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
$51,948.00
Max Drawdown %
53.15%
Profit Factor
1.20
Win Rate
35.94%
Sharpe Ratio
0.72
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 | -3.4k | -8.6k | -5.2k | -22k | 15k | 29k | 7.5k | -14k | 21k | -32k | 26k | 39k | 52k |
Detailed Metrics
Sharpe Ratio
0.72
Sortino Ratio
1.39
Profit Factor
1.20
Avg Win / Avg Loss
2.14
Avg Winner
$6,694.64
Avg Loser
-$3,122.02
Expectancy
$405.84
Recovery Factor
0.92
Max Drawdown ($)
$56,330.00
Max Drawdown (%)
53.15%
Max DD ($) Trough
93d
Max DD ($) Recovery
181d
Max DD (%) Trough
93d
Max DD (%) Recovery
181d
Commission
$352.00
Winning / Losing
46 / 82
Total Orders
256
Configuration
Strategy
MA Crossover
Contracts
NQ
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
4
Max Consecutive Losses
8
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.7
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
114
Profitable Days
44
Daily Win Rate
38.60%
Avg Daily Return
$455.68
Std Dev Daily
$6,678.26
Max Daily Return
$25,412.25
Min Daily Return
-$13,927.75
Max EOD Drawdown
$55,973.50
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 114 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