Fractiz
Backtest Sample
Bullish Squeeze Alert
ES 15m · Bullish Squeeze Alert · 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
-$3,128.00
Max Drawdown %
8.73%
Profit Factor
0.83
Win Rate
53.26%
Sharpe Ratio
-0.27
Total Trades
92
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 | · | -440 | 2.0k | · | · | 45 | 1.5k | -90 | 279 | 470 | 457 | 197 | 4.4k |
| 2021 | 260 | -193 | 304 | · | 29 | 22 | · | · | -86 | 592 | 370 | 35 | 1.3k |
| 2022 | -168 | -1.4k | -418 | 292 | 222 | -303 | 172 | -990 | -581 | 222 | · | -1.8k | -4.8k |
| 2023 | 110 | -565 | -843 | 35 | -128 | -221 | -583 | · | · | 120 | · | · | -2.1k |
| 2024 | 257 | -561 | 235 | 221 | 320 | · | 410 | -415 | 120 | -90 | -1.0k | -1.5k | -2.0k |
Detailed Metrics
Sharpe Ratio
-0.27
Sortino Ratio
-0.34
Profit Factor
0.83
Avg Win / Avg Loss
0.73
Avg Winner
$307.45
Avg Loser
-$423.10
Expectancy
-$34.00
Recovery Factor
-0.34
Max Drawdown ($)
$9,270.75
Max Drawdown (%)
8.73%
Max DD ($) Trough
1090d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1090d
Max DD (%) Recovery
Not yet recovered
Commission
$253.00
Winning / Losing
49 / 43
Total Orders
184
Configuration
Strategy
Candlestick Patterns
Contracts
ES
Timeframe
15m
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Pattern
Bullish Squeeze Alert
Hold bars
5
Contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
5
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.6
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
91
Profitable Days
49
Daily Win Rate
53.85%
Avg Daily Return
-$34.37
Std Dev Daily
$533.71
Max Daily Return
$1,634.75
Min Daily Return
-$1,952.75
Max EOD Drawdown
$9,270.75
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 89 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
184 orders generated by this run.
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