Fractiz
Sample Run
Copper/Gold Pair Spread
HG + GC 1D · 2020-2024 · HG + GC
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$75,906.25
Max Drawdown %
28.16%
Profit Factor
1.56
Win Rate
58.82%
Sharpe Ratio
0.50
Total Trades
34
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 | · | · | · | · | 12k | · | · | · | · | · | · | · | 12k |
| 2021 | · | · | · | · | · | · | · | 15k | · | · | 25k | · | 40k |
| 2022 | · | · | 18k | · | 13k | · | · | -36k | · | · | · | · | -3.9k |
| 2023 | 11k | · | · | · | · | -16k | · | · | · | -774 | 9.1k | · | 3.2k |
| 2024 | · | 5.8k | 14k | 18k | · | · | · | · | -25k | · | 14k | -3.9k | 24k |
Detailed Metrics
Sharpe Ratio
0.50
Sortino Ratio
0.72
Profit Factor
1.56
Avg Win / Avg Loss
1.09
Avg Winner
$10,545.81
Avg Loser
-$9,643.57
Expectancy
$2,232.54
Recovery Factor
1.47
Max Drawdown ($)
$51,761.25
Max Drawdown (%)
28.16%
Max DD ($) Trough
499d
Max DD ($) Recovery
690d
Max DD (%) Trough
499d
Max DD (%) Recovery
690d
Commission
$233.75
Winning / Losing
20 / 14
Total Orders
68
Configuration
Strategy
Copper/Gold Pair Spread
Contracts
HG, GC
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 HG, short GC)
Copper contracts per trade
4
Gold contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
3
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.4
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
17
Profitable Days
12
Daily Win Rate
70.59%
Avg Daily Return
$4,465.07
Std Dev Daily
$15,684.44
Max Daily Return
$24,726.25
Min Daily Return
-$35,533.75
Max EOD Drawdown
$41,475.00
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 17 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
68 orders generated by this run.
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