A Rolling Expectancy Column That Updates Itself

[Fairman]

A Rolling Expectancy Column That Updates Itself

Goal: a column that shows the average R of the latest ten trades at every row, so changes in your edge show up as a line.

Layout. Column A holds results in R from row 2. Column B holds the rolling average, starting at row 11, the first row where ten trades exist.

In B11:

=AVERAGE(A2:A11)

Fill down. Each row's formula shifts by one row, so B12 averages A3 to A12, and so on.

Test with the twenty results from the earlier rolling-expectancy drill. In B11 the average of trades 1 to 10 is 0.15. In B16, trades 6 to 15 average minus 0.10, and in B21, trades 11 to 20 average minus 0.50, if you extend the sheet that far. The column traces a decline from plus 0.15 to minus 0.50.

Add a threshold line. In column C, put your review trigger, for example minus 0.10, and in column D a flag:

=IF(B11<C11,"REVIEW","")

Chart columns B and C together as a line chart. The picture makes slow drift obvious, which scanning a table does not.

Window choice. Ten trades is noisy, with a standard error near 0.47R for typical dispersion. Fifty trades is smoother and slower. Many traders chart both, a short and a long window.

Also add a column showing the process score over the same window, so you can see whether expectancy and discipline move together.

Exercise: build the chart and mark the date of any setup or rule change.

[Shadow Trader]

Most scalping analysis looks at what price did. Fewer people pay attention to how long it took to do it.

A stretch of ten seconds with no tick, in a pair that normally updates several times a second, is a signal in itself. Liquidity providers have stepped back. Maybe a news release is close. Maybe a big order is about to hit and nobody wants to be on the other side.

Likewise, a sudden flurry of ticks inside a range-bound market suggests that something has changed, even if price hasn't moved much yet.

Tick frequency is easy to measure. Count ticks per second in a rolling window and plot it. Spikes and droughts show up quickly, and they often precede price movement by a few seconds.

It's not a trading system by itself. As a filter, though, it flags the moments when normal assumptions about spread and execution stop holding.

Few platforms show it natively, but a short indicator or script can do it in a few lines.

Has tick frequency ever warned of a move before price did?