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Backtest Sample

AB=CD

ES 15m · AB=CD · 2020-2024 · ES

Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.

Net P&L

$1,198.75

Max Drawdown %

5.92%

Profit Factor

1.03

Win Rate

56.28%

Sharpe Ratio

0.07

Total Trades

215

Monthly Returns

Net P&L by calendar month. Helps spot strategies that ride one or two great periods vs. those that compound steadily.

JanFebMarAprMayJunJulAugSepOctNovDecYear
2020
338
420
488
581
1.2k
-47
-594
-338
-716
-690
-200
-114
309
2021
838
-913
1.1k
-208
70
108
-943
338
-428
-820
-362
752
-433
2022
-1.5k
1.0k
202
176
-2.1k
1.5k
-581
326
1.6k
356
498
-728
753
2023
49
824
-33
98
362
453
-459
-627
796
-174
-127
674
1.8k
2024
-172
471
1.4k
-719
423
-110
-993
-940
-529
-90
125
-123
-1.3k

Detailed Metrics

Sharpe Ratio

0.07

Sortino Ratio

0.10

Profit Factor

1.03

Avg Win / Avg Loss

0.80

Avg Winner

$367.18

Avg Loser

-$459.89

Expectancy

$5.58

Recovery Factor

0.20

Max Drawdown ($)

$6,145.50

Max Drawdown (%)

5.92%

Max DD ($) Trough

708d

Max DD ($) Recovery

1358d

Max DD (%) Trough

708d

Max DD (%) Recovery

1358d

Commission

$591.25

Winning / Losing

121 / 94

Total Orders

652

Configuration

Strategy

Harmonic Patterns

Contracts

ES

Timeframe

15m

Date Range

Jan 1, 2020 - Dec 31, 2024

Initial Capital

$100,000.00

Slippage Model

Realistic

Parameters

Pattern

AB=CD

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

7

Max Consecutive Losses

6

Avg Consecutive Wins

2.2

Avg Consecutive Losses

1.8

Median Consecutive Wins

2

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

199

Profitable Days

113

Daily Win Rate

56.78%

Avg Daily Return

$6.02

Std Dev Daily

$537.83

Max Daily Return

$2,340.75

Min Daily Return

-$1,437.25

Max EOD Drawdown

$5,617.25

Per-Trade P&L Distribution

Spread of single-trade outcomes. Wide tails on the right reveal whether the strategy depends on a few large winners.

0102030405060-$1.6k-$1.0k-$400$200$800$1.4k$2.0k$2.4k

Daily P&L Distribution

Spread of net P&L per trading day. A flat right tail means consistency; a single large positive bin means luck.

0102030405060-$1.6k-$1.0k-$400$200$800$1.4k$2.0k$2.4k

Streak Distribution

How often each consecutive win or loss run occurred. Long bars on either side hint at clustered streaks.

Wins
Losses
1010202030301234567

Recent Daily P&L

Last 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

67W / 53L

Orders

652 orders generated by this run.

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