Fractiz
Sample Run
CL / HO Crack Spread
HO + CL 1D · Tight Z=1.5 · 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
$32,897.60
Max Drawdown %
23.61%
Profit Factor
1.18
Win Rate
56.41%
Sharpe Ratio
0.51
Total Trades
78
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 | · | · | 2.5k | 1.1k | 703 | 908 | · | 19k |
| 2021 | -2.1k | · | 1.1k | 464 | · | -2.6k | 113 | · | -404 | -879 | -98 | -801 | -5.3k |
| 2022 | 2.2k | · | 5.1k | · | -13k | 13k | · | · | 6.3k | · | -884 | 8.4k | 20k |
| 2023 | · | · | -6.4k | · | -834 | · | · | -8.2k | · | 2.1k | 7.3k | · | -6.0k |
| 2024 | · | 711 | · | · | -4.3k | 1.8k | 1.8k | 3.4k | · | 1.3k | · | -171 | 4.5k |
Detailed Metrics
Sharpe Ratio
0.51
Sortino Ratio
0.82
Profit Factor
1.18
Avg Win / Avg Loss
0.91
Avg Winner
$4,889.19
Avg Loser
-$5,359.61
Expectancy
$421.76
Recovery Factor
1.11
Max Drawdown ($)
$29,725.20
Max Drawdown (%)
23.61%
Max DD ($) Trough
172d
Max DD ($) Recovery
292d
Max DD (%) Trough
172d
Max DD (%) Recovery
292d
Commission
$234.00
Winning / Losing
44 / 34
Total Orders
156
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
HO contracts per trade
1
CL contracts per trade
1
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
3
Avg Consecutive Wins
1.6
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
39
Profitable Days
25
Daily Win Rate
64.10%
Avg Daily Return
$843.53
Std Dev Daily
$4,444.34
Max Daily Return
$12,634.00
Min Daily Return
-$13,268.40
Max EOD Drawdown
$15,388.20
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 39 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
156 orders generated by this run.
Other sample runs for this strategy