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Sample Run

Harmonic Patterns

ES 15m · Butterfly · 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

$1,792.75

Max Drawdown %

1.79%

Profit Factor

1.37

Win Rate

58.62%

Sharpe Ratio

0.31

Total Trades

29

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
8
·
1.0k
·
·
·
239
246
-245
·
·
·
1.3k
2021
246
1.0k
·
·
148
·
538
·
·
·
·
435
2.4k
2022
·
·
-1.7k
·
·
·
·
·
·
343
·
761
-611
2023
·
·
-275
282
431
·
·
·
·
·
-660
·
-222
2024
·
-521
·
·
·
-497
·
·
·
·
·
·
-1.0k

Detailed Metrics

Sharpe Ratio

0.31

Sortino Ratio

0.46

Profit Factor

1.37

Avg Win / Avg Loss

0.97

Avg Winner

$392.49

Avg Loser

-$406.63

Expectancy

$61.82

Recovery Factor

0.97

Max Drawdown ($)

$1,851.00

Max Drawdown (%)

1.79%

Max DD ($) Trough

894d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

894d

Max DD (%) Recovery

Not yet recovered

Commission

$79.75

Winning / Losing

17 / 12

Total Orders

87

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

Butterfly

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

4

Max Consecutive Losses

5

Avg Consecutive Wins

2.8

Avg Consecutive Losses

1.7

Median Consecutive Wins

2.5

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

28

Profitable Days

17

Daily Win Rate

60.71%

Avg Daily Return

$64.03

Std Dev Daily

$483.24

Max Daily Return

$1,023.75

Min Daily Return

-$959.75

Max EOD Drawdown

$1,851.00

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.

012345-$1.0k-$600-$200$200$600$1.0k$1.1k

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.

012345-$1.0k-$600-$200$200$600$1.0k$1.1k

Streak Distribution

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

Wins
Losses
22446612345

Recent Daily P&L

Last 28 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

17W / 11L

Orders

87 orders generated by this run.

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