TL

Expectancy

02 • LIVE

E = (Win% × Avg Win) − (Loss% × Avg Loss)

KELLY CRITERION

Optimal fraction f* = (bp − q)/b • where b = AvgWin/AvgLoss

FULL KELLY
14.2%
HALF KELLY
7.1%
QUARTER
3.6%
Half-Kelly recommended — reduces volatility ~50% with 75% of growth.
EV / TRADE
+$18.60
per trade
PROFIT FACTOR
1.48
gross profit / loss
BREAKEVEN WR
40.5%
to not lose
100-TRADES P&L
+$1,860
expected

100-Trade Equity Curve (Monte Carlo)

Seed 42 • shuffled
Median End Equity
$11,420
Worst Drawdown (sim)
-$1,240
Best Run
+$3,100

Drawdown Probability Table

DrawdownProb (approx)Risk Level

Probabilities estimated via expectancy & win rate variance. Use Kelly to size to keep risk of 20% drawdown <5%.