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
$170,642.00
Max Drawdown %
8.47%
Profit Factor
4.43
Win Rate
58.33%
Sharpe Ratio
0.68
Total Trades
12
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 | · | · | · | · | · | -2.8k | · | · | · | · | · | · | -2.8k |
| 2021 | · | · | · | · | · | · | · | · | · | · | 80k | 20k | 100k |
| 2022 | 14k | · | -9.2k | · | · | · | · | · | 26k | -5.9k | · | · | 25k |
| 2023 | -13k | · | · | · | · | · | · | · | · | · | 22k | · | 8.2k |
| 2024 | -18k | · | · | · | · | · | · | · | · | · | · | 59k | 41k |
Detailed Metrics
Sharpe Ratio
0.68
Sortino Ratio
2.96
Profit Factor
4.43
Avg Win / Avg Loss
3.17
Avg Winner
$31,477.61
Avg Loser
-$9,940.25
Expectancy
$14,220.17
Recovery Factor
8.86
Max Drawdown ($)
$19,268.00
Max Drawdown (%)
8.47%
Max DD ($) Trough
119d
Max DD ($) Recovery
409d
Max DD (%) Trough
119d
Max DD (%) Recovery
409d
Commission
$33.00
Winning / Losing
7 / 5
Total Orders
24
Configuration
Strategy
Time-Series Momentum
Contracts
ES
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Lookback (trading days)
63
Skip recent (trading days)
21
Rebalance every (trading days)
21
Side
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
2
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,295
Days Traded
12
Profitable Days
7
Daily Win Rate
58.33%
Avg Daily Return
$14,220.17
Std Dev Daily
$28,446.08
Max Daily Return
$80,247.25
Min Daily Return
-$18,477.75
Max EOD Drawdown
$19,268.00
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 12 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
24 orders generated by this run.