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
$62,195.00
Max Drawdown %
42.76%
Profit Factor
1.11
Win Rate
55.38%
Sharpe Ratio
0.29
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 | 8.7k | -7.0k | -18k | 9.4k | 7.0k | -8.0k | 5.6k | 14k | -20k | 1.2k | 22k | -1.4k | 14k |
| 2021 | 2.2k | -8.6k | -21k | 13k | 3.6k | 5.2k | 1.8k | 1.3k | 4.5k | 16k | 11k | -4.7k | 25k |
| 2022 | -23k | -17k | 17k | -7.0k | -18k | -7.4k | 26k | 17k | -6.6k | -12k | 549 | 3.0k | -28k |
| 2023 | -36 | 3.7k | 11k | 5.6k | 15k | 9.5k | -3.6k | -17k | -4.6k | -16k | 7.9k | 8.1k | 20k |
| 2024 | 139 | 24k | 12k | -8.0k | 1.4k | 13k | -33k | 14k | 21k | -13k | 12k | -13k | 31k |
Detailed Metrics
Sharpe Ratio
0.29
Sortino Ratio
0.40
Profit Factor
1.11
Avg Win / Avg Loss
0.90
Avg Winner
$4,260.97
Avg Loser
-$4,753.31
Expectancy
$239.21
Recovery Factor
1.01
Max Drawdown ($)
$61,593.75
Max Drawdown (%)
42.76%
Max DD ($) Trough
175d
Max DD ($) Recovery
546d
Max DD (%) Trough
175d
Max DD (%) Recovery
546d
Commission
$715.00
Winning / Losing
144 / 116
Total Orders
521
Configuration
Strategy
Day-of-Week Bias
Contracts
NQ
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
11
Max Consecutive Losses
6
Avg Consecutive Wins
2.2
Avg Consecutive Losses
1.8
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
260
Profitable Days
144
Daily Win Rate
55.38%
Avg Daily Return
$239.21
Std Dev Daily
$5,852.68
Max Daily Return
$17,292.25
Min Daily Return
-$23,132.75
Max EOD Drawdown
$61,593.75
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.