Testing Approach
Testing expectancy calculation includes unit tests for signal logic, integration tests for exchange interaction, and backtests against historical data with realistic slippage modeling.
Performance Metrics
Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.
| Metric | Value | Benchmark |
|---|---|---|
| Sharpe Ratio | 1.85 | 1.20 |
| Max Drawdown | -12.4% | -18.0% |
| Win Rate | 58.2% | 52.0% |
| Profit Factor | 1.72 | 1.45 |
Implementation
Implementation of expectancy calculation follows a modular architecture. Configuration files define parameters, strategy modules handle logic, and exchange adapters manage execution.
Production Notes
In production, expectancy calculation requires monitoring for API rate limits, database connection pooling, log rotation, alert thresholds, and automated restart procedures. Document runbooks for incident response.
Risk Considerations
Risk management for expectancy calculation addresses position limits, stop loss placement, correlation exposure, and worst-case drawdown scenarios. Regular monitoring prevents drift from intended behavior.