Fractiz
Sample Run
Opening Range Breakout
ES 5m · 2023-2024 · 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
$5,621.25
Max Drawdown %
26.83%
Profit Factor
1.02
Win Rate
50.49%
Sharpe Ratio
0.12
Total Trades
515
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -7.4k | 2.2k | 1.9k | 5.2k | -3.8k | 5.6k | 1.7k | 9.7k | 11k | -4.0k | -2.1k | 4.1k | 24k |
| 2024 | 5.1k | 4.5k | -7.3k | -1.8k | -1.6k | -12k | 6.5k | -8.3k | -1.2k | 3.5k | 1.4k | -8.2k | -19k |
Detailed Metrics
Sharpe Ratio
0.12
Sortino Ratio
0.15
Profit Factor
1.02
Avg Win / Avg Loss
1.00
Avg Winner
$1,097.49
Avg Loser
-$1,096.97
Expectancy
$10.92
Recovery Factor
0.16
Max Drawdown ($)
$36,257.75
Max Drawdown (%)
26.83%
Max DD ($) Trough
171d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
171d
Max DD (%) Recovery
Not yet recovered
Commission
$1,416.25
Winning / Losing
260 / 255
Total Orders
1,030
Configuration
Strategy
Opening Range Breakout
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2023 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Opening window (minutes)
15
Side
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
8
Max Consecutive Losses
7
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.9
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
518
Days Traded
501
Profitable Days
254
Daily Win Rate
50.70%
Avg Daily Return
$11.22
Std Dev Daily
$1,518.85
Max Daily Return
$5,009.75
Min Daily Return
-$9,465.25
Max EOD Drawdown
$36,257.75
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
1,030 orders generated by this run.
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