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Backtest Sample

Three Drives

ES 5m · 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

-$2,061.00

Max Drawdown %

7.90%

Profit Factor

0.97

Win Rate

53.82%

Sharpe Ratio

-0.10

Total Trades

498

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
15
-763
-6.4k
-365
1.5k
590
-1.5k
231
-444
977
74
793
-5.3k
2021
3.0k
-924
-567
714
-600
283
-766
·
420
789
-949
504
1.9k
2022
1.5k
379
-1.0k
-558
1.6k
1.7k
2.0k
-57
-1.2k
336
740
1.1k
6.6k
2023
765
-326
-859
-462
360
-351
385
-1.2k
291
-1.1k
508
-343
-2.3k
2024
-19
-828
-41
-371
-781
821
-428
-375
-450
685
-2.2k
1.0k
-3.0k

Detailed Metrics

Sharpe Ratio

-0.10

Sortino Ratio

-0.15

Profit Factor

0.97

Avg Win / Avg Loss

0.83

Avg Winner

$247.06

Avg Loser

-$296.84

Expectancy

-$4.14

Recovery Factor

-0.26

Max Drawdown ($)

$7,900.25

Max Drawdown (%)

7.90%

Max DD ($) Trough

88d

Max DD ($) Recovery

864d

Max DD (%) Trough

88d

Max DD (%) Recovery

864d

Commission

$1,369.50

Winning / Losing

268 / 230

Total Orders

1,506

Configuration

Strategy

Harmonic Patterns

Contracts

ES

Timeframe

5m

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

8

Max Consecutive Losses

8

Avg Consecutive Wins

2.1

Avg Consecutive Losses

1.8

Median Consecutive Wins

2

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

370

Profitable Days

194

Daily Win Rate

52.43%

Avg Daily Return

-$5.57

Std Dev Daily

$468.68

Max Daily Return

$3,744.50

Min Daily Return

-$2,260.50

Max EOD Drawdown

$7,900.25

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.

050100150-$2.0k-$1.2k-$400$400$1.2k$2.0k$2.6k

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.

020406080100-$2.4k-$1.4k-$400$600$1.6k$2.6k$3.6k$3.8k

Streak Distribution

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

Wins
Losses
202040406060808012345678

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.

57W / 63L

Orders

1,506 orders generated by this run.

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