Fractiz
Sample Run
CL / NG Energy Pair
CL + NG 1D · Long Spread Only · 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
-$15,086.50
Max Drawdown %
46.77%
Profit Factor
0.87
Win Rate
65.38%
Sharpe Ratio
-0.14
Total Trades
26
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 | · | · | · | · | · | · | · | · | · | -29k | 7.2k | · | -21k |
| 2022 | · | · | · | · | · | -29k | · | · | · | · | · | · | -29k |
| 2023 | · | · | · | · | · | · | 10k | · | · | 11k | 2.6k | · | 24k |
| 2024 | 4.9k | · | · | · | · | -9.0k | · | · | · | 1.1k | · | -3.2k | -6.1k |
Detailed Metrics
Sharpe Ratio
-0.14
Sortino Ratio
-0.16
Profit Factor
0.87
Avg Win / Avg Loss
0.46
Avg Winner
$5,858.97
Avg Loser
-$12,743.22
Expectancy
-$580.25
Recovery Factor
-0.26
Max Drawdown ($)
$58,608.00
Max Drawdown (%)
46.77%
Max DD ($) Trough
240d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
240d
Max DD (%) Recovery
Not yet recovered
Commission
$136.50
Winning / Losing
17 / 9
Total Orders
52
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
Long spread only (long CL, short NG)
CL contracts per trade
1
NG contracts per trade
2
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
2
Avg Consecutive Wins
2.1
Avg Consecutive Losses
1.3
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
13
Profitable Days
9
Daily Win Rate
69.23%
Avg Daily Return
-$1,160.50
Std Dev Daily
$13,099.73
Max Daily Return
$11,349.50
Min Daily Return
-$29,440.50
Max EOD Drawdown
$50,901.50
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 13 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
52 orders generated by this run.
Other sample runs for this strategy