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
$13,803.75
Max Drawdown %
31.13%
Profit Factor
1.03
Win Rate
50.36%
Sharpe Ratio
0.17
Total Trades
1,783
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 | -6.4k | -79 | 1.7k | 17k | 4.7k | 2.1k | 5.9k | -1.4k | 5.6k | -421 | 5.3k | 174 | 34k |
| 2021 | 6.3k | 2.4k | 1.5k | -705 | -412 | -3.3k | -1.4k | 637 | 4.4k | -2.3k | 6.9k | -3.0k | 11k |
| 2022 | -140 | 1.3k | 4.5k | -3.1k | -2.1k | -12k | -639 | 777 | -8.4k | 8.3k | 5.1k | -3.0k | -9.0k |
| 2023 | -1.5k | -909 | -4.3k | 4.2k | -505 | -4.0k | 6.6k | 7.4k | -1.3k | 4.2k | -2.2k | -1.9k | 5.7k |
| 2024 | 1.7k | -3.7k | -3.5k | -3.1k | -1.9k | -9.6k | -9.4k | -596 | -1.1k | -1.3k | 2.6k | 2.1k | -28k |
Detailed Metrics
Sharpe Ratio
0.17
Sortino Ratio
0.24
Profit Factor
1.03
Avg Win / Avg Loss
1.01
Avg Winner
$590.17
Avg Loser
-$583.24
Expectancy
$7.74
Recovery Factor
0.29
Max Drawdown ($)
$47,606.25
Max Drawdown (%)
31.13%
Max DD ($) Trough
945d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
945d
Max DD (%) Recovery
Not yet recovered
Commission
$6,686.25
Winning / Losing
898 / 885
Total Orders
3,567
Configuration
Strategy
Three-Bar Reversal
Contracts
GC
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
12
Max Consecutive Losses
11
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.0
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
1,105
Profitable Days
559
Daily Win Rate
50.59%
Avg Daily Return
$12.49
Std Dev Daily
$1,087.00
Max Daily Return
$5,348.75
Min Daily Return
-$5,347.50
Max EOD Drawdown
$46,243.75
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
3,567 orders generated by this run.