Fractiz
Sample Run
Opening Range Breakout
YM 5m · 2023-2024 · 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
-$17,045.75
Max Drawdown %
24.09%
Profit Factor
0.91
Win Rate
48.93%
Sharpe Ratio
-0.52
Total Trades
513
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 | 2.7k | 3.9k | -11k | 5.7k | -7.3k | 4.1k | 352 | -4.4k | -703 | -1.8k | 610 | -3.0k | -10k |
| 2024 | -4.1k | 22 | 4.7k | 4.6k | -91 | 1.3k | -2.8k | -761 | -4.2k | -793 | 1.2k | -5.6k | -6.6k |
Detailed Metrics
Sharpe Ratio
-0.52
Sortino Ratio
-0.69
Profit Factor
0.91
Avg Win / Avg Loss
0.95
Avg Winner
$713.94
Avg Loser
-$749.03
Expectancy
-$33.23
Recovery Factor
-0.66
Max Drawdown ($)
$25,977.00
Max Drawdown (%)
24.09%
Max DD ($) Trough
665d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
665d
Max DD (%) Recovery
Not yet recovered
Commission
$1,410.75
Winning / Losing
251 / 262
Total Orders
1,026
Configuration
Strategy
Opening Range Breakout
Contracts
YM
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
7
Max Consecutive Losses
9
Avg Consecutive Wins
1.9
Avg Consecutive Losses
2.0
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
517
Days Traded
498
Profitable Days
244
Daily Win Rate
49.00%
Avg Daily Return
-$34.23
Std Dev Daily
$1,024.04
Max Daily Return
$3,762.25
Min Daily Return
-$6,527.75
Max EOD Drawdown
$25,977.00
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
1,026 orders generated by this run.
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