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
$1,775.30
Max Drawdown %
6.60%
Profit Factor
1.14
Win Rate
60.53%
Sharpe Ratio
0.13
Total Trades
38
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 | · | 835 | · | · | -385 | -1.4k | 204 | -589 | · | -1.1k | -3.4k | · | -5.8k |
| 2021 | · | · | 958 | 1.2k | 1.9k | · | · | 364 | · | -659 | 360 | · | 4.1k |
| 2022 | 684 | 1.4k | 2.3k | · | · | 209 | -1.1k | 1.3k | 573 | · | -461 | -324 | 4.6k |
| 2023 | · | · | 322 | · | · | · | · | · | · | · | · | · | 322 |
| 2024 | · | -717 | · | · | 1.2k | -313 | -216 | -2.4k | 1.0k | · | 60 | · | -1.4k |
Detailed Metrics
Sharpe Ratio
0.13
Sortino Ratio
0.18
Profit Factor
1.14
Avg Win / Avg Loss
0.74
Avg Winner
$644.68
Avg Loser
-$870.15
Expectancy
$46.72
Recovery Factor
0.27
Max Drawdown ($)
$6,656.25
Max Drawdown (%)
6.60%
Max DD ($) Trough
292d
Max DD ($) Recovery
749d
Max DD (%) Trough
292d
Max DD (%) Recovery
749d
Commission
$104.50
Winning / Losing
23 / 15
Total Orders
114
Configuration
Strategy
Harmonic Patterns
Contracts
NQ
Timeframe
15m
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
8
Max Consecutive Losses
4
Avg Consecutive Wins
2.6
Avg Consecutive Losses
1.9
Median Consecutive Wins
1
Median Consecutive Losses
1.5
Daily Performance
Tradeable Days
1,293
Days Traded
36
Profitable Days
22
Daily Win Rate
61.11%
Avg Daily Return
$49.31
Std Dev Daily
$996.36
Max Daily Return
$2,268.25
Min Daily Return
-$2,741.55
Max EOD Drawdown
$6,656.25
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 36 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
114 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
-
GC 5m · Butterfly · 2020-2024
Net $924.50 · DD 3.13% · PF 1.10
-
NQ 5m · Butterfly · 2020-2024
Net -$1,934.30 · DD 4.59% · PF 0.91