Fractiz
Sample Run
Bollinger / Keltner Bands
YM 1D · 2020-2024 · YM
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$22,046.00
Max Drawdown %
43.68%
Profit Factor
1.24
Win Rate
52.78%
Sharpe Ratio
0.18
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 | · | 4.1k | -33k | · | · | -858 | · | · | -8.3k | 2.9k | · | 13k | -21k |
| 2021 | 982 | -893 | · | · | 13k | 1.8k | · | · | -1.5k | · | · | -2.9k | 10k |
| 2022 | · | -793 | · | 5.9k | · | -4.4k | · | -7.1k | -2.6k | -2.7k | · | -15k | -27k |
| 2023 | 1.3k | · | -1.6k | -2.3k | 312 | 2.0k | · | -3.2k | · | 5.6k | · | · | 2.1k |
| 2024 | 26k | 4.4k | 1.4k | · | 4.2k | 1.5k | -3.4k | · | · | 18k | · | 5.4k | 58k |
Detailed Metrics
Sharpe Ratio
0.18
Sortino Ratio
0.25
Profit Factor
1.24
Avg Win / Avg Loss
1.11
Avg Winner
$6,024.09
Avg Loser
-$5,435.99
Expectancy
$612.39
Recovery Factor
0.48
Max Drawdown ($)
$45,476.50
Max Drawdown (%)
43.68%
Max DD ($) Trough
1286d
Max DD ($) Recovery
1705d
Max DD (%) Trough
1286d
Max DD (%) Recovery
1705d
Commission
$99.00
Winning / Losing
19 / 17
Total Orders
72
Configuration
Strategy
Bollinger / Keltner Bands
Contracts
YM
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
6
Max Consecutive Losses
4
Avg Consecutive Wins
2.1
Avg Consecutive Losses
2.1
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
36
Profitable Days
19
Daily Win Rate
52.78%
Avg Daily Return
$612.39
Std Dev Daily
$9,167.43
Max Daily Return
$26,027.25
Min Daily Return
-$32,587.75
Max EOD Drawdown
$45,476.50
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 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.