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
-$2,228.00
Max Drawdown %
2.90%
Profit Factor
0.80
Win Rate
52.86%
Sharpe Ratio
-0.28
Total Trades
70
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 | -135 | 48 | -1.6k | -421 | 578 | · | -128 | -18 | -330 | -103 | 227 | -337 | -2.2k |
| 2021 | 11 | 869 | · | · | · | 533 | -243 | 107 | · | · | · | · | 1.3k |
| 2022 | -208 | 231 | -821 | · | · | · | 214 | -370 | · | -246 | 775 | · | -426 |
| 2023 | · | · | -6 | · | -120 | -43 | 67 | · | · | · | 504 | 34 | 436 |
| 2024 | 47 | · | · | · | 33 | · | · | · | -413 | -152 | -826 | · | -1.3k |
Detailed Metrics
Sharpe Ratio
-0.28
Sortino Ratio
-0.33
Profit Factor
0.80
Avg Win / Avg Loss
0.71
Avg Winner
$241.72
Avg Loser
-$338.54
Expectancy
-$31.83
Recovery Factor
-0.77
Max Drawdown ($)
$2,907.00
Max Drawdown (%)
2.90%
Max DD ($) Trough
76d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
76d
Max DD (%) Recovery
Not yet recovered
Commission
$192.50
Winning / Losing
37 / 33
Total Orders
214
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
Butterfly
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
6
Max Consecutive Losses
4
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.7
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
63
Profitable Days
33
Daily Win Rate
52.38%
Avg Daily Return
-$35.37
Std Dev Daily
$440.52
Max Daily Return
$868.75
Min Daily Return
-$2,284.25
Max EOD Drawdown
$2,907.00
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 64 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
214 orders generated by this run.
More Butterfly backtests
-
ES 15m · Butterfly · 2020-2024
Net $1,792.75 · DD 1.79% · PF 1.37
-
GC 15m · Butterfly · 2020-2024
Net -$3,600.50 · DD 4.88% · PF 0.64
-
GC 5m · Butterfly · 2020-2024
Net $924.50 · DD 3.13% · PF 1.10
-
NQ 15m · Butterfly · 2020-2024
Net $1,775.30 · DD 6.60% · PF 1.14
-
NQ 5m · Butterfly · 2020-2024
Net -$1,934.30 · DD 4.59% · PF 0.91