ES 0/20/41 120D BackTest Result WR:75.0% R:R 1:1 EV:36.42

Report Summary

Batch backtest report generated by Footprint Lab automation.

Symbol: ES

Chart Type: Range US chart

Period: 120 days

Generated At: 20260610_005211

Top 5 Strategy Dashboard

Top 1Composite Score: —

Generate Parameter Document (Top 1)

Net Profit

$3,687.5

Win Rate

75.00%

Profit Factor

3.0810

EV (ticks)

36.4167

Max Drawdown

$1,012.5

Trades

Main Equity Curve

Start: 10000.00 / End: 13687.50

Main strategy equity

Min 8987.50Max 14525.00

Six-Dimension Radar

Net Profit: 3/5
Win Rate: 3/5
Stability (Drawdown): 3/5
Expected Value (EV): 3/5
Loss Streak Control: 5/5
Trade Count: 1/5

Money Management Equity

Fixed lot equity

Min 8987.50Max 14525.00

Martingale equity

Min 8987.50Max 18050.00

Kelly equity

Min 10000.00Max 10000.00

Parameter Config

RiskRewardRatio	1
MaxLookaheadBars	20
ExitMode	FixedTpSl
ReversalCandlesRequired	2
TrailingStopTicks	8
EntryBarBuffer	1
SizingMode	Fixed
LotSize	1
MaxPositionLots	0
BreakEvenTicks	0
BreakEvenTicksAddition	1
BreakEvenMinStopDistanceTicks	3
MinBarsBetweenEntries	3
DailyMaxLoss	0
InitialCapital	100000
PricePerTick	12.5000
KellyLookbackTrades	30
KellyMaxRiskPct	5
MaxMartingaleLots	4
MaxMartingaleDebtUsd	1000000
KellyCanSkipTrade	false
MarginPerContract	0
Session1Enabled	true
Session1Start	21:30
Session1End	04:00
Session2Enabled	true
Session2Start	06:00
Session2End	15:30
Session3Enabled	true
Session3Start	15:30
Session3End	21:30
SideMode	Long
VwapMode	VwapTrend
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	false
MinTotalVolume	10000
EnableDeltaLongFilter	false
DeltaLongMinThreshold	2000
EnableDeltaShortFilter	false
DeltaShortMaxThreshold	-500
FootprintFilterMode	ImbalanceOnly
ImbalanceRatioPct	200
MinImbalanceVolume	100
StackedImbalanceLevels	3
AbsorptionEdgePct	15
MinAbsorptionVolume	1
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	false
FootprintFailOpen	true
ScoreWeightNetProfitPct	40
ScoreWeightWinRatePct	30
ScoreWeightDrawdownPct	20
ScoreWeightProfitFactorPct	5
ScoreWeightEvPct	5
ScoreWeightTotalPct	100

Detailed Metrics

Rank	—
CompositeScore	—
RiskRewardRatio	1
MaxLookaheadBars	20
ExitMode	FixedTpSl
ReversalCandlesRequired	2
TrailingStopTicks	8
EntryBarBuffer	1
SizingMode	Fixed
LotSize	1
MaxPositionLots	0
BreakEvenTicks	0
BreakEvenTicksAddition	1
BreakEvenMinStopDistanceTicks	3
MinBarsBetweenEntries	3
DailyMaxLoss	0
InitialCapital	100000
PricePerTick	12.5000
KellyLookbackTrades	30
KellyMaxRiskPct	5
MaxMartingaleLots	4
MaxMartingaleDebtUsd	1000000
KellyCanSkipTrade	false
MarginPerContract	0
Session1Enabled	true
Session1Start	21:30
Session1End	04:00
Session2Enabled	true
Session2Start	06:00
Session2End	15:30
Session3Enabled	true
Session3Start	15:30
Session3End	21:30
SideMode	Long
VwapMode	VwapTrend
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	false
MinTotalVolume	10000
EnableDeltaLongFilter	false
DeltaLongMinThreshold	2000
EnableDeltaShortFilter	false
DeltaShortMaxThreshold	-500
FootprintFilterMode	ImbalanceOnly
ImbalanceRatioPct	200
MinImbalanceVolume	100
StackedImbalanceLevels	3
AbsorptionEdgePct	15
MinAbsorptionVolume	1
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	false
FootprintFailOpen	true
TotalTrades	14
Wins	9
Losses	3
BreakEvens	0
Timeouts	2
StopExits	3
TargetExits	9
WinRatePct	75
NetUsd	3687.5000
NetTicks	295
EV_AllTicks	36.4167
ProfitFactor	3.0810
MaxDrawdownUsd	1012.5000
ProfitPct	36.8750
AvgWinTicks	71.8889
AvgLossTicks	-70
MaxConsecWins	4
MaxConsecLosses	1
MedianStopTicks	72.5000
TotalRawSignals	594
AfterVolume	565
AfterDelta	565
AfterVwap	253
AfterFootprint	14
AfterStop	14

Stats Panel

Filters / Config

FP Mode	ImbalanceOnly
VWAP Mode	VwapTrend
Side Mode	Long
Exit Mode	FixedTpSl
Sizing	Fixed
Lot Size	1
RR	1
Lookahead	20 bars
Imb	200% / Vol 100 / Stack 3
Abs	Vol 1 / Edge 15% / Reject 20%
Delta Confirm	No
Volume Filter	Off / min=10000
Delta Long Filter	Off / >=2000
Delta Short Filter	Off / <=-500
VWAP Filter	On / VwapTrend

Signal Funnel

Raw 3+4 Signals	594
After Volume	565
After Delta	565
After VWAP	253
After Footprint	14
After Stop Filter	14
Daily Limit Hit	No
Trades Taken	14

Stats

Trades	14
W / L / BE	9 / 3 / 0
Timeout	2
Win Rate	75.0%
Net Ticks	295 (total)
Sim Net $	$3687.50
Profit %	+36.88%
Profit Factor	3.08
Max Drawdown $	$1012.50
Exit Stop	3 (21.4%)
Exit Target	9 (64.3%)
Exit Timeout	2 (14.3%)
Median Stop	72t

EV (t/lot)

EV All	36.42t ⚠n=12
AvgWin	+71.9t
AvgLoss	-70.0t
EV Long	18.60t ⚠n=5
L WR	60.0% W:3 L:2
L AvgW	+75.7t AvgL:-67.0t
EV Short	49.14t ⚠n=7
S WR	85.7% W:6 L:1
S AvgW	+70.0t AvgL:-76.0t

Streaks

Max Win Str.	4
Max Loss Str.	1
Period	2026-01-07 → 2026-05-28

Internal data package: open payload JSON