Obviously, PF is not the same as pip expectancy but I think it is clear that if PF <1 then pip expectancy <0.
Let me show it:
% winning trades: %W
% losing trades: %L
average pips per winning trade: AW
average pips per losing trade: AL
profit factor: PF
pip expectancy: PE
PF = ( # x %W x AW ) / (# x %L x AL ) = ( %W x AW ) / ( %L x AL)
PE = %W x AW - %L x AL
If PE = 0 >>> %W x AW = %L x AL
If %W x AW = %L x AL >>> PF = 1
So, PE < 0 >>> PF < 1
In other words, a darwin with PF <1 or pip expectancy <0 (it's exactly the same) is a bad darwin without any doubt.
PF or pip expectancy are not valid ratios to choose darwins but they are very useful to discard bad darwins.
I do not care about the leverage of different strategies: if PF <1 or PE <0, this is a darwin to rule out.
One more thing: I think investors in Darwinex need some kind of benchmark.
It would be interesting to compare the return 1M of the 50 darwins with more capital every day against the 50 darwins with the highest d-score.
Investors believe we are smarter than darwinex but the truth is that D-Score obtains better results than the community:
In the fund industry it happens that managers do not do better than the benchmark and it seems that with the darwins it is the same (if we consider a benchmark based on D-Score).
What do you think about?