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
$69,869.75
Max Drawdown %
23.96%
Profit Factor
2.02
Win Rate
80.33%
Sharpe Ratio
0.89
Total Trades
61
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 | 2.7k | · | -25k | · | · | 5.2k | · | · | 2.5k | 722 | -4.5k | 2.0k | -16k |
| 2021 | 2.2k | 5.5k | 2.6k | · | 6.0k | 1.6k | 1.8k | 2.4k | -2.6k | 4.5k | · | 5.3k | 29k |
| 2022 | -7.3k | 5.7k | 3.2k | 1.5k | 2.4k | -13k | 3.5k | 2.4k | -3.7k | 2.8k | 11k | 5.7k | 14k |
| 2023 | 2.1k | · | 4.0k | 4.9k | 3.6k | 2.3k | 1.7k | 1.4k | 922 | -9.5k | · | · | 12k |
| 2024 | 7.5k | · | · | 3.8k | · | 2.7k | 285 | 5.1k | 2.2k | 1.7k | 7.3k | · | 31k |
Detailed Metrics
Sharpe Ratio
0.89
Sortino Ratio
1.16
Profit Factor
2.02
Avg Win / Avg Loss
0.49
Avg Winner
$2,824.04
Avg Loser
-$5,709.00
Expectancy
$1,145.41
Recovery Factor
2.84
Max Drawdown ($)
$24,618.00
Max Drawdown (%)
23.96%
Max DD ($) Trough
53d
Max DD ($) Recovery
537d
Max DD (%) Trough
53d
Max DD (%) Recovery
537d
Commission
$167.75
Winning / Losing
49 / 12
Total Orders
123
Configuration
Strategy
RSI Mean Reversion
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
RSI period
2
Oversold threshold
10
Overbought threshold
90
Exit long when RSI crosses above
70
Exit short when RSI crosses below
30
Side
Long only
Contracts per trade
1
Streaks
Max Consecutive Wins
13
Max Consecutive Losses
2
Avg Consecutive Wins
4.9
Avg Consecutive Losses
1.3
Median Consecutive Wins
2.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
61
Profitable Days
49
Daily Win Rate
80.33%
Avg Daily Return
$1,145.41
Std Dev Daily
$4,304.72
Max Daily Return
$6,534.75
Min Daily Return
-$19,002.75
Max EOD Drawdown
$24,618.00
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 61 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
123 orders generated by this run.