Fractiz
Sample Run
Copper/Gold Pair Spread
HG + GC 1D · Tight Z=1.5 · HG + GC
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Account-threatening drawdown
Drawdown of 71.61% approached account-killing levels. A trader entering near a peak would lose most of their capital, and in live trading margin calls would likely have forced liquidation before the strategy reached this drawdown.
Net P&L
$152,836.25
Max Drawdown %
71.61%
Profit Factor
1.47
Win Rate
63.41%
Sharpe Ratio
0.61
Total Trades
82
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 | · | -9.1k | 19k | · | · | 6.8k | · | 29k |
| 2021 | -42k | · | · | -41k | 656 | · | 14k | 41k | 12k | 11k | 25k | · | 19k |
| 2022 | · | 17k | 38k | · | -2.1k | · | · | -45k | 17k | 13k | 4.9k | · | 43k |
| 2023 | 6.3k | 11k | 12k | · | · | -16k | 14k | 14k | 8.3k | -774 | 1.5k | · | 49k |
| 2024 | · | 18k | 14k | 18k | · | -2.9k | · | · | -35k | · | 9.7k | -9.4k | 13k |
Detailed Metrics
Sharpe Ratio
0.61
Sortino Ratio
0.80
Profit Factor
1.47
Avg Win / Avg Loss
0.85
Avg Winner
$9,139.42
Avg Loser
-$10,747.12
Expectancy
$1,863.86
Recovery Factor
1.66
Max Drawdown ($)
$92,077.50
Max Drawdown (%)
71.61%
Max DD ($) Trough
194d
Max DD ($) Recovery
382d
Max DD (%) Trough
194d
Max DD (%) Recovery
382d
Commission
$563.75
Winning / Losing
52 / 30
Total Orders
164
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
Copper contracts per trade
4
Gold contracts per trade
1
Streaks
Max Consecutive Wins
11
Max Consecutive Losses
5
Avg Consecutive Wins
2.6
Avg Consecutive Losses
1.6
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
41
Profitable Days
30
Daily Win Rate
73.17%
Avg Daily Return
$3,727.71
Std Dev Daily
$16,978.84
Max Daily Return
$24,726.25
Min Daily Return
-$44,933.75
Max EOD Drawdown
$83,367.50
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 41 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
164 orders generated by this run.
Other sample runs for this strategy