ES 0/20/41 60D BackTest Result WR:63.6% R:R 1:1 EV:21.27

Report Summary

Batch backtest report generated by Footprint Lab automation.

Symbol: ES

Chart Type: Range US chart

Period: 60 days

Generated At: 20260610_005212

Top 5 Strategy Dashboard

Top 1Composite Score: —

Generate Parameter Document (Top 1)

Net Profit

$6,175

Win Rate

63.64%

Profit Factor

1.8298

EV (ticks)

21.2727

Max Drawdown

$1,012.5

Trades

Main Equity Curve

Start: 10000.00 / End: 16175.00

Main strategy equity

Min 8987.50Max 16687.50

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 8987.50Max 16687.50

Martingale equity

Min 8987.50Max 23150.00

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	LongShort
VwapMode	VwapAllAllowed
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	false
MinTotalVolume	10000
EnableDeltaLongFilter	false
DeltaLongMinThreshold	500
EnableDeltaShortFilter	false
DeltaShortMaxThreshold	-1
FootprintFilterMode	ImbalanceAndAbsorption
ImbalanceRatioPct	250
MinImbalanceVolume	10
StackedImbalanceLevels	2
AbsorptionEdgePct	15
MinAbsorptionVolume	2000
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	true
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	LongShort
VwapMode	VwapAllAllowed
MinStopTicks	0
MaxStopTicks	0
EnableVolumeFilter	false
MinTotalVolume	10000
EnableDeltaLongFilter	false
DeltaLongMinThreshold	500
EnableDeltaShortFilter	false
DeltaShortMaxThreshold	-1
FootprintFilterMode	ImbalanceAndAbsorption
ImbalanceRatioPct	250
MinImbalanceVolume	10
StackedImbalanceLevels	2
AbsorptionEdgePct	15
MinAbsorptionVolume	2000
AbsorptionCloseRejectPct	20
UseDeltaConfirmForAbsorption	true
FootprintFailOpen	true
TotalTrades	24
Wins	14
Losses	8
BreakEvens	0
Timeouts	2
StopExits	8
TargetExits	14
WinRatePct	63.6364
NetUsd	6175
NetTicks	494
EV_AllTicks	21.2727
ProfitFactor	1.8298
MaxDrawdownUsd	1012.5000
ProfitPct	61.7500
AvgWinTicks	73.7143
AvgLossTicks	-70.5000
MaxConsecWins	4
MaxConsecLosses	1
MedianStopTicks	73.5000
TotalRawSignals	330
AfterVolume	310
AfterDelta	310
AfterVwap	310
AfterFootprint	24
AfterStop	24

Stats Panel

Filters / Config

FP Mode	ImbalanceAndAbsorption
VWAP Mode	VwapAllAllowed
Side Mode	LongShort
Exit Mode	FixedTpSl
Sizing	Fixed
Lot Size	1
RR	1
Lookahead	20 bars
Imb	250% / Vol 10 / Stack 2
Abs	Vol 2000 / Edge 15% / Reject 20%
Delta Confirm	Yes
Volume Filter	Off / min=10000
Delta Long Filter	Off / >=500
Delta Short Filter	Off / <=-1
VWAP Filter	On / VwapAllAllowed

Signal Funnel

Raw 3+4 Signals	330
After Volume	310
After Delta	310
After VWAP	310
After Footprint	24
After Stop Filter	24
Daily Limit Hit	No
Trades Taken	24

Stats

Trades	24
W / L / BE	14 / 8 / 0
Timeout	2
Win Rate	63.6%
Net Ticks	494 (total)
Sim Net $	$6175.00
Profit %	+61.75%
Profit Factor	1.83
Max Drawdown $	$1012.50
Exit Stop	8 (33.3%)
Exit Target	14 (58.3%)
Exit Timeout	2 (8.3%)
Median Stop	74t

EV (t/lot)

EV All	21.27t ⚠n=22
AvgWin	+73.7t
AvgLoss	-70.5t
EV Long	14.14t ⚠n=7
L WR	57.1% W:4 L:3
L AvgW	+72.2t AvgL:-63.3t
EV Short	24.60t ⚠n=15
S WR	66.7% W:10 L:5
S AvgW	+74.3t AvgL:-74.8t

Streaks

Max Win Str.	4
Max Loss Str.	1
Period	2026-03-12 → 2026-06-02

Internal data package: open payload JSON