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
-$9,766.75
Max Drawdown %
14.75%
Profit Factor
0.92
Win Rate
50.50%
Sharpe Ratio
-0.46
Total Trades
497
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 33 | 1.2k | 1.2k | 1.8k | -1.3k | -1.3k | -2.0k | -5.2k | -2.3k | -1.0k | 858 | 1.1k | -7.0k |
| 2024 | 567 | 2.5k | -1.3k | -1.9k | 1.9k | 1.1k | -4.1k | 3.5k | 3.5k | -426 | 798 | -8.9k | -2.7k |
Detailed Metrics
Sharpe Ratio
-0.46
Sortino Ratio
-0.58
Profit Factor
0.92
Avg Win / Avg Loss
0.90
Avg Winner
$421.65
Avg Loser
-$469.92
Expectancy
-$19.65
Recovery Factor
-0.64
Max Drawdown ($)
$15,370.75
Max Drawdown (%)
14.75%
Max DD ($) Trough
371d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
371d
Max DD (%) Recovery
Not yet recovered
Commission
$1,366.75
Winning / Losing
251 / 246
Total Orders
994
Configuration
Strategy
Time of Day
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2023 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Entry minute (from RTH open)
330
Exit minute (from RTH open)
390
Direction
Long
Contracts per trade
1
Streaks
Max Consecutive Wins
9
Max Consecutive Losses
8
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.9
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
518
Days Traded
497
Profitable Days
251
Daily Win Rate
50.50%
Avg Daily Return
-$19.65
Std Dev Daily
$663.62
Max Daily Return
$2,984.75
Min Daily Return
-$5,190.25
Max EOD Drawdown
$15,370.75
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
994 orders generated by this run.
Other sample runs for this strategy