ES 0/20/41 126D BackTest Result WR:81.5% R:R 1:1 EV:44.56

Report Summary

Backtest report generated by Footprint Lab for website publishing.

Symbol: ES

Chart Type: 0/20/41

Period: 126 days

Generated At: 20260609_230805

Top 5 Strategy Dashboard

Top 1Composite Score: —

Generate Parameter Document (Top 1)

Net Profit

$13,862.5

Win Rate

81.48%

Profit Factor

4.3324

EV (ticks)

44.5556

Max Drawdown

$3,000

Trades

Main Equity Curve

Start: 10000.00 / End: 23862.50

Main strategy equity

Min 10000.00Max 26862.50

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 10000.00Max 26862.50

Martingale equity

Min 10000.00Max 27500.00

Kelly equity

Min 10000.00Max 10000.00

Parameter Config

RiskRewardRatio	1
MaxLookaheadBars	500
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	10000
PricePerTick	12.5000
KellyLookbackTrades	30
KellyMaxRiskPct	5
MaxMartingaleLots	4
MaxMartingaleDebtUsd	1000
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	LongShort
VwapMode	Custom
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	true
MinTotalVolume	5000
EnableDeltaLongFilter	true
DeltaLongMinThreshold	200
EnableDeltaShortFilter	true
DeltaShortMaxThreshold	-500
FootprintFilterMode	ImbalanceAndAbsorption
ImbalanceRatioPct	400
MinImbalanceVolume	10
StackedImbalanceLevels	2
AbsorptionEdgePct	15
MinAbsorptionVolume	1000
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	false
FootprintFailOpen	true
ScoreWeightNetProfitPct	30
ScoreWeightWinRatePct	20
ScoreWeightDrawdownPct	20
ScoreWeightProfitFactorPct	15
ScoreWeightEvPct	15
ScoreWeightTotalPct	100

Detailed Metrics

Rank	—
CompositeScore	—
RiskRewardRatio	1
MaxLookaheadBars	500
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	10000
PricePerTick	12.5000
KellyLookbackTrades	30
KellyMaxRiskPct	5
MaxMartingaleLots	4
MaxMartingaleDebtUsd	1000
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	LongShort
VwapMode	Custom
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	true
MinTotalVolume	5000
EnableDeltaLongFilter	true
DeltaLongMinThreshold	200
EnableDeltaShortFilter	true
DeltaShortMaxThreshold	-500
FootprintFilterMode	ImbalanceAndAbsorption
ImbalanceRatioPct	400
MinImbalanceVolume	10
StackedImbalanceLevels	2
AbsorptionEdgePct	15
MinAbsorptionVolume	1000
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	false
FootprintFailOpen	true
TotalTrades	31
Wins	22
Losses	5
BreakEvens	0
Timeouts	4
StopExits	5
TargetExits	22
WinRatePct	81.4815
NetUsd	13862.5000
NetTicks	1109
EV_AllTicks	44.5556
ProfitFactor	4.3324
MaxDrawdownUsd	3000
ProfitPct	138.6250
AvgWinTicks	71.0909
AvgLossTicks	-72.2000
MaxConsecWins	15
MaxConsecLosses	2
MedianStopTicks	73
TotalRawSignals	534
AfterVolume	472
AfterDelta	209
AfterVwap	138
AfterFootprint	44
AfterStop	44

Stats Panel

Filters / Config

FP Mode	ImbalanceAndAbsorption
VWAP Mode	Custom
Side Mode	LongShort
Exit Mode	FixedTpSl
Sizing	Fixed
Lot Size	1
RR	1
Lookahead	500 bars
Imb	400.0% / Vol 10 / Stack 2
Abs	Vol 1000.0 / Edge 15.0% / Reject 20%
Delta Confirm	No
Volume Filter	On / min=5000.0
Delta Long Filter	On / >=200.0
Delta Short Filter	On / <=-500
VWAP Filter	On / Custom

Signal Funnel

Raw 3+4 Signals	534
After Volume	472
After Delta	209
After VWAP	138
After Footprint	44
After Stop Filter	44
Daily Limit Hit	No
Trades Taken	31

Stats

Trades	31
W / L / BE	22 / 5 / 0
Timeout	4
Win Rate	81.5%
Net Ticks	1109 (total)
Sim Net $	$13862.50
Profit %	+138.62%
Profit Factor	4.33
Max Drawdown $	$3000.00
Exit Stop	5 (16.1%)
Exit Target	22 (71.0%)
Exit Timeout	4 (12.9%)
Median Stop	73t

EV (t/lot)

EV All	44.56t ⚠n=27
AvgWin	+71.1t
AvgLoss	-72.2t
EV Long	53.18t ⚠n=17
L WR	88.2% W:15 L:2
L AvgW	+70.7t AvgL:-78.0t
EV Short	29.90t ⚠n=10
S WR	70.0% W:7 L:3
S AvgW	+72.0t AvgL:-68.3t

Streaks

Max Win Str.	15
Max Loss Str.	2
Period	2026-02-04 → 2026-06-09

Internal data package: open payload JSON