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Sample Run

Harmonic Patterns

ES 15m · Cypher · 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

-$2,906.50

Max Drawdown %

3.01%

Profit Factor

0.26

Win Rate

50.00%

Sharpe Ratio

-0.66

Total Trades

14

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
·
·
-1.5k
·
·
291
·
·
·
·
·
·
-1.3k
2021
·
-647
·
·
·
·
·
139
·
87
·
·
-421
2022
27
·
·
-308
·
·
·
·
·
·
·
·
-281
2023
·
·
·
-257
-671
·
377
-216
·
·
·
·
-768
2024
·
·
·
·
·
-290
106
·
·
·
·
·
-183

Detailed Metrics

Sharpe Ratio

-0.66

Sortino Ratio

-0.68

Profit Factor

0.26

Avg Win / Avg Loss

0.26

Avg Winner

$146.82

Avg Loser

-$562.04

Expectancy

-$207.61

Recovery Factor

-0.96

Max Drawdown ($)

$3,012.75

Max Drawdown (%)

3.01%

Max DD ($) Trough

1550d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

1550d

Max DD (%) Recovery

Not yet recovered

Commission

$38.50

Winning / Losing

7 / 7

Total Orders

42

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

Cypher

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

4

Max Consecutive Losses

3

Avg Consecutive Wins

1.8

Avg Consecutive Losses

1.8

Median Consecutive Wins

1

Median Consecutive Losses

1.5

Daily Performance

Tradeable Days

1,295

Days Traded

14

Profitable Days

7

Daily Win Rate

50.00%

Avg Daily Return

-$207.61

Std Dev Daily

$478.10

Max Daily Return

$377.25

Min Daily Return

-$1,544.75

Max EOD Drawdown

$3,012.75

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.

01234-$1.6k-$1.3k-$1.0k-$700-$400-$100$200$400

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.

01234-$1.6k-$1.3k-$1.0k-$700-$400-$100$200$400

Streak Distribution

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

Wins
Losses
1122331234

Recent Daily P&L

Last 14 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

7W / 7L

Orders

42 orders generated by this run.

Other sample runs for this strategy