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
$53,411.25
Max Drawdown %
22.82%
Profit Factor
2.31
Win Rate
61.54%
Sharpe Ratio
0.36
Total Trades
13
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 | · | · | · | · | · | · | · | · | · | · | · | 14k | 14k |
| 2021 | · | · | · | · | · | -1.1k | · | · | -8.9k | · | · | 696 | -9.3k |
| 2022 | 2.7k | 796 | 13k | · | · | -12k | · | · | · | · | · | · | 5.1k |
| 2023 | -11k | · | · | · | · | · | 3.1k | · | · | · | · | -8.7k | -16k |
| 2024 | · | · | · | · | · | · | · | · | · | · | · | 59k | 59k |
Detailed Metrics
Sharpe Ratio
0.36
Sortino Ratio
1.18
Profit Factor
2.31
Avg Win / Avg Loss
1.44
Avg Winner
$11,790.00
Avg Loser
-$8,181.75
Expectancy
$4,108.56
Recovery Factor
1.92
Max Drawdown ($)
$27,815.00
Max Drawdown (%)
22.82%
Max DD ($) Trough
617d
Max DD ($) Recovery
1007d
Max DD (%) Trough
617d
Max DD (%) Recovery
1007d
Commission
$48.75
Winning / Losing
8 / 5
Total Orders
26
Configuration
Strategy
Time-Series Momentum
Contracts
GC
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
5
Max Consecutive Losses
2
Avg Consecutive Wins
2.0
Avg Consecutive Losses
1.7
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,291
Days Traded
13
Profitable Days
8
Daily Win Rate
61.54%
Avg Daily Return
$4,108.56
Std Dev Daily
$17,771.20
Max Daily Return
$59,356.25
Min Daily Return
-$11,593.75
Max EOD Drawdown
$27,815.00
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 13 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
26 orders generated by this run.