Fractiz
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
-$4,672.00
Max Drawdown %
12.78%
Profit Factor
0.95
Win Rate
53.93%
Sharpe Ratio
-0.23
Total Trades
738
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 | -54 | -595 | -6.3k | -381 | 987 | 661 | -56 | 715 | -1.9k | 1.0k | 465 | 223 | -5.2k |
| 2021 | 191 | -1.3k | 505 | 978 | -633 | -431 | -1.6k | 683 | 277 | -758 | 462 | 902 | -722 |
| 2022 | 562 | 2.9k | -1.6k | 300 | -4.3k | -270 | 1.4k | 917 | -1.1k | -1.5k | 166 | -686 | -3.3k |
| 2023 | -1.3k | -600 | 63 | -196 | 1.1k | 94 | 661 | 11 | -784 | -380 | 1.1k | 189 | -72 |
| 2024 | -86 | -728 | 709 | -1.8k | -819 | 378 | 1.1k | 630 | 887 | 925 | 1.8k | 1.6k | 4.7k |
Detailed Metrics
Sharpe Ratio
-0.23
Sortino Ratio
-0.32
Profit Factor
0.95
Avg Win / Avg Loss
0.81
Avg Winner
$228.61
Avg Loser
-$281.35
Expectancy
-$6.33
Recovery Factor
-0.36
Max Drawdown ($)
$12,840.00
Max Drawdown (%)
12.78%
Max DD ($) Trough
1583d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1583d
Max DD (%) Recovery
Not yet recovered
Commission
$2,029.50
Winning / Losing
398 / 340
Total Orders
2,229
Configuration
Strategy
Harmonic Patterns
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Pattern
AB=CD
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
10
Max Consecutive Losses
8
Avg Consecutive Wins
2.1
Avg Consecutive Losses
1.8
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
554
Profitable Days
286
Daily Win Rate
51.62%
Avg Daily Return
-$8.43
Std Dev Daily
$388.69
Max Daily Return
$1,824.50
Min Daily Return
-$2,185.50
Max EOD Drawdown
$12,840.00
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
2,229 orders generated by this run.
More AB=CD backtests
-
ES 15m · AB=CD · 2020-2024
Net $1,198.75 · DD 5.92% · PF 1.03
-
GC 15m · AB=CD · 2020-2024
Net $2,638.75 · DD 8.70% · PF 1.05
-
GC 5m · AB=CD · 2020-2024
Net -$12,553.00 · DD 16.53% · PF 0.87
-
NQ 15m · AB=CD · 2020-2024
Net $3,581.60 · DD 11.47% · PF 1.04
-
NQ 5m · AB=CD · 2020-2024
Net $11,733.30 · DD 10.96% · PF 1.07