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
$5,577.50
Max Drawdown %
20.53%
Profit Factor
1.06
Win Rate
31.82%
Sharpe Ratio
0.05
Total Trades
22
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 | · | · | -2.9k | · | · | -1.9k | · | 16k | · | · | -11k | · | -545 |
| 2021 | -4.1k | · | · | · | · | 5.6k | · | · | -8.0k | · | -1.6k | · | -8.1k |
| 2022 | -3.2k | · | 5.7k | · | · | · | · | -3.6k | · | · | · | · | -1.0k |
| 2023 | · | 16k | · | · | 10k | · | · | -3.5k | · | · | -3.2k | -3.8k | 16k |
| 2024 | · | · | · | 24k | · | -12k | -5.8k | · | · | 15k | -6.8k | -15k | -923 |
Detailed Metrics
Sharpe Ratio
0.05
Sortino Ratio
0.09
Profit Factor
1.06
Avg Win / Avg Loss
2.28
Avg Winner
$13,244.82
Avg Loser
-$5,809.08
Expectancy
$253.52
Recovery Factor
0.22
Max Drawdown ($)
$25,328.75
Max Drawdown (%)
20.53%
Max DD ($) Trough
239d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
534d
Max DD (%) Recovery
1009d
Commission
$82.50
Winning / Losing
7 / 15
Total Orders
44
Configuration
Strategy
Donchian Turtle
Contracts
GC
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
2
Max Consecutive Losses
3
Avg Consecutive Wins
1.2
Avg Consecutive Losses
2.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
22
Profitable Days
7
Daily Win Rate
31.82%
Avg Daily Return
$253.52
Std Dev Daily
$10,090.95
Max Daily Return
$24,406.25
Min Daily Return
-$15,403.75
Max EOD Drawdown
$25,328.75
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 22 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
44 orders generated by this run.
Other sample runs for this strategy