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
-$6,475.00
Max Drawdown %
18.70%
Profit Factor
0.85
Win Rate
50.00%
Sharpe Ratio
-0.15
Total Trades
28
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 | · | · | · | -7.7k | · | · | -3.3k | · | · | · | · | 4.7k | -6.3k |
| 2021 | · | -7.6k | 936 | · | · | · | · | 3.5k | · | · | · | · | -3.2k |
| 2022 | · | · | · | · | -4.7k | · | 1.0k | · | -604 | 6.6k | · | -2.9k | -582 |
| 2023 | -6.2k | 3.8k | -3.2k | -1.1k | · | -2.0k | · | 1.4k | · | 2.1k | 566 | 2.8k | -1.8k |
| 2024 | · | · | · | -2.5k | · | · | 5.0k | 2.3k | · | 456 | 56 | · | 5.3k |
Detailed Metrics
Sharpe Ratio
-0.15
Sortino Ratio
-0.20
Profit Factor
0.85
Avg Win / Avg Loss
0.85
Avg Winner
$2,691.96
Avg Loser
-$3,154.46
Expectancy
-$231.25
Recovery Factor
-0.35
Max Drawdown ($)
$18,701.25
Max Drawdown (%)
18.70%
Max DD ($) Trough
1171d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
1171d
Max DD (%) Recovery
Not yet recovered
Commission
$105.00
Winning / Losing
14 / 14
Total Orders
56
Configuration
Strategy
Range Break Failure
Contracts
GC
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
4
Max Consecutive Losses
3
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.0
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
28
Profitable Days
14
Daily Win Rate
50.00%
Avg Daily Return
-$231.25
Std Dev Daily
$3,560.97
Max Daily Return
$6,566.25
Min Daily Return
-$7,693.75
Max EOD Drawdown
$18,701.25
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 28 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
56 orders generated by this run.