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
$9,860.00
Max Drawdown %
27.57%
Profit Factor
1.14
Win Rate
54.17%
Sharpe Ratio
0.16
Total Trades
48
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 | · | · | 2.6k | 4.3k | 3.4k | 1.7k | · | 7.2k | -1.5k | · | 1.9k | -4.6k | 15k |
| 2021 | 2.3k | 6.0k | -5.7k | 4.4k | · | · | -7.6k | 1.6k | 5.2k | · | · | -2.0k | 4.3k |
| 2022 | · | 756 | -1.1k | · | -9.2k | 3.2k | -9.1k | -534 | -1.1k | -1.3k | 1.5k | · | -17k |
| 2023 | · | -4.4k | · | · | -1.5k | -2.0k | 5.6k | -2.1k | -594 | -7.2k | -814 | 4.5k | -8.6k |
| 2024 | 426 | -824 | · | · | 6.0k | · | 3.5k | 3.5k | · | 3.3k | -5.2k | 5.3k | 16k |
Detailed Metrics
Sharpe Ratio
0.16
Sortino Ratio
0.21
Profit Factor
1.14
Avg Win / Avg Loss
0.96
Avg Winner
$3,124.71
Avg Loser
-$3,244.66
Expectancy
$205.42
Recovery Factor
0.29
Max Drawdown ($)
$34,017.50
Max Drawdown (%)
27.57%
Max DD ($) Trough
995d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
995d
Max DD (%) Recovery
Not yet recovered
Commission
$180.00
Winning / Losing
26 / 22
Total Orders
96
Configuration
Strategy
RSI Mean Reversion
Contracts
GC
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
5
Max Consecutive Losses
5
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.8
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
48
Profitable Days
26
Daily Win Rate
54.17%
Avg Daily Return
$205.42
Std Dev Daily
$3,946.50
Max Daily Return
$7,206.25
Min Daily Return
-$9,163.75
Max EOD Drawdown
$34,017.50
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 48 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
96 orders generated by this run.