average loss 0.97R, expectancy about plus 0.11R.
So almost the same pattern as yours. The curves make the point better than the averages. EURGBP looks smoother for months and then gives back a chunk in a few trades, while EURUSD is bumpier but ends well ahead.
Your 08:00 to 10:00 window idea is where I'd look first. When I split my EURGBP trades, the ones before 10:00 had an expectancy close to EURUSD, and the afternoon trades were negative after costs.
What's your average cost per trade in R on EURGBP? Mine is about 0.08R, which is twice my winner's margin.
- img_13024.png (105.17 KiB) Viewed 40 times
EURUSD, same period: 158 trades, win rate 46%, average win 1.38R, average loss 0.97R, expectancy about plus 0.11R.
So almost the same pattern as yours. The curves make the point better than the averages. EURGBP looks smoother for months and then gives back a chunk in a few trades, while EURUSD is bumpier but ends well ahead.
Your 08:00 to 10:00 window idea is where I'd look first. When I split my EURGBP trades, the ones before 10:00 had an expectancy close to EURUSD, and the afternoon trades were negative after costs.
What's your average cost per trade in R on EURGBP? Mine is about 0.08R, which is twice my winner's margin.
Re: Win-rate vs expectancy on EURGBP: post anonymized stats
One number that shows how thin that EURGBP edge is: the break-even win rate. With an average winner of 0.71R and an average loser of 1.02R, you break even at 1.02 divided by 1.73, about 59%. So the 64% has a five-point cushion. Over 143 trades a win rate carries an uncertainty of about four percentage points either way, so the true rate could plausibly be close to break-even already, and a small rise in costs or one extra slipped stop a month would also eat it. EURUSD's break-even, 0.98 against 1.34, is about 42% against an actual 48%, so a similar cushion in points but a bigger edge per trade. Adding the break-even rate as a line next to the actual one would make the format in this thread even more useful.
It’s Fairman 
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Shadow Trader
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Re: Win-rate vs expectancy on EURGBP: post anonymized stats
Fairman's break even line is a good addition, so here are mine with it. EURGBP breaks even at 0.95 divided by 1.63, about 58%, against my actual 61%, while EURUSD breaks even at about 41% against an actual 46%.
The sample size point hits my EURGBP harder than the original numbers, since I only have 96 trades. That gives an uncertainty of roughly five points either way, so my three point cushion sits fully inside the noise.
The break even rate also shows cost sensitivity nicely. If I add 0.03R of extra cost per trade, taking it off the average winner and adding it to the loser, EURGBP's break even rises almost two points, while EURUSD's rises a little over one.
So the pair with the thinner cushion is also the one that loses it fastest when spreads widen. That fits my morning and afternoon split, where the wider afternoon spreads were what pushed EURGBP negative.
For the format, I'd add one line after break even: average cost per trade in R. With those two side by side, anyone can see how much spread widening an edge can survive.
The sample size point hits my EURGBP harder than the original numbers, since I only have 96 trades. That gives an uncertainty of roughly five points either way, so my three point cushion sits fully inside the noise.
The break even rate also shows cost sensitivity nicely. If I add 0.03R of extra cost per trade, taking it off the average winner and adding it to the loser, EURGBP's break even rises almost two points, while EURUSD's rises a little over one.
So the pair with the thinner cushion is also the one that loses it fastest when spreads widen. That fits my morning and afternoon split, where the wider afternoon spreads were what pushed EURGBP negative.
For the format, I'd add one line after break even: average cost per trade in R. With those two side by side, anyone can see how much spread widening an edge can survive.