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Sample Run

Harmonic Patterns

ES 5m · 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

$1,253.50

Max Drawdown %

0.58%

Profit Factor

1.48

Win Rate

73.08%

Sharpe Ratio

0.47

Total Trades

52

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
·
·
296
70
233
436
·
-5
·
·
128
-200
959
2021
-184
·
·
86
·
12
·
59
61
5
·
52
92
2022
354
·
·
·
·
·
-102
·
-252
·
154
·
154
2023
-389
·
·
46
197
-72
21
·
·
-128
474
·
149
2024
·
-104
·
50
·
114
-378
·
·
·
75
142
-100

Detailed Metrics

Sharpe Ratio

0.47

Sortino Ratio

0.69

Profit Factor

1.48

Avg Win / Avg Loss

0.55

Avg Winner

$101.45

Avg Loser

-$185.82

Expectancy

$24.11

Recovery Factor

2.13

Max Drawdown ($)

$589.75

Max Drawdown (%)

0.58%

Max DD ($) Trough

367d

Max DD ($) Recovery

858d

Max DD (%) Trough

367d

Max DD (%) Recovery

858d

Commission

$143.00

Winning / Losing

38 / 14

Total Orders

157

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

Cypher

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

10

Max Consecutive Losses

3

Avg Consecutive Wins

2.9

Avg Consecutive Losses

1.2

Median Consecutive Wins

3

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

49

Profitable Days

36

Daily Win Rate

73.47%

Avg Daily Return

$25.58

Std Dev Daily

$165.57

Max Daily Return

$354.00

Min Daily Return

-$377.75

Max EOD Drawdown

$589.75

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.

02468-$380-$260-$140-$20$100$220$340

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.

051015-$400-$250-$100$50$200$350$400

Streak Distribution

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

Wins
Losses
551010151512345678910

Recent Daily P&L

Last 49 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

36W / 13L

Orders

157 orders generated by this run.

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