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Backtest Sample

Three Drives

ES 15m · Three Drives · 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

$8,782.75

Max Drawdown %

3.27%

Profit Factor

1.31

Win Rate

55.56%

Sharpe Ratio

0.54

Total Trades

153

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
·
-579
3.4k
2.4k
517
602
-875
376
355
-883
·
-114
5.2k
2021
1.2k
87
-225
-452
270
·
-329
258
·
-224
479
-310
741
2022
-373
845
189
1.8k
-2.2k
71
-213
1.8k
-962
2.6k
-1.1k
386
2.7k
2023
210
-643
-864
·
227
-601
-590
-201
171
-426
·
·
-2.7k
2024
877
-126
331
739
155
35
-757
-39
2.6k
-383
485
-1.1k
2.8k

Detailed Metrics

Sharpe Ratio

0.54

Sortino Ratio

0.95

Profit Factor

1.31

Avg Win / Avg Loss

1.05

Avg Winner

$437.87

Avg Loser

-$418.18

Expectancy

$57.40

Recovery Factor

2.45

Max Drawdown ($)

$3,577.75

Max Drawdown (%)

3.27%

Max DD ($) Trough

356d

Max DD ($) Recovery

707d

Max DD (%) Trough

356d

Max DD (%) Recovery

707d

Commission

$420.75

Winning / Losing

85 / 68

Total Orders

464

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

Three Drives

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

6

Max Consecutive Losses

5

Avg Consecutive Wins

2.4

Avg Consecutive Losses

1.8

Median Consecutive Wins

2

Median Consecutive Losses

2

Daily Performance

Tradeable Days

1,295

Days Traded

140

Profitable Days

79

Daily Win Rate

56.43%

Avg Daily Return

$62.73

Std Dev Daily

$599.21

Max Daily Return

$2,340.75

Min Daily Return

-$1,342.75

Max EOD Drawdown

$3,577.75

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.

010203040-$1.4k-$800-$200$400$1.0k$1.6k$2.2k$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.

0102030-$1.4k-$800-$200$400$1.0k$1.6k$2.2k$2.4k

Streak Distribution

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

Wins
Losses
55101015152020123456

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.

65W / 55L

Orders

464 orders generated by this run.

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