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
$34,672.00
Max Drawdown %
4.05%
Profit Factor
6.74
Win Rate
83.33%
Sharpe Ratio
0.99
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 | · | 3.1k | · | · | · | · | · | · | · | 3.2k | · | · | 6.3k |
| 2021 | 5.3k | · | · | 4.1k | · | · | · | 4.6k | · | · | · | · | 14k |
| 2022 | · | · | · | · | · | · | -4.9k | · | · | · | · | 2.3k | -2.6k |
| 2023 | · | · | 3.6k | · | · | · | 4.8k | · | · | · | · | 9.3k | 18k |
| 2024 | · | · | · | 262 | · | · | · | · | · | · | -1.2k | · | -906 |
Detailed Metrics
Sharpe Ratio
0.99
Sortino Ratio
3.05
Profit Factor
6.74
Avg Win / Avg Loss
1.35
Avg Winner
$4,071.75
Avg Loser
-$3,022.75
Expectancy
$2,889.33
Recovery Factor
7.11
Max Drawdown ($)
$4,877.75
Max Drawdown (%)
4.05%
Max DD ($) Trough
329d
Max DD ($) Recovery
569d
Max DD (%) Trough
329d
Max DD (%) Recovery
569d
Commission
$33.00
Winning / Losing
10 / 2
Total Orders
24
Configuration
Strategy
Squeeze Break
Contracts
NQ
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
5
Max Consecutive Losses
1
Avg Consecutive Wins
5.0
Avg Consecutive Losses
1.0
Median Consecutive Wins
5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
12
Profitable Days
10
Daily Win Rate
83.33%
Avg Daily Return
$2,889.33
Std Dev Daily
$3,412.02
Max Daily Return
$9,287.25
Min Daily Return
-$4,877.75
Max EOD Drawdown
$4,877.75
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.