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
-$23,423.75
Max Drawdown %
64.29%
Profit Factor
0.95
Win Rate
50.45%
Sharpe Ratio
-0.27
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 | 3.2k | 8.2k | -26k | -4.8k | -6.6k | -6.3k | 1.9k | -8.8k | 11k | 5.5k | 1.6k | -1.1k | -22k |
| 2021 | -8.5k | -2.5k | -12k | -949 | -6.8k | 347 | -4.4k | 5.6k | 2.8k | 1.4k | -4.5k | -3.0k | -33k |
| 2022 | 711 | 15k | 15k | 585 | -1.3k | -8.6k | -2.5k | -5.5k | 12k | -3.6k | 3.8k | 4.1k | 29k |
| 2023 | -349 | 1.2k | 10k | -151 | 3.7k | -8.3k | 7.8k | -8.2k | -679 | 828 | -3.6k | · | 2.4k |
Detailed Metrics
Sharpe Ratio
-0.27
Sortino Ratio
-0.37
Profit Factor
0.95
Avg Win / Avg Loss
0.93
Avg Winner
$822.07
Avg Loser
-$883.71
Expectancy
-$23.21
Recovery Factor
-0.31
Max Drawdown ($)
$75,765.00
Max Drawdown (%)
64.29%
Max DD ($) Trough
516d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
516d
Max DD (%) Recovery
Not yet recovered
Commission
$3,783.75
Winning / Losing
509 / 500
Total Orders
4,033
Configuration
Strategy
Random
Contracts
GC
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
1.9
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
982
Profitable Days
497
Daily Win Rate
50.61%
Avg Daily Return
-$23.85
Std Dev Daily
$1,209.76
Max Daily Return
$5,776.25
Min Daily Return
-$5,023.75
Max EOD Drawdown
$75,765.00
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
4,033 orders generated by this run.