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
$50,791.25
Max Drawdown %
8.66%
Profit Factor
1.21
Win Rate
50.69%
Sharpe Ratio
1.83
Total Trades
505
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 | 1.3k | 6.7k | 5.1k | 6.2k | -7.5k | 5.3k | 14k | 6.2k | -9.4k | 5.2k | 2.2k | 15k | 51k |
Detailed Metrics
Sharpe Ratio
1.83
Sortino Ratio
2.87
Profit Factor
1.21
Avg Win / Avg Loss
1.18
Avg Winner
$1,134.54
Avg Loser
-$962.45
Expectancy
$100.58
Recovery Factor
4.22
Max Drawdown ($)
$12,021.75
Max Drawdown (%)
8.66%
Max DD ($) Trough
56d
Max DD ($) Recovery
74d
Max DD (%) Trough
56d
Max DD (%) Recovery
74d
Commission
$1,388.75
Winning / Losing
256 / 249
Total Orders
1,010
Configuration
Strategy
Anchored VWAP
Contracts
NQ
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
8
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.0
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
239
Profitable Days
131
Daily Win Rate
54.81%
Avg Daily Return
$212.52
Std Dev Daily
$1,770.58
Max Daily Return
$5,621.75
Min Daily Return
-$5,138.25
Max EOD Drawdown
$11,381.25
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
1,010 orders generated by this run.
Other sample runs for this strategy