Fractiz
Sample Run
ES/NQ Pair Spread
ES + NQ 1D · Tight Z=1.5 · 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
$92,946.00
Max Drawdown %
33.63%
Profit Factor
1.20
Win Rate
54.69%
Sharpe Ratio
0.80
Total Trades
64
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 | 372 | · | 5.0k | 7.5k | 5.0k | · | 42k |
| 2021 | 7.2k | · | · | 16k | 867 | · | · | 10k | -563 | -2.1k | 4.2k | -893 | 35k |
| 2022 | · | · | -3.6k | · | · | 16k | · | 7.9k | · | · | · | · | 21k |
| 2023 | -26k | · | · | -8.7k | · | · | 4.5k | 682 | · | -1.1k | · | 8.9k | -22k |
| 2024 | · | 8.2k | · | 642 | 2.1k | · | 9.0k | 2.7k | -1.9k | · | 6.3k | -10k | 17k |
Detailed Metrics
Sharpe Ratio
0.80
Sortino Ratio
1.39
Profit Factor
1.20
Avg Win / Avg Loss
1.00
Avg Winner
$15,768.50
Avg Loser
-$15,825.91
Expectancy
$1,452.28
Recovery Factor
1.17
Max Drawdown ($)
$79,399.50
Max Drawdown (%)
33.63%
Max DD ($) Trough
489d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
489d
Max DD (%) Recovery
Not yet recovered
Commission
$264.00
Winning / Losing
35 / 29
Total Orders
128
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
ES contracts per trade
2
NQ contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
2
Avg Consecutive Wins
1.5
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
32
Profitable Days
22
Daily Win Rate
68.75%
Avg Daily Return
$2,904.56
Std Dev Daily
$8,559.12
Max Daily Return
$24,576.75
Min Daily Return
-$25,923.25
Max EOD Drawdown
$34,621.50
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 32 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
128 orders generated by this run.
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