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
$21,853.50
Max Drawdown %
40.04%
Profit Factor
1.02
Win Rate
49.68%
Sharpe Ratio
0.12
Total Trades
1,886
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 | 4.5k | -13k | -11k | 2.4k | 3.0k | 3.7k | 16k | 3.6k | 7.3k | 11k | -9.7k | 5.9k | 24k |
| 2021 | 5.4k | 8.9k | 2.1k | -686 | -2.2k | -5.1k | 17k | -2.4k | -18k | -4.2k | 336 | -15k | -14k |
| 2022 | 23k | -40k | 7.7k | -1.8k | 18k | -18k | 4.8k | -6.3k | 19k | -6.3k | -18k | 15k | -3.1k |
| 2023 | 4.8k | -3.0k | 19k | 1.9k | 1.6k | -19k | 7.8k | 16k | -12k | -2.4k | -1.3k | -4.8k | 8.4k |
| 2024 | -8.3k | 1.0k | 2.2k | -8.8k | 15k | 9.5k | -7.0k | -12k | 4.5k | -7.3k | 19k | -2.1k | 5.9k |
Detailed Metrics
Sharpe Ratio
0.12
Sortino Ratio
0.17
Profit Factor
1.02
Avg Win / Avg Loss
1.03
Avg Winner
$1,284.77
Avg Loser
-$1,245.50
Expectancy
$11.59
Recovery Factor
0.36
Max Drawdown ($)
$60,847.50
Max Drawdown (%)
40.04%
Max DD ($) Trough
465d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
465d
Max DD (%) Recovery
Not yet recovered
Commission
$5,186.50
Winning / Losing
937 / 949
Total Orders
3,772
Configuration
Strategy
Three-Bar Reversal
Contracts
NQ
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
9
Max Consecutive Losses
8
Avg Consecutive Wins
1.9
Avg Consecutive Losses
2.0
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
1,132
Profitable Days
571
Daily Win Rate
50.44%
Avg Daily Return
$19.31
Std Dev Daily
$2,363.33
Max Daily Return
$10,634.00
Min Daily Return
-$14,593.25
Max EOD Drawdown
$60,493.00
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
3,772 orders generated by this run.