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
$13,726.25
Max Drawdown %
52.74%
Profit Factor
1.02
Win Rate
34.16%
Sharpe Ratio
0.15
Total Trades
849
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 | 2.9k | -2.3k | 2.9k | -4.9k | -4.1k | 4.0k | 8.9k | -1.1k | -7.0k | -45 | -7.1k | -4.7k |
| 2021 | -3.0k | 13k | -6.1k | -3.0k | -3.0k | -1.4k | -5.0k | -2.1k | 3.0k | -9.0k | 5.9k | -4.0k | -15k |
| 2022 | -145 | -26 | -5.2k | -2.1k | -3.1k | -2.1k | 4.8k | -25 | -9.1k | 2.9k | 5.5k | 928 | -7.6k |
| 2023 | -6.0k | 1.9k | -1.1k | -8.0k | 2.3k | -6.1k | 2.0k | -1.0k | 6.0k | 10k | 3.3k | 6.9k | 10k |
| 2024 | -5.4k | 3.9k | 6.9k | 946 | 5.0k | 896 | 7.9k | -2.1k | -2.0k | 6.9k | 567 | 6.9k | 31k |
Detailed Metrics
Sharpe Ratio
0.15
Sortino Ratio
0.24
Profit Factor
1.02
Avg Win / Avg Loss
1.97
Avg Winner
$1,992.94
Avg Loser
-$1,009.35
Expectancy
$16.17
Recovery Factor
0.23
Max Drawdown ($)
$59,873.75
Max Drawdown (%)
52.74%
Max DD ($) Trough
1051d
Max DD ($) Recovery
1555d
Max DD (%) Trough
1051d
Max DD (%) Recovery
1555d
Commission
$3,183.75
Winning / Losing
290 / 559
Total Orders
2,548
Configuration
Strategy
Pattern Rotation
Contracts
GC
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)
20
Stop-Loss (points)
10
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
13
Avg Consecutive Wins
1.6
Avg Consecutive Losses
3.0
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
652
Profitable Days
253
Daily Win Rate
38.80%
Avg Daily Return
$21.05
Std Dev Daily
$1,587.14
Max Daily Return
$5,968.75
Min Daily Return
-$6,438.75
Max EOD Drawdown
$59,873.75
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
2,548 orders generated by this run.
Other sample runs for this strategy