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
$13,679.00
Max Drawdown %
4.16%
Profit Factor
1.20
Win Rate
50.22%
Sharpe Ratio
1.54
Total Trades
464
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 | 363 | 2.2k | 1.7k | 2.9k | -377 | 1.4k | 1.2k | 1.2k | -177 | 2.8k | -2.4k | 3.0k | 14k |
Detailed Metrics
Sharpe Ratio
1.54
Sortino Ratio
2.22
Profit Factor
1.20
Avg Win / Avg Loss
1.19
Avg Winner
$350.10
Avg Loser
-$293.92
Expectancy
$29.48
Recovery Factor
2.92
Max Drawdown ($)
$4,692.50
Max Drawdown (%)
4.16%
Max DD ($) Trough
3d
Max DD ($) Recovery
45d
Max DD (%) Trough
3d
Max DD (%) Recovery
45d
Commission
$1,276.00
Winning / Losing
233 / 231
Total Orders
928
Configuration
Strategy
Anchored VWAP
Contracts
RTY
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
1
Daily Performance
Tradeable Days
259
Days Traded
229
Profitable Days
132
Daily Win Rate
57.64%
Avg Daily Return
$59.73
Std Dev Daily
$577.76
Max Daily Return
$1,601.75
Min Daily Return
-$2,766.00
Max EOD Drawdown
$3,831.50
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
928 orders generated by this run.
Other sample runs for this strategy