Fractiz
Sample Run
Bollinger / Keltner Bands
ES 1D · 2020-2024 · ES
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Account-threatening drawdown
Drawdown of 75.90% approached account-killing levels. A trader entering near a peak would lose most of their capital, and in live trading margin calls would likely have forced liquidation before the strategy reached this drawdown.
Net P&L
-$75,899.00
Max Drawdown %
75.90%
Profit Factor
0.50
Win Rate
38.89%
Sharpe Ratio
-0.63
Total Trades
36
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 | · | · | -29k | · | · | -1.5k | · | · | -4.5k | · | 310 | · | -34k |
| 2021 | · | -4.9k | 5.9k | · | -6.4k | · | 5.9k | -1.1k | · | 2.3k | · | -9.0k | -7.3k |
| 2022 | 3.1k | -2.8k | · | · | · | -6.1k | · | -12k | -2.5k | -5.9k | 6.9k | -2.4k | -22k |
| 2023 | · | 11k | -890 | -1.6k | 5.7k | · | · | -11k | · | -940 | · | · | 2.4k |
| 2024 | 24k | · | · | -25k | 1.6k | · | -8.6k | · | 2.8k | · | -2.6k | -6.8k | -15k |
Detailed Metrics
Sharpe Ratio
-0.63
Sortino Ratio
-0.75
Profit Factor
0.50
Avg Win / Avg Loss
0.78
Avg Winner
$5,397.25
Avg Loser
-$6,884.57
Expectancy
-$2,108.31
Recovery Factor
-1.00
Max Drawdown ($)
$75,899.00
Max Drawdown (%)
75.90%
Max DD ($) Trough
1728d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1728d
Max DD (%) Recovery
Not yet recovered
Commission
$99.00
Winning / Losing
14 / 22
Total Orders
72
Configuration
Strategy
Bollinger / Keltner Bands
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Mode
Bollinger fade
Bollinger period
20
Bollinger std dev
2
Keltner period
20
Keltner ATR multiplier
2
Side
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
2
Max Consecutive Losses
3
Avg Consecutive Wins
1.2
Avg Consecutive Losses
1.7
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
36
Profitable Days
14
Daily Win Rate
38.89%
Avg Daily Return
-$2,108.31
Std Dev Daily
$8,653.12
Max Daily Return
$23,797.25
Min Daily Return
-$28,752.75
Max EOD Drawdown
$75,899.00
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 36 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
72 orders generated by this run.