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
-$1,934.30
Max Drawdown %
4.59%
Profit Factor
0.91
Win Rate
59.52%
Sharpe Ratio
-0.17
Total Trades
126
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 | 5 | -552 | 329 | -464 | -217 | 158 | 209 | 390 | 343 | 282 | -336 | · | 148 |
| 2021 | -998 | · | -119 | 617 | -1.7k | 1.7k | · | 108 | -108 | -558 | 207 | 3.1k | 2.2k |
| 2022 | -957 | -234 | -1.4k | · | -991 | 2.0k | -682 | 468 | 1.1k | -1.1k | -120 | -312 | -2.2k |
| 2023 | 229 | -616 | -182 | -96 | 185 | 780 | 12 | 164 | 173 | -267 | -237 | 72 | 217 |
| 2024 | -393 | 81 | 28 | 296 | -828 | · | 204 | -280 | -1.1k | -282 | 169 | -94 | -2.2k |
Detailed Metrics
Sharpe Ratio
-0.17
Sortino Ratio
-0.24
Profit Factor
0.91
Avg Win / Avg Loss
0.62
Avg Winner
$261.21
Avg Loser
-$422.06
Expectancy
-$15.35
Recovery Factor
-0.41
Max Drawdown ($)
$4,696.85
Max Drawdown (%)
4.59%
Max DD ($) Trough
1011d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1011d
Max DD (%) Recovery
Not yet recovered
Commission
$346.50
Winning / Losing
75 / 51
Total Orders
381
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
Butterfly
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
8
Max Consecutive Losses
5
Avg Consecutive Wins
2.7
Avg Consecutive Losses
1.8
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
116
Profitable Days
66
Daily Win Rate
56.90%
Avg Daily Return
-$16.68
Std Dev Daily
$456.05
Max Daily Return
$2,109.95
Min Daily Return
-$1,072.90
Max EOD Drawdown
$4,696.85
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 116 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
381 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 15m · Butterfly · 2020-2024
Net $1,775.30 · DD 6.60% · PF 1.14