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
$181,262.25
Max Drawdown %
14.55%
Profit Factor
4.28
Win Rate
61.90%
Sharpe Ratio
0.90
Total Trades
21
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 | · | -5.2k | · | · | · | · | · | · | 54k | -4.5k | · | · | 44k |
| 2021 | · | 15k | · | · | 3.8k | · | · | 20k | -888 | · | · | 9.0k | 48k |
| 2022 | -20k | · | · | -8.0k | · | · | · | 12k | · | · | -5.4k | · | -21k |
| 2023 | · | 3.6k | · | 4.2k | · | · | · | 41k | -11k | · | · | · | 38k |
| 2024 | 23k | · | · | 12k | · | · | 32k | · | · | -463 | · | 6.2k | 73k |
Detailed Metrics
Sharpe Ratio
0.90
Sortino Ratio
3.12
Profit Factor
4.28
Avg Win / Avg Loss
2.63
Avg Winner
$18,197.25
Avg Loser
-$6,912.75
Expectancy
$8,631.54
Recovery Factor
6.49
Max Drawdown ($)
$27,925.50
Max Drawdown (%)
14.55%
Max DD ($) Trough
130d
Max DD ($) Recovery
608d
Max DD (%) Trough
130d
Max DD (%) Recovery
608d
Commission
$57.75
Winning / Losing
13 / 8
Total Orders
42
Configuration
Strategy
Donchian Turtle
Contracts
NQ
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
2
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.1
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
21
Profitable Days
13
Daily Win Rate
61.90%
Avg Daily Return
$8,631.54
Std Dev Daily
$17,388.43
Max Daily Return
$54,132.25
Min Daily Return
-$19,912.75
Max EOD Drawdown
$27,925.50
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 21 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
42 orders generated by this run.
Other sample runs for this strategy