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Backtest Sample

Three Drives

NQ 5m · Three Drives · 2020-2024 · NQ

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

Net P&L

-$11,327.85

Max Drawdown %

17.03%

Profit Factor

0.92

Win Rate

53.38%

Sharpe Ratio

-0.35

Total Trades

695

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
728
-1.7k
-951
-602
2.1k
875
768
1.0k
-536
520
93
-577
1.7k
2021
-1.3k
-317
961
1.3k
-3.6k
1.4k
598
250
-108
551
1.1k
-1.9k
-1.0k
2022
-5.0k
-5.9k
-545
3.0k
4.9k
-350
-895
-1.9k
632
-726
905
223
-5.7k
2023
-48
-1.1k
-1.3k
-1.3k
-187
382
143
-6
-289
-1.2k
-1.9k
1.3k
-5.4k
2024
-1.5k
983
-622
-926
1.7k
170
-3.7k
5.4k
916
-21
-2.5k
-722
-921

Detailed Metrics

Sharpe Ratio

-0.35

Sortino Ratio

-0.51

Profit Factor

0.92

Avg Win / Avg Loss

0.80

Avg Winner

$343.59

Avg Loser

-$428.39

Expectancy

-$16.30

Recovery Factor

-0.64

Max Drawdown ($)

$17,586.45

Max Drawdown (%)

17.03%

Max DD ($) Trough

1399d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

1399d

Max DD (%) Recovery

Not yet recovered

Commission

$1,911.25

Winning / Losing

371 / 324

Total Orders

2,095

Configuration

Strategy

Harmonic Patterns

Contracts

NQ

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

9

Max Consecutive Losses

10

Avg Consecutive Wins

2.2

Avg Consecutive Losses

1.9

Median Consecutive Wins

2

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,293

Days Traded

504

Profitable Days

256

Daily Win Rate

50.79%

Avg Daily Return

-$22.48

Std Dev Daily

$633.79

Max Daily Return

$4,434.45

Min Daily Return

-$2,663.35

Max EOD Drawdown

$17,398.10

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.

050100150200-$2.8k-$1.6k-$400$800$2.0k$3.2k$4.4k$4.6k

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-$2.8k-$1.8k-$800$200$1.2k$2.2k$3.2k$3.8k

Streak Distribution

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

Wins
Losses
505010010012345678910

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.

61W / 59L

Orders

2,095 orders generated by this run.

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