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
$92,926.50
Max Drawdown %
20.29%
Profit Factor
1.88
Win Rate
66.67%
Sharpe Ratio
0.84
Total Trades
54
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 | 5.7k | · | 10k | · | · | · | 8.0k | · | -1.7k | · | -9.0k | · | 13k |
| 2021 | · | · | -5.4k | · | 7.2k | 4.6k | 3.3k | 5.1k | -5.3k | 2.4k | 4.2k | · | 16k |
| 2022 | -15k | 4.7k | 17k | · | -7.1k | -14k | · | -1.6k | -4.5k | 1.6k | 23k | 2.6k | 6.0k |
| 2023 | -1.5k | · | 13k | 7.9k | · | 13k | · | -9.7k | 3.7k | -11k | · | · | 15k |
| 2024 | 6.3k | · | · | 5.7k | · | 8.5k | -8.9k | 10k | 6.5k | · | 13k | · | 42k |
Detailed Metrics
Sharpe Ratio
0.84
Sortino Ratio
1.29
Profit Factor
1.88
Avg Win / Avg Loss
0.94
Avg Winner
$5,530.86
Avg Loser
-$5,899.14
Expectancy
$1,720.86
Recovery Factor
3.37
Max Drawdown ($)
$27,591.50
Max Drawdown (%)
20.29%
Max DD ($) Trough
197d
Max DD ($) Recovery
353d
Max DD (%) Trough
197d
Max DD (%) Recovery
353d
Commission
$148.50
Winning / Losing
36 / 18
Total Orders
109
Configuration
Strategy
RSI Mean Reversion
Contracts
NQ
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
6
Max Consecutive Losses
4
Avg Consecutive Wins
3.0
Avg Consecutive Losses
1.6
Median Consecutive Wins
3
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
54
Profitable Days
36
Daily Win Rate
66.67%
Avg Daily Return
$1,720.86
Std Dev Daily
$6,394.18
Max Daily Return
$11,137.25
Min Daily Return
-$16,172.75
Max EOD Drawdown
$27,591.50
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 54 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
109 orders generated by this run.