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
$23,235.50
Max Drawdown %
17.87%
Profit Factor
1.20
Win Rate
39.06%
Sharpe Ratio
0.68
Total Trades
128
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 7.6k | 4.5k | 5.2k | -14k | 4.0k | 9.1k | 298 | -6.0k | 12k | -18k | 15k | 3.0k | 23k |
Detailed Metrics
Sharpe Ratio
0.68
Sortino Ratio
1.26
Profit Factor
1.20
Avg Win / Avg Loss
1.87
Avg Winner
$2,836.00
Avg Loser
-$1,520.06
Expectancy
$181.53
Recovery Factor
1.09
Max Drawdown ($)
$21,260.75
Max Drawdown (%)
17.87%
Max DD ($) Trough
19d
Max DD ($) Recovery
149d
Max DD (%) Trough
19d
Max DD (%) Recovery
149d
Commission
$352.00
Winning / Losing
50 / 78
Total Orders
256
Configuration
Strategy
MA Crossover
Contracts
ES
Timeframe
1H
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Fast MA Period
20
Slow MA Period
50
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
9
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.4
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
110
Profitable Days
46
Daily Win Rate
41.82%
Avg Daily Return
$211.23
Std Dev Daily
$3,214.90
Max Daily Return
$12,297.25
Min Daily Return
-$6,365.25
Max EOD Drawdown
$21,260.75
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 111 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
256 orders generated by this run.
Other sample runs for this strategy