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
$4,280.00
Max Drawdown %
29.86%
Profit Factor
1.02
Win Rate
54.62%
Sharpe Ratio
0.05
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 | 3.9k | -4.6k | -15k | 5.4k | 4.3k | -11k | -1.3k | 4.5k | -4.1k | 701 | 49 | 1.9k | -15k |
| 2021 | 2.0k | 804 | 1.5k | 3.6k | 3.2k | -2.0k | 3.7k | -1.3k | 1.8k | 6.0k | -2.4k | 4.8k | 22k |
| 2022 | -5.7k | -7.6k | 6.6k | 3.0k | -7.2k | -6.0k | 5.0k | 5.2k | -1.7k | 1.5k | 884 | -1.5k | -7.5k |
| 2023 | -1.9k | -4.6k | -519 | 1.3k | -3.2k | 3.1k | -1.1k | -6.1k | -1.6k | -5.2k | 7.3k | 2.5k | -9.9k |
| 2024 | 404 | 6.2k | 6.0k | -7.7k | 21 | 1.8k | -431 | 5.4k | 2.9k | -1.3k | 9.3k | -7.4k | 15k |
Detailed Metrics
Sharpe Ratio
0.05
Sortino Ratio
0.06
Profit Factor
1.02
Avg Win / Avg Loss
0.85
Avg Winner
$1,618.20
Avg Loser
-$1,911.06
Expectancy
$16.46
Recovery Factor
0.13
Max Drawdown ($)
$32,163.75
Max Drawdown (%)
29.86%
Max DD ($) Trough
34d
Max DD ($) Recovery
1729d
Max DD (%) Trough
34d
Max DD (%) Recovery
1729d
Commission
$715.00
Winning / Losing
142 / 118
Total Orders
521
Configuration
Strategy
Day-of-Week Bias
Contracts
YM
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
9
Max Consecutive Losses
7
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.7
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
260
Profitable Days
142
Daily Win Rate
54.62%
Avg Daily Return
$16.46
Std Dev Daily
$2,585.90
Max Daily Return
$8,812.25
Min Daily Return
-$19,792.75
Max EOD Drawdown
$32,163.75
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.