Fractiz
Sample Run
NR7 / Inside Day Breakout
ES 1D · 2020-2024 · ES
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$45,676.50
Max Drawdown %
39.27%
Profit Factor
1.21
Win Rate
42.86%
Sharpe Ratio
0.39
Total Trades
154
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 | 1.5k | 1.7k | 12k | -9.3k | -15k | -3.4k | 4.3k | 3.2k | -14k | 1.4k | 5.7k | -3.0k | -15k |
| 2021 | 7.9k | 6.9k | -3.8k | 3.8k | -4.6k | -849 | 620 | -43 | -3.2k | -4.5k | 582 | 13k | 16k |
| 2022 | 12k | 15k | 7.5k | 3.5k | -781 | 25k | -481 | -1.0k | 5.2k | -11k | -1.1k | -996 | 52k |
| 2023 | -15k | 217 | -4.6k | -11k | -565 | 407 | -3.1k | -6.2k | 8.7k | -2.4k | 1.9k | 7.4k | -25k |
| 2024 | -253 | 1.2k | -418 | -3.5k | -4.1k | 5.5k | 7.2k | 3.7k | 9.1k | -6.2k | 2.6k | 3.1k | 18k |
Detailed Metrics
Sharpe Ratio
0.39
Sortino Ratio
0.66
Profit Factor
1.21
Avg Win / Avg Loss
1.61
Avg Winner
$4,027.93
Avg Loser
-$2,501.90
Expectancy
$296.60
Recovery Factor
0.85
Max Drawdown ($)
$53,977.00
Max Drawdown (%)
39.27%
Max DD ($) Trough
327d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
212d
Max DD (%) Recovery
707d
Commission
$423.50
Winning / Losing
66 / 88
Total Orders
457
Configuration
Strategy
NR7 / Inside Day Breakout
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Setup pattern
NR7 or Inside Day
Direction
Long and Short
Hold bars
5
Contracts per trade
1
Streaks
Max Consecutive Wins
6
Max Consecutive Losses
8
Avg Consecutive Wins
1.7
Avg Consecutive Losses
2.3
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
154
Profitable Days
66
Daily Win Rate
42.86%
Avg Daily Return
$296.60
Std Dev Daily
$4,183.62
Max Daily Return
$15,572.25
Min Daily Return
-$9,252.75
Max EOD Drawdown
$53,977.00
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
457 orders generated by this run.