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
$28,598.75
Max Drawdown %
19.31%
Profit Factor
1.09
Win Rate
37.00%
Sharpe Ratio
0.45
Total Trades
627
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 | 2.1k | 6.0k | -3.9k | -435 | 2.0k | 2.6k | 3.5k | 4.1k | 2.5k | 1.1k | 4.3k | 4.9k | 29k |
| 2021 | 4.3k | -1.1k | -1.0k | 2.0k | 1.1k | -5.8k | 198 | 1.9k | -2.6k | 2.5k | 2.6k | -4.0k | 29 |
| 2022 | -1.0k | 2.6k | -231 | -424 | -344 | -2.6k | -3.4k | -294 | 2.0k | -5.8k | 5.7k | -184 | -4.1k |
| 2023 | 1.6k | -2.6k | -2.2k | 480 | -2.0k | -6.6k | 359 | -223 | -2.5k | 2.0k | 5.1k | 1.3k | -5.3k |
| 2024 | -1.1k | -2.6k | 10k | -5.3k | 2.6k | 480 | 1.0k | 1.1k | 4.8k | 981 | -1.9k | -1.2k | 9.3k |
Detailed Metrics
Sharpe Ratio
0.45
Sortino Ratio
0.72
Profit Factor
1.09
Avg Win / Avg Loss
1.86
Avg Winner
$1,495.60
Avg Loser
-$806.03
Expectancy
$45.61
Recovery Factor
1.08
Max Drawdown ($)
$26,403.75
Max Drawdown (%)
19.31%
Max DD ($) Trough
943d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
943d
Max DD (%) Recovery
Not yet recovered
Commission
$2,351.25
Winning / Losing
232 / 395
Total Orders
1,881
Configuration
Strategy
Pullback Reversion
Contracts
GC
Timeframe
1H
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Fast MA Period
20
Slow MA Period (trend filter)
50
Take-Profit (points)
15
Stop-Loss (points)
8
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
14
Avg Consecutive Wins
1.6
Avg Consecutive Losses
2.8
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
532
Profitable Days
225
Daily Win Rate
42.29%
Avg Daily Return
$53.76
Std Dev Daily
$1,216.84
Max Daily Return
$3,002.50
Min Daily Return
-$2,431.25
Max EOD Drawdown
$25,600.00
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
1,881 orders generated by this run.
Other sample runs for this strategy