BUG: Update Expectancy [%] formula (#181)

* Update Expectancy [%] formula
* fix failing test

Author: paklong

backtesting/backtesting.py

@@ -1443,7 +1443,7 @@ def geometric_mean(returns):
         s.loc['Max. Trade Duration'] = _round_timedelta(durations.max())
         s.loc['Avg. Trade Duration'] = _round_timedelta(durations.mean())
         s.loc['Profit Factor'] = returns[returns > 0].sum() / (abs(returns[returns < 0].sum()) or np.nan)  # noqa: E501
-        s.loc['Expectancy [%]'] = ((returns[returns > 0].mean() * win_rate -
+        s.loc['Expectancy [%]'] = ((returns[returns > 0].mean() * win_rate +
                                     returns[returns < 0].mean() * (100 - win_rate)))
         s.loc['SQN'] = np.sqrt(n_trades) * pl.mean() / (pl.std() or np.nan)
 

backtesting/test/_test.py

@@ -266,7 +266,7 @@ def test_compute_stats(self):
                 'End': pd.Timestamp('2013-03-01 00:00:00'),
                 'Equity Final [$]': 51959.94999999997,
                 'Equity Peak [$]': 75787.44,
-                'Expectancy [%]': 8.791710931051735,
+                'Expectancy [%]': 3.097629974370269,
                 'Exposure Time [%]': 93.99441340782123,
                 'Max. Drawdown Duration': pd.Timedelta('584 days 00:00:00'),
                 'Max. Drawdown [%]': -47.98012705007589,