Fractiz
Sample Run
CL / HO Crack Spread
HO + CL 1D · Long Crack Only · 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
$11,185.40
Max Drawdown %
18.85%
Profit Factor
1.27
Win Rate
50.00%
Sharpe Ratio
0.46
Total Trades
22
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 | · | · | · | · | · | · | · | 2.7k | · | 769 | · | · | 3.4k |
| 2021 | · | · | 959 | · | · | · | 113 | · | · | · | 851 | · | 1.9k |
| 2022 | · | · | 5.4k | · | · | · | · | · | · | · | · | · | 5.4k |
| 2023 | · | · | -4.4k | · | 5.8k | · | · | · | · | · | · | · | 1.4k |
| 2024 | · | · | · | · | -4.3k | · | 1.4k | 1.9k | · | · | · | · | -960 |
Detailed Metrics
Sharpe Ratio
0.46
Sortino Ratio
0.81
Profit Factor
1.27
Avg Win / Avg Loss
1.27
Avg Winner
$4,758.99
Avg Loser
-$3,742.14
Expectancy
$508.43
Recovery Factor
0.49
Max Drawdown ($)
$22,846.40
Max Drawdown (%)
18.85%
Max DD ($) Trough
367d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
367d
Max DD (%) Recovery
Not yet recovered
Commission
$66.00
Winning / Losing
11 / 11
Total Orders
44
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
Long crack only (long HO, short CL)
HO contracts per trade
1
CL contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
3
Avg Consecutive Wins
1.6
Avg Consecutive Losses
1.6
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
11
Profitable Days
9
Daily Win Rate
81.82%
Avg Daily Return
$1,016.85
Std Dev Daily
$3,070.66
Max Daily Return
$5,777.20
Min Daily Return
-$4,406.40
Max EOD Drawdown
$4,406.40
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 11 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
44 orders generated by this run.
Other sample runs for this strategy