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
-$20,749.75
Max Drawdown %
39.98%
Profit Factor
0.97
Win Rate
48.17%
Sharpe Ratio
-0.17
Total Trades
1,009
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 | -6.8k | -1.4k | 2.9k | -5.9k | 2.0k | 8.0k | -726 | -3.0k | -5.0k | 9.4k | 5.8k | 1.7k | 7.0k |
| 2021 | 4.7k | -9.4k | -7.6k | -3.9k | 1.4k | 1.5k | 3.5k | -1.1k | -998 | -883 | -2.4k | 14k | -1.0k |
| 2022 | 4.0k | -15k | -1.3k | 6.4k | -24k | 277 | 8.0k | 2.7k | 18k | -5.5k | 5.5k | 13k | 13k |
| 2023 | 3.1k | -5.8k | -11k | 1.2k | -5.9k | -2.0k | 6.1k | -12k | 2.4k | -11k | -5.1k | · | -40k |
Detailed Metrics
Sharpe Ratio
-0.17
Sortino Ratio
-0.25
Profit Factor
0.97
Avg Win / Avg Loss
1.04
Avg Winner
$1,355.45
Avg Loser
-$1,299.24
Expectancy
-$20.56
Recovery Factor
-0.44
Max Drawdown ($)
$46,715.00
Max Drawdown (%)
39.98%
Max DD ($) Trough
154d
Max DD ($) Recovery
330d
Max DD (%) Trough
154d
Max DD (%) Recovery
330d
Commission
$2,774.75
Winning / Losing
486 / 523
Total Orders
3,896
Configuration
Strategy
Random
Contracts
ES
Timeframe
1m
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Seed
42
Ensemble Size (N generators)
1
Lower Skip Band (long probability)
0.5
Upper Skip Band (long probability)
0.5
Stop Loss (points)
50
Take Profit (points)
150
Streaks
Max Consecutive Wins
7
Max Consecutive Losses
9
Avg Consecutive Wins
1.9
Avg Consecutive Losses
2.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
982
Profitable Days
471
Daily Win Rate
47.96%
Avg Daily Return
-$21.13
Std Dev Daily
$1,733.62
Max Daily Return
$7,497.25
Min Daily Return
-$2,555.50
Max EOD Drawdown
$46,715.00
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
3,896 orders generated by this run.