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
$47,973.75
Max Drawdown %
14.68%
Profit Factor
1.33
Win Rate
37.67%
Sharpe Ratio
1.48
Total Trades
215
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 | -2.6k | -11k | 10k | -1.7k | 11k | -11k | 9.8k | 6.3k | 7.8k | 3.1k | 14k | 12k | 48k |
Detailed Metrics
Sharpe Ratio
1.48
Sortino Ratio
2.94
Profit Factor
1.33
Avg Win / Avg Loss
2.20
Avg Winner
$2,375.63
Avg Loser
-$1,078.00
Expectancy
$223.13
Recovery Factor
2.98
Max Drawdown ($)
$16,081.25
Max Drawdown (%)
14.68%
Max DD ($) Trough
35d
Max DD ($) Recovery
71d
Max DD (%) Trough
35d
Max DD (%) Recovery
71d
Commission
$806.25
Winning / Losing
81 / 134
Total Orders
430
Configuration
Strategy
MA Crossover
Contracts
GC
Timeframe
1H
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Fast MA Period
10
Slow MA Period
30
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
13
Avg Consecutive Wins
1.6
Avg Consecutive Losses
2.7
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
160
Profitable Days
70
Daily Win Rate
43.75%
Avg Daily Return
$299.84
Std Dev Daily
$2,526.25
Max Daily Return
$14,066.25
Min Daily Return
-$4,111.25
Max EOD Drawdown
$15,595.00
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
430 orders generated by this run.
Other sample runs for this strategy