The average amount you expect to make or lose per trade over many trades, combining win rate and average win and loss.
Expectancy: the average trade. Forty trades sorted by outcome: 24 small losses and 16 larger wins. Weighting each side by how often it happens gives the average result per trade, marked here by the dashed line at +$120.
Expectancy = (win rate x average win) - (loss rate x average loss). A positive number means the approach makes money over a large enough sample-size; negative means it loses, regardless of how any single trade goes.
It is the single number that says whether you have an edge. Expressed in R, it tells you how much you earn per dollar risked.
Example: 40% win rate, average win +2.5R, average loss -1R. Expectancy = (0.40 x 2.5) - (0.60 x 1) = +0.40R per trade. Risking $200 per trade, that is $80 per trade on average.