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
$52,084.00
Max Drawdown %
23.09%
Profit Factor
1.08
Win Rate
50.88%
Sharpe Ratio
0.47
Total Trades
1,824
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 | 805 | -12k | 7.6k | -7.8k | -4.2k | 271 | 3.9k | -898 | 5.4k | 9.8k | -4.2k | -502 | -1.7k |
| 2021 | 377 | -4.6k | -1.2k | 881 | 6.2k | -708 | 5.0k | 2.8k | -4.7k | -2.0k | 11k | -1.3k | 11k |
| 2022 | 27k | -9.8k | -4.6k | 504 | 68 | -6.1k | 7.9k | 4.6k | 11k | -2.8k | -5.1k | 2.9k | 25k |
| 2023 | 1.4k | 6.8k | -602 | 1.3k | -1.2k | 448 | -1.6k | 9.2k | -6.2k | -4.2k | 404 | -3.6k | 2.3k |
| 2024 | 451 | -4.2k | 2.8k | 3.2k | 6.4k | -49 | -420 | 5.6k | 1.3k | -628 | 6.6k | -5.9k | 15k |
Detailed Metrics
Sharpe Ratio
0.47
Sortino Ratio
0.67
Profit Factor
1.08
Avg Win / Avg Loss
1.04
Avg Winner
$767.83
Avg Loser
-$737.13
Expectancy
$28.55
Recovery Factor
1.94
Max Drawdown ($)
$26,802.50
Max Drawdown (%)
23.09%
Max DD ($) Trough
113d
Max DD ($) Recovery
210d
Max DD (%) Trough
158d
Max DD (%) Recovery
586d
Commission
$5,016.00
Winning / Losing
928 / 896
Total Orders
3,648
Configuration
Strategy
Three-Bar Reversal
Contracts
ES
Timeframe
1H
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Side
Both sides
Hold bars
5
Exit on opposite reversal
No (hold for full bar count)
Contracts per trade
1
Streaks
Max Consecutive Wins
11
Max Consecutive Losses
9
Avg Consecutive Wins
2.1
Avg Consecutive Losses
2.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,295
Days Traded
1,118
Profitable Days
581
Daily Win Rate
51.97%
Avg Daily Return
$46.59
Std Dev Daily
$1,450.95
Max Daily Return
$7,266.75
Min Daily Return
-$10,202.75
Max EOD Drawdown
$26,802.50
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
3,648 orders generated by this run.