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
$4,355.25
Max Drawdown %
13.10%
Profit Factor
1.14
Win Rate
48.28%
Sharpe Ratio
0.12
Total Trades
29
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 | · | · | 7.5k | · | · | · | · | · | 1.6k | · | 7.1k | 557 | 17k |
| 2021 | · | -2.5k | 512 | -988 | -768 | 2.8k | · | -1.5k | · | · | · | · | -2.4k |
| 2022 | 922 | · | · | · | · | -848 | · | · | · | -1.2k | -5.2k | 3.2k | -3.1k |
| 2023 | · | · | 1.6k | · | · | -183 | · | 152 | · | 1.6k | 5.7k | -7.4k | 1.4k |
| 2024 | -306 | -1.5k | -5.6k | · | · | · | · | · | · | -878 | · | · | -8.3k |
Detailed Metrics
Sharpe Ratio
0.12
Sortino Ratio
0.19
Profit Factor
1.14
Avg Win / Avg Loss
1.22
Avg Winner
$2,500.46
Avg Loser
-$2,043.42
Expectancy
$150.18
Recovery Factor
0.28
Max Drawdown ($)
$15,732.00
Max Drawdown (%)
13.10%
Max DD ($) Trough
353d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
353d
Max DD (%) Recovery
Not yet recovered
Commission
$79.75
Winning / Losing
14 / 15
Total Orders
58
Configuration
Strategy
Range Break Failure
Contracts
YM
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
5
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.1
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
29
Profitable Days
14
Daily Win Rate
48.28%
Avg Daily Return
$150.18
Std Dev Daily
$3,081.18
Max Daily Return
$7,517.25
Min Daily Return
-$5,607.75
Max EOD Drawdown
$15,732.00
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 29 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
58 orders generated by this run.