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
$1,946.25
Max Drawdown %
14.60%
Profit Factor
1.09
Win Rate
53.33%
Sharpe Ratio
0.04
Total Trades
15
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 | -2.2k | 4.2k | 4.7k | -2.5k | · | · | -1.3k | · | · | · | · | · | 2.9k |
| 2022 | · | · | · | · | -918 | 785 | · | · | · | · | · | · | -133 |
| 2024 | · | · | · | · | · | · | · | 47 | 347 | · | · | -1.2k | -833 |
Detailed Metrics
Sharpe Ratio
0.04
Sortino Ratio
0.07
Profit Factor
1.09
Avg Win / Avg Loss
0.95
Avg Winner
$3,005.06
Avg Loser
-$3,156.32
Expectancy
$129.75
Recovery Factor
0.11
Max Drawdown ($)
$17,430.25
Max Drawdown (%)
14.60%
Max DD ($) Trough
1741d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1741d
Max DD (%) Recovery
Not yet recovered
Commission
$41.25
Winning / Losing
8 / 7
Total Orders
30
Configuration
Strategy
Gap Trades
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Mode
Trade continuation
Gap threshold (%)
0.5
Side
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
2
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.4
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
15
Profitable Days
8
Daily Win Rate
53.33%
Avg Daily Return
$129.75
Std Dev Daily
$4,981.92
Max Daily Return
$14,409.75
Min Daily Return
-$10,465.25
Max EOD Drawdown
$17,430.25
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
30 orders generated by this run.