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Forums>StrategyQuant>Application Support>SQN Score and Expectancy calculated incorrectly

  • #247317 |
    24 Posts

    Hi there,

    Is the calculation of SQN Score right? I get a score of -4.51, see attached strategy and config file. My own SQN calculations give values as 2.42 or 1.08 (assuming the max of 100 trades).

    I might go wrong with calculating the expectancy. According to the book of Van Tharp the expectancy is the average R, which is something different as the formula used here. The formula used here is from his first book, namely (Probability of Win * Average Win) – (Probability of Loss * Average Loss) . On page 18 of his book “definitive guide to position sizing” he writes that this formula is incorrect because expectancy really should e the average profit per dollar risked.

    It is best to just divide the profit/loss by the risk per trade and take the average of this to calculate the expectancy.


    SQN and Expectancy

    82 Posts

    Hi Venus,

    Maybe you should report it as a bug in order to be fixed by the dev team

    1180 Posts

    Please send the strategy to, I can check the results

    24 Posts

    Hi Enric,

    Good suggestion, i have created a bug. See this link:

    Votes are very much appreciated …

    Kind regards,


    82 Posts

    Done! ;)

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