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
$6,585.00
Max Drawdown %
10.39%
Profit Factor
1.39
Win Rate
58.33%
Sharpe Ratio
0.20
Total Trades
12
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 | · | · | · | -34 | · | · | -1.8k | · | -8.0k | · | -4.2k |
| 2021 | · | · | · | 516 | · | 3.3k | · | -5.0k | · | · | 4.1k | · | 3.0k |
| 2022 | · | · | · | 286 | · | · | · | · | · | · | 5.9k | · | 6.2k |
| 2024 | -2.2k | · | · | · | · | · | · | · | 3.7k | · | · | · | 1.6k |
Detailed Metrics
Sharpe Ratio
0.20
Sortino Ratio
0.30
Profit Factor
1.39
Avg Win / Avg Loss
0.99
Avg Winner
$3,367.68
Avg Loser
-$3,397.75
Expectancy
$548.75
Recovery Factor
0.60
Max Drawdown ($)
$10,982.50
Max Drawdown (%)
10.39%
Max DD ($) Trough
535d
Max DD ($) Recovery
1669d
Max DD (%) Trough
535d
Max DD (%) Recovery
1669d
Commission
$45.00
Winning / Losing
7 / 5
Total Orders
24
Configuration
Strategy
Squeeze Break
Contracts
GC
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
3
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.7
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
12
Profitable Days
7
Daily Win Rate
58.33%
Avg Daily Return
$548.75
Std Dev Daily
$4,112.42
Max Daily Return
$5,946.25
Min Daily Return
-$8,023.75
Max EOD Drawdown
$10,982.50
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 12 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
24 orders generated by this run.