Fractiz
Sample Run
NR7 / Inside Day Breakout
YM 1D · 2020-2024 · YM
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
-$33,652.25
Max Drawdown %
44.72%
Profit Factor
0.83
Win Rate
39.62%
Sharpe Ratio
-0.41
Total Trades
159
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 | 1.0k | 1.7k | -2.2k | 295 | 6.1k | -213 | -803 | 4.6k | -951 | 5.7k | -1.4k | -1.5k | 12k |
| 2021 | 1.7k | 3.2k | -1.9k | -2.9k | 1.5k | 1.1k | 435 | -3.6k | -326 | -738 | 1.2k | 5.1k | 4.8k |
| 2022 | -4.3k | -2.2k | -5.3k | 3.8k | -8.9k | 18k | -2.8k | -5.8k | -2.8k | -8.8k | -6.6k | 2.4k | -23k |
| 2023 | -2.8k | -2.5k | 880 | 5.0k | -1.8k | 6.3k | 1.0k | -3.6k | 97 | -7.1k | -408 | -3.2k | -8.0k |
| 2024 | -3.5k | -981 | 390 | 5.8k | 9.2k | -1.0k | -1.4k | -5.0k | -8.3k | 575 | -11k | -4.4k | -19k |
Detailed Metrics
Sharpe Ratio
-0.41
Sortino Ratio
-0.58
Profit Factor
0.83
Avg Win / Avg Loss
1.26
Avg Winner
$2,572.57
Avg Loser
-$2,038.79
Expectancy
-$211.65
Recovery Factor
-0.63
Max Drawdown ($)
$53,671.00
Max Drawdown (%)
44.72%
Max DD ($) Trough
921d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
921d
Max DD (%) Recovery
Not yet recovered
Commission
$437.25
Winning / Losing
63 / 96
Total Orders
467
Configuration
Strategy
NR7 / Inside Day Breakout
Contracts
YM
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
5
Max Consecutive Losses
9
Avg Consecutive Wins
1.7
Avg Consecutive Losses
2.5
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
159
Profitable Days
63
Daily Win Rate
39.62%
Avg Daily Return
-$211.65
Std Dev Daily
$2,878.61
Max Daily Return
$10,672.25
Min Daily Return
-$7,972.75
Max EOD Drawdown
$53,671.00
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
467 orders generated by this run.