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
-$2,491.45
Max Drawdown %
5.49%
Profit Factor
0.65
Win Rate
57.89%
Sharpe Ratio
-0.27
Total Trades
19
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 | · | · | -1.4k | · | · | · | · | · | · | -782 | · | · | -2.2k |
| 2021 | · | · | 69 | · | · | · | · | 172 | · | · | 236 | · | 477 |
| 2022 | -3.0k | -771 | · | · | · | · | · | 1.2k | · | 309 | · | -272 | -2.5k |
| 2023 | 342 | · | · | 827 | · | · | -637 | -326 | · | · | · | · | 207 |
| 2024 | 383 | · | · | · | · | · | · | 90 | · | · | 1.1k | · | 1.6k |
Detailed Metrics
Sharpe Ratio
-0.27
Sortino Ratio
-0.31
Profit Factor
0.65
Avg Win / Avg Loss
0.48
Avg Winner
$428.58
Avg Loser
-$900.72
Expectancy
-$131.13
Recovery Factor
-0.45
Max Drawdown ($)
$5,494.05
Max Drawdown (%)
5.49%
Max DD ($) Trough
720d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
720d
Max DD (%) Recovery
Not yet recovered
Commission
$52.25
Winning / Losing
11 / 8
Total Orders
57
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
Cypher
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
3
Avg Consecutive Wins
2.8
Avg Consecutive Losses
2.0
Median Consecutive Wins
3
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
18
Profitable Days
10
Daily Win Rate
55.56%
Avg Daily Return
-$138.41
Std Dev Daily
$942.01
Max Daily Return
$1,171.70
Min Daily Return
-$2,986.95
Max EOD Drawdown
$5,494.05
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 18 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
57 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
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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
-
GC 5m · Cypher · 2020-2024
Net -$389.50 · DD 2.18% · PF 0.92
-
NQ 5m · Cypher · 2020-2024
Net -$2,364.30 · DD 2.41% · PF 0.69