Fractiz
Sample Run
CL / NG Energy Pair
CL + NG 1D · 2020-2024 · CL + NG
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$23,997.00
Max Drawdown %
38.45%
Profit Factor
1.12
Win Rate
63.46%
Sharpe Ratio
0.16
Total Trades
52
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 | · | · | · | · | 420 | · | · | · | 8.1k | · | 9.1k | · | 18k |
| 2021 | · | 2.5k | 1.3k | · | · | · | · | · | · | -29k | 18k | · | -6.5k |
| 2022 | 23k | · | 7.6k | · | · | -29k | 13k | · | · | · | 6.7k | · | 21k |
| 2023 | · | · | -32k | 8.7k | · | · | 10k | · | 3.2k | 11k | 2.6k | · | 4.3k |
| 2024 | 13k | · | · | -14k | · | -9.0k | · | · | · | 1.1k | · | -3.2k | -13k |
Detailed Metrics
Sharpe Ratio
0.16
Sortino Ratio
0.19
Profit Factor
1.12
Avg Win / Avg Loss
0.64
Avg Winner
$6,817.42
Avg Loser
-$10,577.79
Expectancy
$461.48
Recovery Factor
0.38
Max Drawdown ($)
$62,728.50
Max Drawdown (%)
38.45%
Max DD ($) Trough
268d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
268d
Max DD (%) Recovery
Not yet recovered
Commission
$273.00
Winning / Losing
33 / 19
Total Orders
104
Configuration
Strategy
CL / NG Energy Pair
Contracts
CL, NG
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
CL contracts per trade
1
NG contracts per trade
2
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
3
Avg Consecutive Wins
2.4
Avg Consecutive Losses
1.4
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
26
Profitable Days
20
Daily Win Rate
76.92%
Avg Daily Return
$922.96
Std Dev Daily
$12,845.59
Max Daily Return
$14,309.50
Min Daily Return
-$31,970.50
Max EOD Drawdown
$41,562.00
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 26 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
104 orders generated by this run.
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