Fractiz
Backtest Sample
Bollinger / Keltner Bands
NQ 1D · KC Fade · 2020-2024 · NQ
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$153,897.50
Max Drawdown %
18.44%
Profit Factor
2.80
Win Rate
56.67%
Sharpe Ratio
0.71
Total Trades
30
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 | · | · | 33k | · | · | -2.0k | -1.6k | · | -2.7k | · | 5.7k | · | 33k |
| 2021 | -9.4k | 1.1k | 10k | · | 10k | · | -12k | 57 | 1.9k | · | 25k | · | 27k |
| 2022 | · | -3.6k | · | · | 50k | 6.9k | · | -4.5k | 557 | -4.2k | · | · | 45k |
| 2023 | · | · | -2.2k | 22 | · | · | · | -29k | · | · | · | · | -31k |
| 2024 | 46k | -4.9k | · | 5.6k | · | · | · | -8.1k | · | 33k | 9.4k | -788 | 80k |
Detailed Metrics
Sharpe Ratio
0.71
Sortino Ratio
1.93
Profit Factor
2.80
Avg Win / Avg Loss
2.14
Avg Winner
$14,070.49
Avg Loser
-$6,561.60
Expectancy
$5,129.92
Recovery Factor
3.91
Max Drawdown ($)
$39,336.50
Max Drawdown (%)
18.44%
Max DD ($) Trough
421d
Max DD ($) Recovery
554d
Max DD (%) Trough
421d
Max DD (%) Recovery
554d
Commission
$82.50
Winning / Losing
17 / 13
Total Orders
60
Configuration
Strategy
Bollinger / Keltner Bands
Contracts
NQ
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Mode
Keltner fade
Bollinger period
20
Bollinger std dev
2
Keltner period
20
Keltner ATR multiplier
2
Side
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
3
Avg Consecutive Wins
1.7
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
30
Profitable Days
17
Daily Win Rate
56.67%
Avg Daily Return
$5,129.92
Std Dev Daily
$16,619.04
Max Daily Return
$50,087.25
Min Daily Return
-$28,947.75
Max EOD Drawdown
$39,336.50
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.
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.
Recent Daily P&L
Last 30 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
60 orders generated by this run.