Why win rate alone does not matter
A high win rate feels good, but it says nothing about profit. What matters is how win rate combines with the size of your average win and average loss. A 40% win rate with winners twice the size of losers is profitable. A 70% win rate with winners one third the size of losers is not.
This calculator gives you the key numbers that describe an edge:
- Expectancy: the average amount you make or lose per trade.
- Break-even win rate: the lowest win rate at which your payoff makes money.
- Profit factor: total gains divided by total losses. Above 1 is profitable.
- Reward-to-risk: average win divided by average loss.
- Kelly risk: the growth-optimal share of capital to risk per trade.
The two charts
The break-even curve shows the win rate required at every reward-to-risk ratio. If your marker sits above the curve you have an edge. The expectancy map colours the whole space of win rates and payoffs, green where you profit and red where you lose, so you can see how much room you have if your win rate slips.
Including costs
Add your average cost per trade (commission, spread and slippage) in the same unit as your win and loss. Costs make every win smaller and every loss larger, so the break-even win rate rises. For strategies with small targets, costs can turn a profitable edge into a losing one.
The formulas
break-even win rate = (L + cost) ÷ (W + L)
profit factor = p × (W − cost) ÷ ((1 − p) × (L + cost))
reward-to-risk = W ÷ Lp is the win rate, W the average win, L the average loss. Use one unit for all three.
Worked examples
A trend follower: low win rate, big winners
You win 40% of trades with an average win of 2 and an average loss of 1 (a 1 : 2 payoff). Expectancy is 0.4 × 2 − 0.6 × 1 = +0.2 per trade.
A scalper: high win rate, small winners
You win 60% of trades but the average win is 1 and the average loss is 2. Expectancy is 0.6 × 1 − 0.4 × 2 = −0.2. You need to win 66.7% of the time at this payoff just to break even.
What costs do
Take the first example and add a cost of 0.15 per trade. Expectancy falls from +0.20 to +0.05, and the break-even win rate rises from 33.3% to 38.3%. Most of your edge was eaten by costs.
Frequently asked questions
What is a good risk to reward ratio?
There is no universal answer. A ratio of 1 : 2 or better is common for trend strategies. Mean-reversion strategies often use ratios below 1 : 1 with high win rates. What matters is that win rate and ratio together produce positive expectancy.
What win rate do I need for a 1:2 risk reward?
A 1 : 2 reward-to-risk ratio breaks even at a 33.3% win rate. Any win rate above that is profitable before costs. A 1 : 1 ratio needs 50%, and 1 : 3 needs 25%.
What is expectancy?
Expectancy is the average profit per trade over many trades. It equals win rate times average win, minus loss rate times average loss. Positive expectancy means the strategy makes money over time.
What is a good profit factor?
A profit factor above 1.5 is usually considered solid, while 1.0 is break-even. Very high values from a small sample are often luck, so check the number of trades behind it.
Is the Kelly number the size I should risk?
It is the growth-maximising size if your inputs are exact, which they never are. Most traders use half or a quarter of Kelly. The Kelly criterion calculator shows the trade-off.
Do I need many trades for these numbers to be reliable?
Yes. Win rate and average win are estimates. With fewer than about 100 trades they can be far off. Use the strategy simulator with a slightly lower win rate to see how fragile your edge is.
Improve either side of the equation.
Expectancy rises when you win more often or win bigger. These indicators target both.
Last updated October 2026. For education only. Not financial advice. Results depend on your inputs and cannot predict future performance.