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
$19,668.25
Max Drawdown %
32.26%
Profit Factor
1.23
Win Rate
48.65%
Sharpe Ratio
0.22
Total Trades
37
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 | · | · | -15k | · | -7.1k | -10k | -413 | · | 7.5k | · | · | -5.1k | -30k |
| 2021 | 3.0k | 11k | 6.6k | 1.8k | · | -2.0k | · | -1.5k | 4.4k | 2.1k | 7.1k | · | 32k |
| 2022 | · | · | 5.7k | · | -12k | -1.3k | · | 6.4k | · | 2.0k | · | · | 1.3k |
| 2023 | · | · | · | · | · | -12k | · | · | · | · | -753 | -6.8k | -20k |
| 2024 | · | · | -1.2k | 4.6k | -1.3k | · | 8.3k | 12k | · | 715 | 7.3k | 5.2k | 36k |
Detailed Metrics
Sharpe Ratio
0.22
Sortino Ratio
0.33
Profit Factor
1.23
Avg Win / Avg Loss
1.30
Avg Winner
$5,873.64
Avg Loser
-$4,529.33
Expectancy
$531.57
Recovery Factor
0.61
Max Drawdown ($)
$32,261.50
Max Drawdown (%)
32.26%
Max DD ($) Trough
120d
Max DD ($) Recovery
616d
Max DD (%) Trough
120d
Max DD (%) Recovery
616d
Commission
$101.75
Winning / Losing
18 / 19
Total Orders
74
Configuration
Strategy
Range Break Failure
Contracts
NQ
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
5
Max Consecutive Losses
6
Avg Consecutive Wins
2.6
Avg Consecutive Losses
2.7
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
37
Profitable Days
18
Daily Win Rate
48.65%
Avg Daily Return
$531.57
Std Dev Daily
$6,399.03
Max Daily Return
$12,272.25
Min Daily Return
-$14,702.75
Max EOD Drawdown
$32,261.50
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 37 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
74 orders generated by this run.