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
-$2,364.30
Max Drawdown %
2.41%
Profit Factor
0.69
Win Rate
62.07%
Sharpe Ratio
-0.35
Total Trades
58
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 | · | -105 | · | -1.1k | -221 | 228 | · | · | -272 | 36 | · | 129 | -1.3k |
| 2021 | -250 | · | 43 | · | 30 | -204 | -2 | 308 | 154 | -126 | 161 | · | 115 |
| 2022 | 92 | · | -1.2k | 298 | 1.5k | · | -163 | · | -341 | -216 | · | 145 | 83 |
| 2023 | 4 | 16 | -111 | -174 | · | · | · | 114 | 24 | 93 | -56 | · | -91 |
| 2024 | 78 | -99 | · | -379 | · | · | 240 | -155 | -929 | · | · | 49 | -1.2k |
Detailed Metrics
Sharpe Ratio
-0.35
Sortino Ratio
-0.46
Profit Factor
0.69
Avg Win / Avg Loss
0.42
Avg Winner
$144.17
Avg Loser
-$343.38
Expectancy
-$40.76
Recovery Factor
-0.98
Max Drawdown ($)
$2,413.35
Max Drawdown (%)
2.41%
Max DD ($) Trough
1686d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1686d
Max DD (%) Recovery
Not yet recovered
Commission
$159.50
Winning / Losing
36 / 22
Total Orders
175
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
Cypher
Strictness
Balanced
Contracts per trade
1
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
3
Avg Consecutive Wins
2.3
Avg Consecutive Losses
1.4
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
55
Profitable Days
33
Daily Win Rate
60.00%
Avg Daily Return
-$42.99
Std Dev Daily
$399.06
Max Daily Return
$1,503.45
Min Daily Return
-$1,361.15
Max EOD Drawdown
$2,413.35
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 55 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
175 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
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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