Fractiz
Sample Run
ES/NQ Pair Spread
ES + NQ 1D · Long Spread Only · 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
$74,256.25
Max Drawdown %
29.29%
Profit Factor
1.38
Win Rate
50.00%
Sharpe Ratio
0.85
Total Trades
30
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 | · | · | · | 35k |
| 2021 | · | · | · | 19k | · | · | · | · | 1.2k | · | 4.2k | -893 | 23k |
| 2022 | · | · | · | · | · | · | · | 9.4k | · | · | · | · | 9.4k |
| 2023 | · | · | · | -9.4k | · | · | 3.8k | · | · | 647 | · | · | -5.0k |
| 2024 | · | 9.1k | · | · | 3.8k | · | 9.0k | · | · | · | · | -10k | 12k |
Detailed Metrics
Sharpe Ratio
0.85
Sortino Ratio
2.37
Profit Factor
1.38
Avg Win / Avg Loss
1.38
Avg Winner
$18,071.12
Avg Loser
-$13,120.70
Expectancy
$2,475.21
Recovery Factor
1.51
Max Drawdown ($)
$49,061.50
Max Drawdown (%)
29.29%
Max DD ($) Trough
95d
Max DD ($) Recovery
810d
Max DD (%) Trough
95d
Max DD (%) Recovery
810d
Commission
$123.75
Winning / Losing
15 / 15
Total Orders
60
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
Long spread only (long ES, short NQ)
ES contracts per trade
2
NQ contracts per trade
1
Streaks
Max Consecutive Wins
2
Max Consecutive Losses
2
Avg Consecutive Wins
1.4
Avg Consecutive Losses
1.5
Median Consecutive Wins
1
Median Consecutive Losses
1.5
Daily Performance
Tradeable Days
1,295
Days Traded
15
Profitable Days
12
Daily Win Rate
80.00%
Avg Daily Return
$4,950.42
Std Dev Daily
$8,705.45
Max Daily Return
$24,576.75
Min Daily Return
-$10,128.25
Max EOD Drawdown
$10,128.25
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 15 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
60 orders generated by this run.
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