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Sample Run

Harmonic Patterns

ES 5m · Three Drives · 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

-$2,061.00

Max Drawdown %

7.90%

Profit Factor

0.97

Win Rate

53.82%

Sharpe Ratio

-0.10

Total Trades

498

Monthly Returns

Net P&L by calendar month. Helps spot strategies that ride one or two great periods vs. those that compound steadily.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2020	15	-763	-6.4k	-365	1.5k	590	-1.5k	231	-444	977	74	793	-5.3k
2021	3.0k	-924	-567	714	-600	283	-766	·	420	789	-949	504	1.9k
2022	1.5k	379	-1.0k	-558	1.6k	1.7k	2.0k	-57	-1.2k	336	740	1.1k	6.6k
2023	765	-326	-859	-462	360	-351	385	-1.2k	291	-1.1k	508	-343	-2.3k
2024	-19	-828	-41	-371	-781	821	-428	-375	-450	685	-2.2k	1.0k	-3.0k

Detailed Metrics

Sharpe Ratio

-0.10

Sortino Ratio

-0.15

Profit Factor

0.97

Avg Win / Avg Loss

0.83

Avg Winner

$247.06

Avg Loser

-$296.84

Expectancy

-$4.14

Recovery Factor

-0.26

Max Drawdown ($)

$7,900.25

Max Drawdown (%)

7.90%

Max DD ($) Trough

88d

Max DD ($) Recovery

864d

Max DD (%) Trough

88d

Max DD (%) Recovery

864d

Commission

$1,369.50

Winning / Losing

268 / 230

Total Orders

1,506

Configuration

Strategy

Harmonic Patterns

Contracts

Timeframe

Date Range

Jan 1, 2020 - Dec 31, 2024

Initial Capital

$100,000.00

Slippage Model

Realistic

Parameters

Pattern

Three Drives

Strictness

Balanced

Contracts per trade

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Streaks

Max Consecutive Wins

Max Consecutive Losses

Avg Consecutive Wins

2.1

Avg Consecutive Losses

1.8

Median Consecutive Wins

Median Consecutive Losses

Daily Performance

Tradeable Days

1,295

Days Traded

370

Profitable Days

194

Daily Win Rate

52.43%

Avg Daily Return

-$5.57

Std Dev Daily

$468.68

Max Daily Return

$3,744.50

Min Daily Return

-$2,260.50

Max EOD Drawdown

$7,900.25

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.

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.

Streak Distribution

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

Wins

Losses

Recent Daily P&L

Last 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.

57W / 63L

Orders

1,506 orders generated by this run.

ID	Contract	Action	Type	Qty	Price	Status	Commission	Time
1000	NQ-2024H	Buy	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX
1001	NQ-2024H	Sell	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX
1002	NQ-2024H	Buy	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX
1003	NQ-2024H	Sell	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX
1004	NQ-2024H	Buy	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX
1005	NQ-2024H	Sell	Market	1	19,xxx.xx	Filled	$2.75	2024-XX-XX XX:XX:XX

Order-level detail

Every fill, every commission, every timestamp.

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