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Sample Run

Harmonic Patterns

ES 5m · Bat · 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

-$4,579.00

Max Drawdown %

5.25%

Profit Factor

0.50

Win Rate

52.17%

Sharpe Ratio

-0.59

Total Trades

46

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
·
·
-2.8k
-277
-425
·
·
-246
·
157
152
·
-3.5k
2021
194
·
·
-57
-914
4
-20
2
·
·
-63
·
-854
2022
·
-925
·
·
257
271
58
·
101
-310
419
487
359
2023
-4
-114
182
·
·
-525
·
24
·
·
-296
57
-676
2024
·
·
·
-118
·
·
267
·
·
·
-86
·
62

Detailed Metrics

Sharpe Ratio

-0.59

Sortino Ratio

-0.62

Profit Factor

0.50

Avg Win / Avg Loss

0.46

Avg Winner

$190.50

Avg Loser

-$415.95

Expectancy

-$99.54

Recovery Factor

-0.87

Max Drawdown ($)

$5,248.50

Max Drawdown (%)

5.25%

Max DD ($) Trough

693d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

693d

Max DD (%) Recovery

Not yet recovered

Commission

$126.50

Winning / Losing

24 / 22

Total Orders

141

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

Bat

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

4

Max Consecutive Losses

3

Avg Consecutive Wins

1.6

Avg Consecutive Losses

1.4

Median Consecutive Wins

1

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

43

Profitable Days

23

Daily Win Rate

53.49%

Avg Daily Return

-$106.49

Std Dev Daily

$514.28

Max Daily Return

$436.75

Min Daily Return

-$2,829.75

Max EOD Drawdown

$5,248.50

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.

0246810-$2.9k-$2.4k-$1.9k-$1.4k-$900-$400$100$500

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.

02468-$2.9k-$2.4k-$1.9k-$1.4k-$900-$400$100$500

Streak Distribution

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

Wins
Losses
55101015151234

Recent Daily P&L

Last 43 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

23W / 20L

Orders

141 orders generated by this run.

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