Fractiz
Sample Run
CL / NG Energy Pair
CL + NG 1D · Tight Z=1.5 · 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
-$45,266.00
Max Drawdown %
64.47%
Profit Factor
0.83
Win Rate
60.94%
Sharpe Ratio
-0.27
Total Trades
64
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 | · | -3.9k | · | 5.0k | · | -20 | · | 1.5k |
| 2021 | · | -1.2k | -2.3k | · | 5.3k | 3.8k | · | · | · | -31k | 18k | · | -7.0k |
| 2022 | 9.5k | 13k | 7.6k | · | · | -38k | 9.1k | · | 2.1k | · | -2.0k | · | 1.0k |
| 2023 | · | · | -36k | 2.8k | · | · | 2.9k | · | 780 | 5.3k | 2.6k | · | -22k |
| 2024 | 13k | · | · | -22k | · | -12k | · | 9.3k | · | 1.6k | · | -8.9k | -19k |
Detailed Metrics
Sharpe Ratio
-0.27
Sortino Ratio
-0.30
Profit Factor
0.83
Avg Win / Avg Loss
0.53
Avg Winner
$5,648.04
Avg Loser
-$10,621.58
Expectancy
-$707.28
Recovery Factor
-0.48
Max Drawdown ($)
$94,091.50
Max Drawdown (%)
64.47%
Max DD ($) Trough
937d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
937d
Max DD (%) Recovery
Not yet recovered
Commission
$336.00
Winning / Losing
39 / 25
Total Orders
128
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
CL contracts per trade
1
NG contracts per trade
2
Streaks
Max Consecutive Wins
6
Max Consecutive Losses
4
Avg Consecutive Wins
2.4
Avg Consecutive Losses
1.7
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
32
Profitable Days
20
Daily Win Rate
62.50%
Avg Daily Return
-$1,414.56
Std Dev Daily
$12,888.45
Max Daily Return
$13,079.50
Min Daily Return
-$38,450.50
Max EOD Drawdown
$72,057.00
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 32 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
128 orders generated by this run.
Other sample runs for this strategy