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
-$3,553.75
Max Drawdown %
35.51%
Profit Factor
0.99
Win Rate
50.99%
Sharpe Ratio
-0.05
Total Trades
1,865
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 | -2.3k | -12k | 1.9k | -7.6k | -1.5k | -5.8k | -2.6k | -1.1k | 10k | 285 | -2.4k | 1.7k | -22k |
| 2021 | 265 | -6.5k | 5.3k | -3.6k | 2.5k | 1.6k | 4.3k | 1.3k | -6.1k | -1.8k | 7.3k | -8.4k | -4.0k |
| 2022 | 9.6k | -4.4k | -3.4k | 939 | -3.7k | -8.3k | 9.1k | 5.5k | 303 | -1.3k | -3.7k | 2.1k | 2.8k |
| 2023 | 259 | 2.7k | -662 | 928 | 1.7k | 1.9k | -965 | 3.0k | 4.0k | 1.8k | 2.5k | -4.4k | 13k |
| 2024 | 1.4k | -1.5k | 5.6k | -2.0k | 4.7k | 358 | 1.1k | -939 | 1.5k | -531 | -2.0k | -1.2k | 6.4k |
Detailed Metrics
Sharpe Ratio
-0.05
Sortino Ratio
-0.06
Profit Factor
0.99
Avg Win / Avg Loss
0.95
Avg Winner
$508.55
Avg Loser
-$533.03
Expectancy
-$1.91
Recovery Factor
-0.10
Max Drawdown ($)
$35,984.00
Max Drawdown (%)
35.51%
Max DD ($) Trough
832d
Max DD ($) Recovery
1636d
Max DD (%) Trough
832d
Max DD (%) Recovery
1636d
Commission
$5,128.75
Winning / Losing
951 / 914
Total Orders
3,730
Configuration
Strategy
Three-Bar Reversal
Contracts
YM
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
2.1
Avg Consecutive Losses
2.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
1,137
Profitable Days
579
Daily Win Rate
50.92%
Avg Daily Return
-$3.13
Std Dev Daily
$1,010.26
Max Daily Return
$6,811.75
Min Daily Return
-$5,723.25
Max EOD Drawdown
$34,658.50
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
3,730 orders generated by this run.