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
-$1,667.50
Max Drawdown %
15.56%
Profit Factor
0.98
Win Rate
46.08%
Sharpe Ratio
-0.15
Total Trades
510
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 | -7.0k | -4.1k | 5.8k | -991 | 2.4k | -2.7k | -4.8k | -538 | -2.6k | 2.7k | 5.2k | 4.9k | -1.7k |
Detailed Metrics
Sharpe Ratio
-0.15
Sortino Ratio
-0.21
Profit Factor
0.98
Avg Win / Avg Loss
1.15
Avg Winner
$438.21
Avg Loser
-$380.53
Expectancy
-$3.27
Recovery Factor
-0.11
Max Drawdown ($)
$15,588.00
Max Drawdown (%)
15.56%
Max DD ($) Trough
217d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
217d
Max DD (%) Recovery
Not yet recovered
Commission
$1,402.50
Winning / Losing
235 / 275
Total Orders
1,020
Configuration
Strategy
Anchored VWAP
Contracts
YM
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
7
Max Consecutive Losses
8
Avg Consecutive Wins
1.8
Avg Consecutive Losses
2.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
249
Profitable Days
115
Daily Win Rate
46.18%
Avg Daily Return
-$6.70
Std Dev Daily
$716.35
Max Daily Return
$1,964.50
Min Daily Return
-$2,288.25
Max EOD Drawdown
$15,380.75
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
1,020 orders generated by this run.
Other sample runs for this strategy