Fractiz
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$33,460.00
Max Drawdown %
31.61%
Profit Factor
1.11
Win Rate
56.15%
Sharpe Ratio
0.27
Total Trades
260
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 | 4.5k | -6.4k | -16k | 7.1k | 5.0k | -10k | 3.6k | 5.5k | -7.6k | 2.0k | 4.1k | 1.6k | -6.5k |
| 2021 | 2.4k | -2.1k | -4.5k | 7.6k | 3.5k | 389 | 3.2k | -461 | 2.9k | 9.7k | 2.6k | 3.7k | 29k |
| 2022 | -11k | -9.0k | 11k | 814 | -9.7k | -9.1k | 12k | 9.5k | -2.9k | -5.5k | 264 | 1.8k | -12k |
| 2023 | -399 | -1.4k | 549 | 2.7k | 2.2k | 6.8k | -1.5k | -8.4k | -2.5k | -9.8k | 6.9k | 5.7k | 782 |
| 2024 | -386 | 13k | 10k | -5.9k | 349 | 5.3k | -11k | 9.5k | 7.8k | -6.9k | 8.2k | -8.4k | 22k |
Detailed Metrics
Sharpe Ratio
0.27
Sortino Ratio
0.36
Profit Factor
1.11
Avg Win / Avg Loss
0.87
Avg Winner
$2,324.05
Avg Loser
-$2,682.90
Expectancy
$128.69
Recovery Factor
0.98
Max Drawdown ($)
$34,076.25
Max Drawdown (%)
31.61%
Max DD ($) Trough
34d
Max DD ($) Recovery
587d
Max DD (%) Trough
34d
Max DD (%) Recovery
587d
Commission
$715.00
Winning / Losing
146 / 114
Total Orders
521
Configuration
Strategy
Day-of-Week Bias
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Entry weekday
Tuesday
Exit weekday
Thursday
Contracts per trade
1
Streaks
Max Consecutive Wins
12
Max Consecutive Losses
6
Avg Consecutive Wins
2.2
Avg Consecutive Losses
1.7
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
260
Profitable Days
146
Daily Win Rate
56.15%
Avg Daily Return
$128.69
Std Dev Daily
$3,417.28
Max Daily Return
$9,309.75
Min Daily Return
-$20,490.25
Max EOD Drawdown
$34,076.25
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
521 orders generated by this run.