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
$39,465.00
Max Drawdown %
20.30%
Profit Factor
1.16
Win Rate
52.69%
Sharpe Ratio
0.42
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 | -985 | 4.8k | -11k | 10k | 3.1k | -1.4k | 1.6k | 2.2k | -6.7k | -549 | 3.4k | 6.0k | 11k |
| 2021 | -2.6k | -11k | -3.1k | 7.5k | 3.2k | -11k | 7.0k | 35 | -6.6k | 5.2k | 4.3k | 4.1k | -3.6k |
| 2022 | -4.6k | 5.4k | 1.3k | 185 | 895 | 5.3k | 645 | 1.6k | -2.0k | -2.9k | 1.9k | 831 | 8.6k |
| 2023 | 4.2k | -6.3k | 9.9k | 885 | -5.7k | -19 | 1.9k | -3.0k | -6.1k | 6.6k | -739 | 6.4k | 8.0k |
| 2024 | -3.6k | 3.5k | 11k | 3.2k | -5.1k | 7.0k | 385 | 2.1k | 9.2k | -2.0k | -3.3k | -6.5k | 16k |
Detailed Metrics
Sharpe Ratio
0.42
Sortino Ratio
0.60
Profit Factor
1.16
Avg Win / Avg Loss
1.05
Avg Winner
$2,036.54
Avg Loser
-$1,947.49
Expectancy
$151.79
Recovery Factor
1.70
Max Drawdown ($)
$23,177.50
Max Drawdown (%)
20.30%
Max DD ($) Trough
406d
Max DD ($) Recovery
672d
Max DD (%) Trough
406d
Max DD (%) Recovery
672d
Commission
$975.00
Winning / Losing
137 / 123
Total Orders
521
Configuration
Strategy
Day-of-Week Bias
Contracts
GC
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
8
Max Consecutive Losses
6
Avg Consecutive Wins
2.2
Avg Consecutive Losses
2.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
260
Profitable Days
137
Daily Win Rate
52.69%
Avg Daily Return
$151.79
Std Dev Daily
$2,567.98
Max Daily Return
$6,186.25
Min Daily Return
-$9,483.75
Max EOD Drawdown
$23,177.50
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 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.