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
-$2,906.50
Max Drawdown %
3.01%
Profit Factor
0.26
Win Rate
50.00%
Sharpe Ratio
-0.66
Total Trades
14
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 | · | · | -1.5k | · | · | 291 | · | · | · | · | · | · | -1.3k |
| 2021 | · | -647 | · | · | · | · | · | 139 | · | 87 | · | · | -421 |
| 2022 | 27 | · | · | -308 | · | · | · | · | · | · | · | · | -281 |
| 2023 | · | · | · | -257 | -671 | · | 377 | -216 | · | · | · | · | -768 |
| 2024 | · | · | · | · | · | -290 | 106 | · | · | · | · | · | -183 |
Detailed Metrics
Sharpe Ratio
-0.66
Sortino Ratio
-0.68
Profit Factor
0.26
Avg Win / Avg Loss
0.26
Avg Winner
$146.82
Avg Loser
-$562.04
Expectancy
-$207.61
Recovery Factor
-0.96
Max Drawdown ($)
$3,012.75
Max Drawdown (%)
3.01%
Max DD ($) Trough
1550d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1550d
Max DD (%) Recovery
Not yet recovered
Commission
$38.50
Winning / Losing
7 / 7
Total Orders
42
Configuration
Strategy
Harmonic Patterns
Contracts
ES
Timeframe
15m
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Pattern
Cypher
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
3
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.8
Median Consecutive Wins
1
Median Consecutive Losses
1.5
Daily Performance
Tradeable Days
1,295
Days Traded
14
Profitable Days
7
Daily Win Rate
50.00%
Avg Daily Return
-$207.61
Std Dev Daily
$478.10
Max Daily Return
$377.25
Min Daily Return
-$1,544.75
Max EOD Drawdown
$3,012.75
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 14 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
42 orders generated by this run.
More Cypher backtests
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ES 5m · Cypher · 2020-2024
Net $1,253.50 · DD 0.58% · PF 1.48
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GC 15m · Cypher · 2020-2024
Net $484.50 · DD 1.17% · PF 1.26
-
GC 5m · Cypher · 2020-2024
Net -$389.50 · DD 2.18% · PF 0.92
-
NQ 15m · Cypher · 2020-2024
Net -$2,491.45 · DD 5.49% · PF 0.65
-
NQ 5m · Cypher · 2020-2024
Net -$2,364.30 · DD 2.41% · PF 0.69