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
$29,222.00
Max Drawdown %
24.45%
Profit Factor
1.05
Win Rate
34.71%
Sharpe Ratio
0.29
Total Trades
942
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 | -3.0k | 7.0k | -7.6k | -718 | -2.9k | 5.1k | -8.3k | 3.0k | 1.9k | -227 | -7.0k | -4.1k | -17k |
| 2021 | -711 | -62 | -79 | 928 | 4.9k | 3.0k | 2.0k | 2.0k | 3.9k | -8.0k | -2.9k | -1.0k | 3.9k |
| 2022 | -2.0k | 10.0k | 5.9k | 4.9k | -7.1k | 6.9k | -1.1k | 1.9k | 1.4k | -77 | 4.7k | -5.1k | 20k |
| 2023 | -2.1k | 2.9k | -25 | -6.0k | -5.1k | 12k | -5.1k | 4.9k | -1.4k | -8.0k | 6.0k | -4.0k | -5.8k |
| 2024 | 1.8k | 8.4k | -1.1k | -3.5k | 7.0k | -2.0k | 8.9k | 11k | -362 | -275 | 928 | -3.0k | 28k |
Detailed Metrics
Sharpe Ratio
0.29
Sortino Ratio
0.49
Profit Factor
1.05
Avg Win / Avg Loss
1.97
Avg Winner
$1,985.74
Avg Loser
-$1,008.32
Expectancy
$31.02
Recovery Factor
1.13
Max Drawdown ($)
$25,900.75
Max Drawdown (%)
24.45%
Max DD ($) Trough
434d
Max DD ($) Recovery
786d
Max DD (%) Trough
434d
Max DD (%) Recovery
786d
Commission
$2,590.50
Winning / Losing
327 / 615
Total Orders
2,826
Configuration
Strategy
Pattern Rotation
Contracts
ES
Timeframe
1H
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Breakout Period (Donchian bars)
20
Recent ATR Period
14
Baseline ATR Period
50
Regime Threshold (recent ATR / baseline ATR)
1
Take-Profit (points)
40
Stop-Loss (points)
20
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
12
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.8
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
668
Profitable Days
268
Daily Win Rate
40.12%
Avg Daily Return
$43.75
Std Dev Daily
$1,715.51
Max Daily Return
$7,951.50
Min Daily Return
-$3,315.25
Max EOD Drawdown
$24,898.00
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
2,826 orders generated by this run.
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