Support Board
Date/Time: Tue, 11 Feb 2025 14:31:10 +0000
Found a calculation error of the Expectancy value in Trade Activity Log?
View Count: 627
| [2020-09-11 17:14:17] |
| Yoshi-san - Posts: 11 |
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I may have happened to find an error regarding the calculation of the Expectancy value in the Trade Activity Log's Statistic page. In the Trade Activity Log's Documentation page (Trade Activity Log) it says: Expectancy: The following is the formula for Expectancy: (AverageFlatToFlatTradeProfit for the Trade Statistics * TotalWinningFlatToFlatTradesPercent) - (AverageFlatToFlatTradeLoss for the Trade Statistics * TotalLosingFlatToFlatTradesPercent)
Or, to be more specific, the Expectancy formula in the documentation is wrong, too. Since the value for "AverageFlatToFlatTradeLoss for the Trade Statistics * TotalLosingFlatToFlatTradesPercent" will be a negative number, one would end up subtracting a negative value from (the positive value) "AverageFlatToFlatTradeProfit for the Trade Statistics * TotalWinningFlatToFlatTradesPercent". However, subtracting a negative value from another value would eventually mean that one would have to mathematically add the value to the other value. Hence, the average expected loss per trade would be added to the average expected profit per trade instead of substracted, which would be wrong. As an example, please see the values taken as screenshot from Sierra Chart's Trade Activity Log (Version 2163 64 -bit (33085:33086M): The average expected profit per Trade considering the total winning percentage would be: (0.3214 * 35.21) = 11.32, whereas the average expected loss per Trade considering the total losing percentage would be: ((1-0.3214) * (-10.12)) = -6.86, or 6.86 in absolute values. According to the documentation, the Expectancy is calculated as: 11.32 - (-6.86) = 11.32 + 6.86 = 18.18, Correct would be: 11.32 + (-6.86) = 4.46 or 11.32 - abs(-6.86) = 4.46 |
 Screenshot_1.png / V - Attached On 2020-09-11 17:03:58 UTC - Size: 5.35 KB - 189 views |
| [2020-09-11 21:58:58] |
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We just took that formula as it was provided to us. There was no further consideration of it. So the formula as provided to us was wrong. So we will make this change. This does make sense. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-09-11 21:59:14
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