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
$108,232.50
Max Drawdown %
20.18%
Profit Factor
1.98
Win Rate
44.00%
Sharpe Ratio
0.66
Total Trades
50
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2015 | · | · | · | · | · | · | · | -4.1k | · | · | · | · | -4.1k |
| 2016 | -4.0k | · | · | · | · | -4.1k | · | · | · | · | · | 9.9k | 1.8k |
| 2017 | · | · | 10.0k | · | · | 10k | -4.0k | · | · | · | 10.0k | · | 26k |
| 2018 | 10k | · | -3.9k | · | · | · | · | · | · | -4.0k | · | · | 2.1k |
| 2019 | · | · | · | 9.5k | · | · | · | -4.0k | · | -4.0k | 10k | · | 12k |
| 2020 | 10k | 10k | · | · | · | · | 10k | 10.0k | -3.9k | 10k | 9.7k | · | 56k |
| 2021 | 10.0k | 10k | · | · | · | 9.9k | · | 9.9k | -4.0k | · | -4.1k | -12k | 20k |
| 2022 | -4.0k | · | · | · | · | · | · | · | -4.0k | · | -3.9k | -4.1k | -16k |
| 2023 | · | · | -3.9k | -4.1k | 6.8k | · | · | -3.5k | -4.0k | · | · | 10k | 1.3k |
| 2024 | 10k | · | 10k | -7.9k | · | · | · | · | · | -4.0k | -8.2k | 9.7k | 9.7k |
Detailed Metrics
Sharpe Ratio
0.66
Sortino Ratio
1.61
Profit Factor
1.98
Avg Win / Avg Loss
2.52
Avg Winner
$9,949.07
Avg Loser
-$3,951.68
Expectancy
$2,164.65
Recovery Factor
2.30
Max Drawdown ($)
$47,103.00
Max Drawdown (%)
20.18%
Max DD ($) Trough
618d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
618d
Max DD (%) Recovery
Not yet recovered
Commission
$137.50
Winning / Losing
22 / 28
Total Orders
150
Configuration
Strategy
Pullback Reversion
Contracts
NQ
Timeframe
1D
Date Range
Jan 1, 2015 - 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)
500
Stop-Loss (points)
200
Streaks
Max Consecutive Wins
6
Max Consecutive Losses
12
Avg Consecutive Wins
2.8
Avg Consecutive Losses
3.5
Median Consecutive Wins
2.5
Median Consecutive Losses
2
Daily Performance
Tradeable Days
2,583
Days Traded
50
Profitable Days
22
Daily Win Rate
44.00%
Avg Daily Return
$2,164.65
Std Dev Daily
$6,902.37
Max Daily Return
$10,097.25
Min Daily Return
-$4,157.75
Max EOD Drawdown
$47,103.00
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 50 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
150 orders generated by this run.
Other sample runs for this strategy