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
$62,543.75
Max Drawdown %
12.92%
Profit Factor
2.44
Win Rate
52.00%
Sharpe Ratio
0.63
Total Trades
25
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 | · | -6.1k | · | · | · | · | · | · | 26k | -2.6k | · | · | 18k |
| 2021 | 9.2k | 660 | · | · | 1.9k | -4.9k | -53 | -603 | -1.0k | · | 5.2k | · | 10k |
| 2022 | -13k | · | · | -2.5k | · | · | · | 4.4k | · | · | · | 1.5k | -9.3k |
| 2023 | · | -1.4k | · | 1.4k | · | · | · | 16k | -9.4k | · | · | · | 6.5k |
| 2024 | 15k | · | · | 16k | -903 | · | 5.8k | · | · | 2.2k | · | -1.2k | 37k |
Detailed Metrics
Sharpe Ratio
0.63
Sortino Ratio
1.51
Profit Factor
2.44
Avg Win / Avg Loss
2.25
Avg Winner
$8,157.83
Avg Loser
-$3,625.67
Expectancy
$2,501.75
Recovery Factor
3.75
Max Drawdown ($)
$16,694.25
Max Drawdown (%)
12.92%
Max DD ($) Trough
334d
Max DD ($) Recovery
812d
Max DD (%) Trough
334d
Max DD (%) Recovery
812d
Commission
$68.75
Winning / Losing
13 / 12
Total Orders
50
Configuration
Strategy
Donchian Turtle
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Entry channel period
20
Exit channel period
10
Side
Long only
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
4
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.5
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
25
Profitable Days
13
Daily Win Rate
52.00%
Avg Daily Return
$2,501.75
Std Dev Daily
$8,471.46
Max Daily Return
$26,234.75
Min Daily Return
-$12,802.75
Max EOD Drawdown
$16,694.25
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 25 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
50 orders generated by this run.
Other sample runs for this strategy