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
-$11,308.00
Max Drawdown %
18.19%
Profit Factor
0.50
Win Rate
50.00%
Sharpe Ratio
-0.36
Total Trades
12
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 | -1.4k | 3.9k | -5.6k | -2.9k | · | · | -1.2k | · | · | · | · | · | -7.2k |
| 2022 | · | · | · | · | · | · | · | · | -6.4k | · | · | 662 | -5.7k |
| 2023 | · | · | · | · | · | 732 | · | · | -18 | · | · | 882 | 1.6k |
Detailed Metrics
Sharpe Ratio
-0.36
Sortino Ratio
-0.39
Profit Factor
0.50
Avg Win / Avg Loss
0.50
Avg Winner
$1,848.92
Avg Loser
-$3,733.58
Expectancy
-$942.33
Recovery Factor
-0.59
Max Drawdown ($)
$19,218.75
Max Drawdown (%)
18.19%
Max DD ($) Trough
917d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
917d
Max DD (%) Recovery
Not yet recovered
Commission
$33.00
Winning / Losing
6 / 6
Total Orders
24
Configuration
Strategy
Gap Trades
Contracts
YM
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
2
Max Consecutive Losses
3
Avg Consecutive Wins
1.5
Avg Consecutive Losses
1.5
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
12
Profitable Days
6
Daily Win Rate
50.00%
Avg Daily Return
-$942.33
Std Dev Daily
$3,895.63
Max Daily Return
$3,897.25
Min Daily Return
-$10,502.75
Max EOD Drawdown
$19,218.75
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 12 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
24 orders generated by this run.