Crypto Strategy Profit Factor vs Expectancy: Read Both With Costs
Profit factor and expectancy summarise the same trades differently. Read both, and read them after costs.
Short answer
Profit factor = gross profit ÷ gross loss; above 1 means winners outweigh losers in total. Expectancy = average profit per trade = (win rate × average win) − (loss rate × average loss). Profit factor ignores how many trades it took; expectancy tells you what each trade earns, which you can compare with per-trade costs. A strategy with profit factor 1.3 and expectancy of 4 bps per trade may disappear after 6 bps of costs. Always compute both after fees, slippage and funding.
Definitions
| Metric | Formula | Tells you |
|---|---|---|
| Profit factor | Gross profit ÷ gross loss | Overall balance of winners vs losers |
| Expectancy | Win% × avg win − loss% × avg loss | Average earnings per trade |
| Expectancy (R) | Expectancy ÷ average risk | Earnings per unit of risk |
Worked example
Illustrative: 200 trades, 45% winners averaging +1.2%, 55% losers averaging −0.8%. Gross profit = 90 × 1.2 = 108; gross loss = 110 × 0.8 = 88. Profit factor = 1.23. Expectancy = 0.45 × 1.2 − 0.55 × 0.8 = 0.10% per trade (10 bps). Round-trip costs of 8 bps leave 2 bps; costs of 12 bps turn it negative.
Reading them together
Related: Crypto Risk-Reward After Fees: Calculate the Real Break-Even Win Rate, Trading Journal Expectancy: Include Fees, Funding and Partial Exits, A Profitable Crypto Backtest With 20 Trades: Is the Sample Useful?.
Expectancy in R
Expressing expectancy in units of risk (R) makes strategies comparable across markets and position sizes. If average risk per trade is 1% of capital and expectancy is 0.15%, expectancy is 0.15R. A strategy earning 0.15R per trade with 300 trades a year has a very different profile from one earning 0.5R with 30 trades; drawdowns, costs and variance differ too.
Conclusion
Report profit factor and expectancy after costs, and require expectancy to clear per-trade costs with margin.
Check metrics after setting costs in the backtester.
Open the ChartsPod terminalCheck Crypto Strategy Profit Factor vs Expectancy against a live market before relying on it.
Try it in ChartsPodQuestions readers ask
What is a good profit factor?
Above 1 after costs; how much above depends on trade count and stability.
What is expectancy?
Average profit per trade.
Why compute after costs?
Small per-trade edges are easily erased by fees and slippage.
Sources and methodology
Backtesting principles follow TradingView's Pine Script documentation on strategies, repainting and non-standard charts, and ChartsPod's strategies-and-backtests guide summary, as read on 17 October 2026. All numbers are illustrative and do not describe a real strategy's performance.
- TradingView Pine Script: Strategies — simulated fills and assumptions.
- ChartsPod documentation — guides for order flow, derivatives, alerts, backtests, journal and workspaces.
This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.
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