Trade Math

Know Your Edge

Expectancy, breakeven win rate, Kelly sizing and reward to risk in one place, so you can tell whether a setup is worth trading before you risk a dollar.

Not financial advice. This is an educational tool. The results are only as good as the win rate and reward numbers you type in, and past results do not guarantee future ones. Speak with a licensed financial advisor before trading.

Do you actually have an edge?

A strategy is only worth trading if its average result per trade (expectancy) is positive. Two numbers decide it: how often you win and how big a win is next to a loss (reward to risk, R:R).

The safe bet size (Kelly fraction) then tells you how much to risk per trade to grow an account fastest for that edge. Most traders use half or quarter of it, because the full amount swings hard and assumes your numbers are exactly right.

Edge, Bet Size and Breakeven

Enter your win rate and average reward to risk. Use your own trade history if you have it, since guessed numbers give guessed results.

Risk : Reward Ratio (click one, or type your own)
Risk
:
Reward
Click sets Win Size vs Loss Size (R) below. Typing R below moves these boxes too.
Out of 100 trades, how many finish green
2 means a win pays twice what a loss costs
0.05 means costs eat 5% of one loss. 0 ignores them
The money you trade from
Share of the account lost if your stop hits. 1 is common
Used by the projection below (10 to 1000)
Average Result Per Trade (Expectancy)
0R
Measured in R, where 1R is one full loss
Win Rate You Need (Breakeven)
0%
Below this you lose money at this R:R
Average Dollars Per Trade (Expected $)
$0
At the risk % you entered
Max Bet Size (Full Kelly)
0%
Fastest growth, roughest ride
Safer Bet Size (Half Kelly)
0%
Half the max. Most traders stop here
Careful Bet Size (Quarter Kelly)
0%
A quarter of the max
Prove It And Project It

Plays out 500 pretend runs of your planned trades with your win rate, R:R, costs and risk %. It shows the typical path, the bad luck path and how many trades it takes before the edge can be trusted.

Typical Account At The End (Median)
$0
Half of runs end above this
Bad Luck Account (10th Percentile)
$0
1 run in 10 ends below this
Chance Of Finishing Ahead
0%
Runs that end above the start
Typical Worst Dip (Max Drawdown)
0%
Biggest fall from a peak
Longest Losing Streak To Expect
0
Losses in a row within your trades
Trades To Prove The Edge (about 95% sure)
0
Fewer trades than this is mostly luck
Trade Plan R:R

Turn a chart idea into numbers. Works for longs and shorts.

The price you buy or short at
The price that proves you wrong
The price you cash out at
Risk : Reward Ratio (click one, or type your own)
Risk
:
Reward
Click sets your Target Price from your Entry and Stop. Longs and shorts both work.
What You Risk (Risk / Share)
$0
Lost per share at the stop
What You Can Make (Reward / Share)
$0
Gained per share at the target
Win vs Loss Size (Reward : Risk)
-
How much a win pays vs a loss
Win Rate You Need
-
To break even on this plan
Shares To Trade (Position Size)
0
From your account and risk %
Dollars At Risk
$0
Lost if the stop hits
Dollars You Can Make
$0
Gained if the target hits
Average Result (Expected Value)
$0
At the win rate above
Visualizer

Your edge drawn to scale, then the edge map and the standard ratio table. Everything here updates from the inputs above.

Average result by win rate

Average result at your R:RYour win rateHover the chart to read any win rate
In plain English: the green line is your average result per trade (in R) at each possible win rate. Where it crosses zero is the win rate you need to break even. The yellow dot is you. Above the line is profit, below is loss. Expectancy = win rate x R:R minus the loss rate. Breakeven win rate = 1 / (1 + R:R). Kelly = win rate minus (loss rate / R:R). If Kelly is zero or negative, the edge is gone and no position size fixes it.

Projection: 500 pretend runs of your plan

Typical runTeal band: middle 50% of runsPink band: 8 in 10 runsHover to read any trade number
In plain English: the cyan line is the typical run, the teal band holds half of all runs, and the pink band holds eight in ten. Even a real edge can sit under water for a long stretch, and that is normal. The trades-to-prove number comes from how bumpy single trades are. A bumpier strategy needs more trades before the average can be trusted. The runs use the same fixed random seed, so the same inputs always show the same picture.
Edge Map

Average result per trade (in R) for every combination of win rate and reward to risk, after your costs. Green earns, pink loses. The gold outline is the closest cell to you. Click any cell to use that win rate and ratio.

Breakeven Win Rate by R:R

The higher your reward to risk, the less often you need to be right. These rows are our standard ratios, and clicking one uses it in the calculator.

Risk : Reward (click a row)Breakeven Win RateWin Rate for +0.25RWin Rate for +0.5R