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
-$16,044.00
Max Drawdown %
23.08%
Profit Factor
0.93
Win Rate
29.76%
Sharpe Ratio
-0.25
Total Trades
336
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 | -1.9k | -2.0k | 9 | -2.0k | -2.0k | -2.0k | -2.0k | -1.5k | -994 | 3.9k | 955 | 1.1k | -8.5k |
| 2021 | 8.0k | -3.0k | -3.0k | -398 | 3.5k | 2.4k | -1.1k | -866 | 3.4k | 624 | -2.1k | -2.0k | 5.4k |
| 2022 | -3.0k | 5.0k | -4.0k | 2.0k | -4.0k | 4 | -5.0k | 1.0k | 2.6k | 4.8k | -5.0k | 4.7k | -1.0k |
| 2023 | -1.5k | -4.0k | -4.4k | 7.2k | -6.1k | 1.3k | 2.5k | -4.0k | -3.5k | -1.0k | -3.2k | 9.6k | -7.2k |
| 2024 | -1.3k | -5.0k | -309 | 5.0k | 2.2k | -2.0k | -17 | 935 | -6.1k | -6 | 5.0k | -3.0k | -4.6k |
Detailed Metrics
Sharpe Ratio
-0.25
Sortino Ratio
-0.47
Profit Factor
0.93
Avg Win / Avg Loss
2.20
Avg Winner
$2,155.75
Avg Loser
-$981.44
Expectancy
-$47.75
Recovery Factor
-0.68
Max Drawdown ($)
$23,478.50
Max Drawdown (%)
23.08%
Max DD ($) Trough
878d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
878d
Max DD (%) Recovery
Not yet recovered
Commission
$924.00
Winning / Losing
100 / 236
Total Orders
1,060
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)
1000
Lower Skip Band (long probability)
0.485
Upper Skip Band (long probability)
0.515
Stop Loss (points)
50
Take Profit (points)
150
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
12
Avg Consecutive Wins
1.4
Avg Consecutive Losses
3.1
Median Consecutive Wins
1
Median Consecutive Losses
3
Daily Performance
Tradeable Days
1,293
Days Traded
333
Profitable Days
98
Daily Win Rate
29.43%
Avg Daily Return
-$48.18
Std Dev Daily
$1,560.90
Max Daily Return
$3,032.25
Min Daily Return
-$1,027.75
Max EOD Drawdown
$23,478.50
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
1,060 orders generated by this run.