A trading edge is not a story

"If you can't measure it, you can't improve it."

– Peter Drucker

A trading edge is not a story. A trading edge is a number, and the formula is composed of a few functions:

1. Arithmetic gain expectancy: In execution trader English, this is how often you win multiplied by how much you make on average minus how often you lose times how much you lose on average. This function is the classic arithmetic expectancy, present in every middle school introduction to statistics and absent in a Finance MBA. When talking about trading edges or gain expectancy, market participants default to the arithmetic gain expectancy. It is easy to grasp and calculate. The simplicity of this formula imposes itself, even to those who do not understand its sophistication.

   # Expectancy formula, win_rate is your Hit ratio, avg_win is the average gain per trade, and avg_loss is the average loss per trade
   def expectancy...