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
$178,151.75
Max Drawdown %
24.79%
Profit Factor
1.16
Win Rate
36.69%
Sharpe Ratio
0.95
Total Trades
883
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 | -7.8k | 6.0k | -13k | 2.1k | -8.0k | -6 | 3.9k | 16k | -8.1k | 2.4k | 5.9k | 8.0k | 7.4k |
| 2021 | -2.0k | -9.9k | -58 | -6.1k | 14k | -2.1k | -113 | -6.0k | 1.9k | 2 | 10.0k | 12k | 12k |
| 2022 | 12k | 24k | -2.1k | 8.9k | -4.8k | 7.9k | 4 | -8.0k | -7.1k | 18k | 4.0k | -14k | 39k |
| 2023 | 2.4k | 12k | -3.9k | -24k | 4.2k | 14k | -12k | 4.0k | 8.0k | 2.6k | 18k | -8.0k | 17k |
| 2024 | 13k | -6.9k | 69 | -5.0k | 10.0k | 5.9k | 28k | 20k | 6.0k | 50 | 5.9k | 26k | 103k |
Detailed Metrics
Sharpe Ratio
0.95
Sortino Ratio
1.68
Profit Factor
1.16
Avg Win / Avg Loss
2.00
Avg Winner
$3,988.22
Avg Loser
-$1,992.90
Expectancy
$201.76
Recovery Factor
4.17
Max Drawdown ($)
$42,672.75
Max Drawdown (%)
24.79%
Max DD ($) Trough
180d
Max DD ($) Recovery
369d
Max DD (%) Trough
122d
Max DD (%) Recovery
188d
Commission
$2,428.25
Winning / Losing
324 / 559
Total Orders
2,649
Configuration
Strategy
Pattern Rotation
Contracts
NQ
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)
200
Stop-Loss (points)
100
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
17
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.6
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
665
Profitable Days
283
Daily Win Rate
42.56%
Avg Daily Return
$267.90
Std Dev Daily
$3,208.53
Max Daily Return
$13,981.25
Min Daily Return
-$6,008.25
Max EOD Drawdown
$40,969.00
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
2,649 orders generated by this run.
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