Fractiz
Sample Run
Copper/Gold Pair Spread
HG + GC 1D · Wide Z=2.5 · 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
$60,798.75
Max Drawdown %
67.32%
Profit Factor
1.32
Win Rate
50.00%
Sharpe Ratio
0.31
Total Trades
38
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 | · | -1.4k | · | · | · | · | · | 11k |
| 2021 | -42k | · | · | -32k | 26k | · | · | 21k | · | 23k | · | · | -2.9k |
| 2022 | · | · | 24k | · | · | · | · | -29k | · | · | 4.9k | · | -545 |
| 2023 | · | 29k | · | · | · | -16k | · | · | · | · | 9.1k | · | 22k |
| 2024 | · | 8.4k | 17k | · | · | 13k | · | · | -7.7k | · | · | · | 31k |
Detailed Metrics
Sharpe Ratio
0.31
Sortino Ratio
0.43
Profit Factor
1.32
Avg Win / Avg Loss
1.32
Avg Winner
$13,053.16
Avg Loser
-$9,853.22
Expectancy
$1,599.97
Recovery Factor
0.79
Max Drawdown ($)
$76,905.00
Max Drawdown (%)
67.32%
Max DD ($) Trough
342d
Max DD ($) Recovery
665d
Max DD (%) Trough
342d
Max DD (%) Recovery
665d
Commission
$261.25
Winning / Losing
19 / 19
Total Orders
76
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)
2.5
Exit z-score (absolute)
0.5
Side
Both sides
Copper contracts per trade
4
Gold contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
4
Avg Consecutive Wins
1.5
Avg Consecutive Losses
1.5
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
19
Profitable Days
13
Daily Win Rate
68.42%
Avg Daily Return
$3,199.93
Std Dev Daily
$19,339.57
Max Daily Return
$26,376.25
Min Daily Return
-$41,943.75
Max EOD Drawdown
$74,911.25
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 19 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
76 orders generated by this run.
Other sample runs for this strategy