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
$16,685.25
Max Drawdown %
27.57%
Profit Factor
1.02
Win Rate
31.52%
Sharpe Ratio
0.15
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 | -3.7k | -6.7k | 8.3k | -7.3k | 5.7k | 10k | 4.0k | -7.8k | 10k | 3.5k | 8.3k | -3.1k | 22k |
| 2021 | 14k | -8.4k | -2.5k | 1.4k | -588 | -1.7k | -1.6k | -7.9k | 7.2k | 9.2k | 850 | 10k | 20k |
| 2022 | 2.9k | -60 | -3.0k | 12k | -8.0k | -4.1k | -8.3k | 11k | -4.8k | 3.9k | -5.9k | 7.0k | 2.9k |
| 2023 | 14k | -9.6k | -6.2k | 1.4k | -4.7k | 1.3k | -958 | -8.7k | 2.9k | -10k | -6.4k | · | -28k |
Detailed Metrics
Sharpe Ratio
0.15
Sortino Ratio
0.29
Profit Factor
1.02
Avg Win / Avg Loss
2.23
Avg Winner
$2,159.78
Avg Loser
-$969.79
Expectancy
$16.54
Recovery Factor
0.38
Max Drawdown ($)
$44,068.00
Max Drawdown (%)
27.57%
Max DD ($) Trough
298d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
298d
Max DD (%) Recovery
Not yet recovered
Commission
$2,774.75
Winning / Losing
318 / 691
Total Orders
3,207
Configuration
Strategy
Random
Contracts
NQ
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
6
Max Consecutive Losses
13
Avg Consecutive Wins
1.4
Avg Consecutive Losses
3.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
985
Profitable Days
305
Daily Win Rate
30.96%
Avg Daily Return
$16.94
Std Dev Daily
$1,600.37
Max Daily Return
$5,054.50
Min Daily Return
-$2,345.50
Max EOD Drawdown
$44,068.00
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
3,207 orders generated by this run.