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
-$389.50
Max Drawdown %
2.18%
Profit Factor
0.92
Win Rate
61.29%
Sharpe Ratio
-0.11
Total Trades
62
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 | · | 102 | 54 | -253 | -857 | 118 | 316 | -810 | -106 | -111 | · | -237 | -1.8k |
| 2021 | 73 | · | 141 | · | 296 | 198 | 51 | 11 | -241 | -250 | · | 81 | 361 |
| 2022 | · | 101 | -254 | 274 | · | 164 | · | · | · | 90 | -138 | -98 | 141 |
| 2023 | · | -129 | · | · | -362 | · | 30 | · | · | 5 | -246 | 147 | -554 |
| 2024 | · | -79 | · | · | 125 | 217 | 125 | 794 | 431 | · | · | -166 | 1.4k |
Detailed Metrics
Sharpe Ratio
-0.11
Sortino Ratio
-0.14
Profit Factor
0.92
Avg Win / Avg Loss
0.58
Avg Winner
$113.93
Avg Loser
-$196.62
Expectancy
-$6.28
Recovery Factor
-0.18
Max Drawdown ($)
$2,182.00
Max Drawdown (%)
2.18%
Max DD ($) Trough
1318d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1318d
Max DD (%) Recovery
Not yet recovered
Commission
$232.50
Winning / Losing
38 / 24
Total Orders
187
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
Cypher
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
9
Max Consecutive Losses
5
Avg Consecutive Wins
3.8
Avg Consecutive Losses
2.4
Median Consecutive Wins
3.5
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
60
Profitable Days
37
Daily Win Rate
61.67%
Avg Daily Return
-$6.49
Std Dev Daily
$201.88
Max Daily Return
$431.25
Min Daily Return
-$810.50
Max EOD Drawdown
$2,182.00
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 60 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
187 orders generated by this run.
More Cypher backtests
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ES 15m · Cypher · 2020-2024
Net -$2,906.50 · DD 3.01% · PF 0.26
-
ES 5m · Cypher · 2020-2024
Net $1,253.50 · DD 0.58% · PF 1.48
-
GC 15m · Cypher · 2020-2024
Net $484.50 · DD 1.17% · PF 1.26
-
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