Fractiz
Sample Run
ES/NQ Pair Spread
ES + NQ 1D · 2020-2024 · ES + NQ
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$77,977.00
Max Drawdown %
33.29%
Profit Factor
1.21
Win Rate
50.00%
Sharpe Ratio
0.67
Total Trades
48
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 | · | · | · | · | · | 25k | 3.5k | · | 6.9k | · | 5.0k | · | 40k |
| 2021 | · | · | · | 19k | 6.0k | · | · | · | 1.2k | · | 4.2k | -893 | 29k |
| 2022 | · | · | -3.6k | · | · | 20k | · | 9.4k | · | · | · | · | 25k |
| 2023 | -26k | · | · | -9.4k | · | · | 3.8k | 717 | · | 647 | · | · | -30k |
| 2024 | · | 9.1k | · | 2.5k | 5.0k | · | 9.0k | -2.0k | · | · | · | -10k | 13k |
Detailed Metrics
Sharpe Ratio
0.67
Sortino Ratio
1.17
Profit Factor
1.21
Avg Win / Avg Loss
1.21
Avg Winner
$18,782.56
Avg Loser
-$15,533.52
Expectancy
$1,624.52
Recovery Factor
1.04
Max Drawdown ($)
$75,151.25
Max Drawdown (%)
33.29%
Max DD ($) Trough
432d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
432d
Max DD (%) Recovery
Not yet recovered
Commission
$198.00
Winning / Losing
24 / 24
Total Orders
96
Configuration
Strategy
ES/NQ Pair Spread
Contracts
ES, NQ
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Lookback (days)
60
Entry z-score (absolute)
2
Exit z-score (absolute)
0.5
Side
Both sides
ES contracts per trade
2
NQ contracts per trade
1
Streaks
Max Consecutive Wins
2
Max Consecutive Losses
2
Avg Consecutive Wins
1.3
Avg Consecutive Losses
1.4
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
24
Profitable Days
18
Daily Win Rate
75.00%
Avg Daily Return
$3,249.04
Std Dev Daily
$9,955.40
Max Daily Return
$24,576.75
Min Daily Return
-$25,708.25
Max EOD Drawdown
$35,106.50
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 24 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
96 orders generated by this run.
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