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
$924.50
Max Drawdown %
3.13%
Profit Factor
1.10
Win Rate
58.89%
Sharpe Ratio
0.16
Total Trades
90
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 | 212 | · | -961 | · | 415 | 546 | 177 | 358 | 39 | -245 | -364 | 149 | 325 |
| 2021 | -736 | 265 | -219 | · | · | 184 | · | · | -94 | -383 | -296 | -259 | -1.5k |
| 2022 | · | · | -184 | 70 | 67 | -259 | · | -288 | -281 | · | · | · | -874 |
| 2023 | · | 522 | 246 | · | · | 32 | 127 | -65 | 118 | -563 | 225 | -71 | 572 |
| 2024 | · | -192 | · | 417 | · | -745 | · | 1.4k | · | 268 | 185 | 1.1k | 2.4k |
Detailed Metrics
Sharpe Ratio
0.16
Sortino Ratio
0.22
Profit Factor
1.10
Avg Win / Avg Loss
0.77
Avg Winner
$191.14
Avg Loser
-$248.80
Expectancy
$10.27
Recovery Factor
0.29
Max Drawdown ($)
$3,162.50
Max Drawdown (%)
3.13%
Max DD ($) Trough
745d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
745d
Max DD (%) Recovery
Not yet recovered
Commission
$337.50
Winning / Losing
53 / 37
Total Orders
270
Configuration
Strategy
Harmonic Patterns
Contracts
GC
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
7
Max Consecutive Losses
7
Avg Consecutive Wins
2.5
Avg Consecutive Losses
1.9
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
83
Profitable Days
49
Daily Win Rate
59.04%
Avg Daily Return
$11.14
Std Dev Daily
$288.40
Max Daily Return
$877.25
Min Daily Return
-$852.75
Max EOD Drawdown
$3,162.50
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 83 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
270 orders generated by this run.
More Butterfly backtests
-
ES 15m · Butterfly · 2020-2024
Net $1,792.75 · DD 1.79% · PF 1.37
-
ES 5m · Butterfly · 2020-2024
Net -$2,228.00 · DD 2.90% · PF 0.80
-
GC 15m · Butterfly · 2020-2024
Net -$3,600.50 · DD 4.88% · PF 0.64
-
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