profit factor vs expectancy vs sharpe for scalpers
Posted: Fri Oct 30, 2026 11:42 am
Three stats get thrown around, and each one tells a different part of the story.
- Profit factor: gross profit divided by gross loss. Above 1 means net positive. Easy to read, but it hides trade count, so a PF of 2 over 15 trades is nearly meaningless.
- Expectancy: average result per trade, ideally in R. This is the one that links directly to sizing and costs.
- Sharpe ratio: average return divided by its volatility. Handy for comparing, but scalpers get odd values because the period matters (per trade, per day and annualised are not the same number), and a few huge winners skew it.
- Max drawdown: not in the title, but it says what the ride felt like.
Profit factor and expectancy are linked through win rate and average size, so tracking every one of them separately adds little. A lean set could be expectancy in R, trade count and max drawdown, with profit factor as a sanity check.
None of them mean much without a sample size next to the number.
Which stat do you look at first on a fresh batch of trades, and which one have you stopped bothering with?
- Profit factor: gross profit divided by gross loss. Above 1 means net positive. Easy to read, but it hides trade count, so a PF of 2 over 15 trades is nearly meaningless.
- Expectancy: average result per trade, ideally in R. This is the one that links directly to sizing and costs.
- Sharpe ratio: average return divided by its volatility. Handy for comparing, but scalpers get odd values because the period matters (per trade, per day and annualised are not the same number), and a few huge winners skew it.
- Max drawdown: not in the title, but it says what the ride felt like.
Profit factor and expectancy are linked through win rate and average size, so tracking every one of them separately adds little. A lean set could be expectancy in R, trade count and max drawdown, with profit factor as a sanity check.
None of them mean much without a sample size next to the number.
Which stat do you look at first on a fresh batch of trades, and which one have you stopped bothering with?