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Sample Run

Harmonic Patterns

ES 5m · Deep Crab · 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

$220.25

Max Drawdown %

4.27%

Profit Factor

1.02

Win Rate

46.81%

Sharpe Ratio

0.03

Total Trades

47

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
·
·
651
-297
282
·
733
·
284
-233
1.3k
237
3.0k
2021
-550
-520
·
-210
·
·
-171
·
·
·
·
-555
-2.0k
2022
-1.5k
1.2k
120
-197
·
213
-160
·
271
·
-964
148
-820
2023
·
·
-538
-203
·
-675
-153
1.2k
·
855
·
·
489
2024
·
·
·
·
-567
·
·
413
·
153
-445
·
-446

Detailed Metrics

Sharpe Ratio

0.03

Sortino Ratio

0.04

Profit Factor

1.02

Avg Win / Avg Loss

1.16

Avg Winner

$440.36

Avg Loser

-$378.71

Expectancy

$4.69

Recovery Factor

0.05

Max Drawdown ($)

$4,394.50

Max Drawdown (%)

4.27%

Max DD ($) Trough

932d

Max DD ($) Recovery

Not yet recovered

Max DD (%) Trough

932d

Max DD (%) Recovery

Not yet recovered

Commission

$129.25

Winning / Losing

22 / 25

Total Orders

142

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

Deep Crab

Strictness

Balanced

Contracts per trade

1

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Streaks

Max Consecutive Wins

4

Max Consecutive Losses

6

Avg Consecutive Wins

1.8

Avg Consecutive Losses

2.1

Median Consecutive Wins

2

Median Consecutive Losses

1

Daily Performance

Tradeable Days

1,295

Days Traded

46

Profitable Days

21

Daily Win Rate

45.65%

Avg Daily Return

$4.79

Std Dev Daily

$508.97

Max Daily Return

$1,217.75

Min Daily Return

-$963.75

Max EOD Drawdown

$4,394.50

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.

02468-$1.0k-$600-$200$200$600$1.0k$1.3k

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-$1.0k-$600-$200$200$600$1.0k$1.3k

Streak Distribution

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

Wins
Losses
22446688123456

Recent Daily P&L

Last 46 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

21W / 25L

Orders

142 orders generated by this run.

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