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
$11,733.30
Max Drawdown %
10.96%
Profit Factor
1.07
Win Rate
59.12%
Sharpe Ratio
0.32
Total Trades
998
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 | 910 | -181 | 1.5k | 531 | 2.8k | 1.3k | 633 | 2.2k | 923 | -1.2k | 1.1k | -140 | 11k |
| 2021 | -1.3k | 1.4k | -22 | 2.1k | -721 | -213 | -337 | -256 | 992 | -1.4k | 458 | -3.6k | -2.7k |
| 2022 | 749 | -1.3k | -5.1k | -352 | 3.0k | -1.3k | 2.2k | -1.5k | 1.3k | -177 | -149 | -1.5k | -4.0k |
| 2023 | 1.7k | 1.4k | -581 | -765 | -297 | 1.6k | -355 | 1.3k | -55 | -1.9k | -1.4k | 1.3k | 2.0k |
| 2024 | -77 | 271 | 2.0k | 198 | -2.8k | 202 | -2.7k | 3.5k | -182 | 2.3k | 161 | 3.2k | 6.0k |
Detailed Metrics
Sharpe Ratio
0.32
Sortino Ratio
0.46
Profit Factor
1.07
Avg Win / Avg Loss
0.74
Avg Winner
$318.66
Avg Loser
-$432.05
Expectancy
$11.76
Recovery Factor
0.95
Max Drawdown ($)
$12,389.20
Max Drawdown (%)
10.96%
Max DD ($) Trough
366d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
366d
Max DD (%) Recovery
Not yet recovered
Commission
$2,744.50
Winning / Losing
590 / 408
Total Orders
3,010
Configuration
Strategy
Harmonic Patterns
Contracts
NQ
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
17
Max Consecutive Losses
6
Avg Consecutive Wins
2.4
Avg Consecutive Losses
1.6
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
695
Profitable Days
382
Daily Win Rate
54.96%
Avg Daily Return
$16.88
Std Dev Daily
$617.76
Max Daily Return
$3,779.55
Min Daily Return
-$3,196.65
Max EOD Drawdown
$12,109.85
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
3,010 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
-
ES 5m · AB=CD · 2020-2024
Net -$4,672.00 · DD 12.78% · PF 0.95
-
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