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
-$28,221.75
Max Drawdown %
32.90%
Profit Factor
0.85
Win Rate
50.10%
Sharpe Ratio
-0.81
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 | 135 | 2.5k | 1.2k | 1.1k | -2.7k | -3.0k | -3.3k | -9.2k | -2.8k | -976 | 1.6k | 885 | -15k |
| 2024 | 422 | 4.1k | -6.5k | -2.5k | 2.3k | 1.2k | -7.7k | 3.8k | 4.1k | -913 | 3.6k | -15k | -14k |
Detailed Metrics
Sharpe Ratio
-0.81
Sortino Ratio
-1.01
Profit Factor
0.85
Avg Win / Avg Loss
0.85
Avg Winner
$663.05
Avg Loser
-$779.52
Expectancy
-$56.78
Recovery Factor
-0.80
Max Drawdown ($)
$35,201.50
Max Drawdown (%)
32.90%
Max DD ($) Trough
685d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
685d
Max DD (%) Recovery
Not yet recovered
Commission
$1,366.75
Winning / Losing
249 / 248
Total Orders
994
Configuration
Strategy
Time of Day
Contracts
NQ
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
2.0
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
517
Days Traded
497
Profitable Days
249
Daily Win Rate
50.10%
Avg Daily Return
-$56.78
Std Dev Daily
$1,086.29
Max Daily Return
$4,917.25
Min Daily Return
-$8,397.75
Max EOD Drawdown
$35,201.50
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
994 orders generated by this run.
Other sample runs for this strategy