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
-$2,020.75
Max Drawdown %
25.69%
Profit Factor
0.97
Win Rate
66.04%
Sharpe Ratio
-0.03
Total Trades
53
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 | · | 332 | -26k | · | · | 5.5k | · | 1.1k | 2.5k | 447 | -3.7k | · | -20k |
| 2021 | 2.2k | 2.1k | · | · | 4.4k | -918 | 4.1k | 2.3k | -1.1k | · | 2.0k | 6.2k | 21k |
| 2022 | -6.9k | 637 | 3.4k | · | 402 | -8.9k | 2.8k | · | -6.5k | 602 | · | 5.6k | -8.9k |
| 2023 | 1.8k | · | -1.3k | 1.5k | 3.4k | 392 | 1.7k | 115 | 2.7k | -3.5k | -868 | · | 5.9k |
| 2024 | 3.4k | · | 2.9k | -6.5k | -1.6k | 3.0k | · | -13 | 1.2k | · | 880 | -4.2k | -835 |
Detailed Metrics
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Profit Factor
0.97
Avg Win / Avg Loss
0.50
Avg Winner
$2,082.11
Avg Loser
-$4,160.81
Expectancy
-$38.13
Recovery Factor
-0.08
Max Drawdown ($)
$25,770.50
Max Drawdown (%)
25.69%
Max DD ($) Trough
48d
Max DD ($) Recovery
687d
Max DD (%) Trough
48d
Max DD (%) Recovery
687d
Commission
$145.75
Winning / Losing
35 / 18
Total Orders
106
Configuration
Strategy
RSI Mean Reversion
Contracts
YM
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
2
Avg Consecutive Wins
2.5
Avg Consecutive Losses
1.3
Median Consecutive Wins
2.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
53
Profitable Days
35
Daily Win Rate
66.04%
Avg Daily Return
-$38.13
Std Dev Daily
$3,963.26
Max Daily Return
$5,547.25
Min Daily Return
-$16,792.75
Max EOD Drawdown
$25,770.50
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 53 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
106 orders generated by this run.