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
$81,510.00
Max Drawdown %
15.97%
Profit Factor
1.14
Win Rate
36.50%
Sharpe Ratio
0.67
Total Trades
600
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 | -172 | 3.0k | -216 | 3.0k | 7.5k | 15k | 15k | 18k | 6.0k | -14k | 2.9k | 5.7k | 62k |
| 2021 | 3.0k | 3.0k | -7.6k | 4.5k | -27 | 12k | 5.9k | -3.1k | -11k | -1.5k | 5.9k | 6.0k | 18k |
| 2022 | -87 | -3.1k | -1.7k | 4.5k | -15k | -45 | 4.5k | 4.4k | 4.5k | -4.5k | -193 | -1.5k | -8.3k |
| 2023 | 2.9k | 2.9k | 7.5k | -12k | 8.4k | -1.6k | 5.7k | 1.5k | -9.0k | -1.5k | 10k | 4.5k | 20k |
| 2024 | 6.0k | -7.5k | -15 | -9.0k | -4.5k | 8.9k | 5.9k | -1.6k | -5.9k | -7.6k | -7.6k | 13k | -9.4k |
Detailed Metrics
Sharpe Ratio
0.67
Sortino Ratio
1.13
Profit Factor
1.14
Avg Win / Avg Loss
1.99
Avg Winner
$2,991.98
Avg Loser
-$1,505.86
Expectancy
$135.85
Recovery Factor
2.55
Max Drawdown ($)
$31,941.50
Max Drawdown (%)
15.97%
Max DD ($) Trough
300d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
300d
Max DD (%) Recovery
Not yet recovered
Commission
$1,650.00
Winning / Losing
219 / 381
Total Orders
1,800
Configuration
Strategy
Pullback Reversion
Contracts
NQ
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)
150
Stop-Loss (points)
75
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
12
Avg Consecutive Wins
1.6
Avg Consecutive Losses
2.7
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
524
Profitable Days
214
Daily Win Rate
40.84%
Avg Daily Return
$155.55
Std Dev Daily
$2,336.95
Max Daily Return
$5,994.50
Min Daily Return
-$4,513.25
Max EOD Drawdown
$31,941.50
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
1,800 orders generated by this run.
Other sample runs for this strategy