The average amount you expect to make per trade over a large number of trades. Positive expectancy means the strategy is profitable long-term.
Expectancy = (Win Rate × Average Win) - (Loss Rate × Average Loss). For a trader with 55% win rate and 1.5:1 RR: (0.55 × 1.5R) - (0.45 × 1R) = 0.825R - 0.45R = 0.375R. This means for every $1 risked, the expected return is $0.375. Over 100 trades at $100 risk, expected profit = $3,750. Positive expectancy is necessary but not sufficient for prop trading success — you also need low risk of ruin and consistent execution.