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
$8,662.75
Max Drawdown %
8.72%
Profit Factor
1.75
Win Rate
66.67%
Sharpe Ratio
0.29
Total Trades
9
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 | · | · | · | · | · | · | 1.3k | · | · | · | · | · | 1.3k |
| 2021 | -1.3k | · | · | 3.4k | · | · | · | · | · | · | · | -9.0k | -6.9k |
| 2022 | · | · | 2.8k | · | · | · | · | · | · | · | · | -1.3k | 1.5k |
| 2024 | 1.5k | · | · | 4.9k | · | 6.3k | · | · | · | · | · | · | 13k |
Detailed Metrics
Sharpe Ratio
0.29
Sortino Ratio
0.42
Profit Factor
1.75
Avg Win / Avg Loss
0.87
Avg Winner
$3,374.33
Avg Loser
-$3,861.08
Expectancy
$962.53
Recovery Factor
0.96
Max Drawdown ($)
$9,015.25
Max Drawdown (%)
8.72%
Max DD ($) Trough
243d
Max DD ($) Recovery
1167d
Max DD (%) Trough
243d
Max DD (%) Recovery
1167d
Commission
$24.75
Winning / Losing
6 / 3
Total Orders
18
Configuration
Strategy
Squeeze Break
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Bollinger period
20
Bollinger std dev
2
Keltner period
20
Keltner ATR multiplier
1.5
Min squeeze bars
3
Side
Both sides
Hold bars after entry
5
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
1
Avg Consecutive Wins
1.5
Avg Consecutive Losses
1.0
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
9
Profitable Days
6
Daily Win Rate
66.67%
Avg Daily Return
$962.53
Std Dev Daily
$4,257.95
Max Daily Return
$6,284.75
Min Daily Return
-$9,015.25
Max EOD Drawdown
$9,015.25
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 9 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
18 orders generated by this run.