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Sample Run

Harmonic Patterns

ES 5m · 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

-$2,228.00

Max Drawdown %

2.90%

Profit Factor

0.80

Win Rate

52.86%

Sharpe Ratio

-0.28

Total Trades

70

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
-135
48
-1.6k
-421
578
·
-128
-18
-330
-103
227
-337
-2.2k
2021
11
869
·
·
·
533
-243
107
·
·
·
·
1.3k
2022
-208
231
-821
·
·
·
214
-370
·
-246
775
·
-426
2023
·
·
-6
·
-120
-43
67
·
·
·
504
34
436
2024
47
·
·
·
33
·
·
·
-413
-152
-826
·
-1.3k

Detailed Metrics

Sharpe Ratio

-0.28

Sortino Ratio

-0.33

Profit Factor

0.80

Avg Win / Avg Loss

0.71

Avg Winner

$241.72

Avg Loser

-$338.54

Expectancy

-$31.83

Recovery Factor

-0.77

Max Drawdown ($)

$2,907.00

Max Drawdown (%)

2.90%

Max DD ($) Trough

76d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

76d

Max DD (%) Recovery

Not yet recovered

Commission

$192.50

Winning / Losing

37 / 33

Total Orders

214

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

Butterfly

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

6

Max Consecutive Losses

4

Avg Consecutive Wins

1.9

Avg Consecutive Losses

1.7

Median Consecutive Wins

1

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

63

Profitable Days

33

Daily Win Rate

52.38%

Avg Daily Return

-$35.37

Std Dev Daily

$440.52

Max Daily Return

$868.75

Min Daily Return

-$2,284.25

Max EOD Drawdown

$2,907.00

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.

051015-$2.3k-$1.8k-$1.3k-$800-$300$200$700$900

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.

024681012-$2.3k-$1.8k-$1.3k-$800-$300$200$700$900

Streak Distribution

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

Wins
Losses
5510101515123456

Recent Daily P&L

Last 64 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

33W / 31L

Orders

214 orders generated by this run.

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