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
-$6,451.75
Max Drawdown %
10.53%
Profit Factor
0.92
Win Rate
50.50%
Sharpe Ratio
-0.44
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 | 400 | 753 | 1.4k | 1.3k | 350 | -1.1k | -1.7k | -3.2k | -2.1k | -1.7k | 1.0k | 1.2k | -3.4k |
| 2024 | 1.0k | 2.1k | -685 | -821 | 1.1k | 178 | -3.1k | 2.8k | 2.0k | -508 | -52 | -7.0k | -3.0k |
Detailed Metrics
Sharpe Ratio
-0.44
Sortino Ratio
-0.56
Profit Factor
0.92
Avg Win / Avg Loss
0.90
Avg Winner
$298.92
Avg Loser
-$331.23
Expectancy
-$12.98
Recovery Factor
-0.59
Max Drawdown ($)
$10,993.25
Max Drawdown (%)
10.53%
Max DD ($) Trough
565d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
565d
Max DD (%) Recovery
Not yet recovered
Commission
$1,366.75
Winning / Losing
251 / 246
Total Orders
994
Configuration
Strategy
Time of Day
Contracts
YM
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
6
Max Consecutive Losses
8
Avg Consecutive Wins
2.1
Avg Consecutive Losses
2.1
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
517
Days Traded
497
Profitable Days
251
Daily Win Rate
50.50%
Avg Daily Return
-$12.98
Std Dev Daily
$455.47
Max Daily Return
$1,662.25
Min Daily Return
-$3,287.75
Max EOD Drawdown
$10,993.25
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