Expectancy
The average expected gain per trade: (win rate × average win) − (loss rate × average loss). Positive expectancy is the mathematical condition for long-run profitability.
Example: 40% win rate, average win 2R, average loss 1R → 0.4×2 − 0.6×1 = +0.2R per trade. Over 100 trades, about 20R.
Expectancy is only meaningful over enough trades and must be calculated with costs included. Trying to raise win rate alone (by widening the stop) can enlarge the average loss and lower expectancy.