Fractiz
Sample Run
CL / HO Crack Spread
HO + CL 1D · 2020-2024 · HO + CL
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$20,282.40
Max Drawdown %
21.69%
Profit Factor
1.18
Win Rate
56.25%
Sharpe Ratio
0.36
Total Trades
48
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 | · | · | · | 7.6k | 6.5k | · | · | 2.7k | · | 769 | · | · | 18k |
| 2021 | -1.8k | · | 959 | · | · | -1.1k | 113 | · | · | 278 | 851 | · | -779 |
| 2022 | · | · | 5.1k | · | -13k | · | · | · | 9.1k | · | 367 | · | 1.3k |
| 2023 | · | · | -4.4k | · | 5.8k | · | · | -8.5k | · | · | 7.3k | · | 212 |
| 2024 | · | 711 | · | · | -4.3k | · | 1.4k | 1.9k | · | 1.3k | · | 958 | 2.0k |
Detailed Metrics
Sharpe Ratio
0.36
Sortino Ratio
0.53
Profit Factor
1.18
Avg Win / Avg Loss
0.92
Avg Winner
$4,814.94
Avg Loser
-$5,224.80
Expectancy
$422.55
Recovery Factor
0.74
Max Drawdown ($)
$27,357.40
Max Drawdown (%)
21.69%
Max DD ($) Trough
166d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
166d
Max DD (%) Recovery
Not yet recovered
Commission
$144.00
Winning / Losing
27 / 21
Total Orders
96
Configuration
Strategy
CL / HO Crack Spread
Contracts
HO, CL
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Lookback (days)
60
Entry z-score (absolute)
2
Exit z-score (absolute)
0.5
Side
Both sides
HO contracts per trade
1
CL contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
3
Avg Consecutive Wins
1.7
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
24
Profitable Days
18
Daily Win Rate
75.00%
Avg Daily Return
$845.10
Std Dev Daily
$4,948.65
Max Daily Return
$9,146.60
Min Daily Return
-$13,268.40
Max EOD Drawdown
$13,268.40
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 24 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
96 orders generated by this run.
Other sample runs for this strategy