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
-$2,059.00
Max Drawdown %
4.19%
Profit Factor
0.79
Win Rate
43.75%
Sharpe Ratio
-0.15
Total Trades
16
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | · | · | 197 | · | -3.8k | · | · | · | -388 | 1.4k | · | 207 | -2.4k |
| 2022 | · | · | -178 | · | 1.0k | · | · | · | · | · | · | -2.0k | -1.2k |
| 2023 | · | · | 1.4k | -218 | · | · | · | -263 | · | · | · | · | 922 |
| 2024 | · | 1.5k | -1.3k | · | · | · | · | · | 2.2k | -1.8k | · | · | 586 |
Detailed Metrics
Sharpe Ratio
-0.15
Sortino Ratio
-0.19
Profit Factor
0.79
Avg Win / Avg Loss
1.02
Avg Winner
$1,132.25
Avg Loser
-$1,109.42
Expectancy
-$128.69
Recovery Factor
-0.49
Max Drawdown ($)
$4,200.50
Max Drawdown (%)
4.19%
Max DD ($) Trough
184d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
184d
Max DD (%) Recovery
Not yet recovered
Commission
$44.00
Winning / Losing
7 / 9
Total Orders
32
Configuration
Strategy
Squeeze Break
Contracts
YM
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
2
Max Consecutive Losses
2
Avg Consecutive Wins
1.2
Avg Consecutive Losses
1.5
Median Consecutive Wins
1
Median Consecutive Losses
1.5
Daily Performance
Tradeable Days
1,293
Days Traded
16
Profitable Days
7
Daily Win Rate
43.75%
Avg Daily Return
-$128.69
Std Dev Daily
$1,490.05
Max Daily Return
$2,172.25
Min Daily Return
-$3,812.75
Max EOD Drawdown
$4,200.50
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 16 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
32 orders generated by this run.