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
-$7,796.25
Max Drawdown %
20.16%
Profit Factor
0.85
Win Rate
40.00%
Sharpe Ratio
-0.17
Total Trades
35
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 | · | · | 8.5k | · | · | 7.0k | -1.3k | -5.7k | 3.0k | · | · | 1.1k | 13k |
| 2021 | · | 2.6k | · | -3.0k | -568 | 972 | -2.8k | -3.8k | -2.6k | · | -3.6k | · | -13k |
| 2022 | · | · | · | 3.5k | · | · | · | 7.6k | · | -2.3k | · | 3.7k | 12k |
| 2023 | · | 1.8k | · | · | 1.5k | · | -153 | · | · | -2.6k | · | -5.9k | -5.3k |
| 2024 | · | -1.5k | -8.0k | · | · | 572 | -228 | · | · | 2.0k | · | -7.5k | -15k |
Detailed Metrics
Sharpe Ratio
-0.17
Sortino Ratio
-0.25
Profit Factor
0.85
Avg Win / Avg Loss
1.27
Avg Winner
$3,143.68
Avg Loser
-$2,467.04
Expectancy
-$222.75
Recovery Factor
-0.33
Max Drawdown ($)
$23,280.25
Max Drawdown (%)
20.16%
Max DD ($) Trough
578d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
578d
Max DD (%) Recovery
Not yet recovered
Commission
$96.25
Winning / Losing
14 / 21
Total Orders
70
Configuration
Strategy
Range Break Failure
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Lookback bars (N)
50
Failure window (bars)
3
Side filter
Both sides
Hold bars after entry
5
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
7
Avg Consecutive Wins
2.0
Avg Consecutive Losses
3.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
35
Profitable Days
14
Daily Win Rate
40.00%
Avg Daily Return
-$222.75
Std Dev Daily
$3,487.77
Max Daily Return
$8,509.75
Min Daily Return
-$7,477.75
Max EOD Drawdown
$23,280.25
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 35 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
70 orders generated by this run.