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
$36,422.75
Max Drawdown %
7.62%
Profit Factor
1.29
Win Rate
50.48%
Sharpe Ratio
2.32
Total Trades
519
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.1k | -3.5k | 2.6k | -2.1k | -2.2k | 4.6k | 9.1k | 9.7k | -5.3k | 10.0k | 4.8k | 9.8k | 36k |
Detailed Metrics
Sharpe Ratio
2.32
Sortino Ratio
3.80
Profit Factor
1.29
Avg Win / Avg Loss
1.26
Avg Winner
$620.77
Avg Loser
-$491.13
Expectancy
$70.18
Recovery Factor
4.73
Max Drawdown ($)
$7,701.50
Max Drawdown (%)
7.62%
Max DD ($) Trough
35d
Max DD ($) Recovery
54d
Max DD (%) Trough
157d
Max DD (%) Recovery
191d
Commission
$1,427.25
Winning / Losing
262 / 257
Total Orders
1,038
Configuration
Strategy
Anchored VWAP
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Anchor event
Opening drive peak
Opening drive window (bars)
6
Slope lookback (bars)
10
Retest threshold from anchored VWAP (%)
0.1
Take-profit distance (%)
0.5
Stop distance (%)
0.3
Maximum bars in trade
30
Direction
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
8
Max Consecutive Losses
7
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
247
Profitable Days
143
Daily Win Rate
57.89%
Avg Daily Return
$147.46
Std Dev Daily
$985.45
Max Daily Return
$3,344.50
Min Daily Return
-$2,358.25
Max EOD Drawdown
$7,624.00
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
1,038 orders generated by this run.
Other sample runs for this strategy