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.
Core Concepts
Understanding expectancy calculation requires familiarity with market microstructure, order flow dynamics, and execution latency. The following sections detail each component.
Implementation
Implementation of expectancy calculation follows a modular architecture. Configuration files define parameters, strategy modules handle logic, and exchange adapters manage execution.
Common Issues
Common issues with expectancy calculation include look-ahead bias in backtesting, overfitting to historical regimes, inadequate handling of exchange downtime, and insufficient logging for debugging.
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.