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
$174,201.50
Max Drawdown %
19.49%
Profit Factor
2.33
Win Rate
50.00%
Sharpe Ratio
0.55
Total Trades
14
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 | · | · | · | · | · | -12k | · | · | · | · | · | · | -12k |
| 2021 | · | · | · | · | · | 79k | -17k | · | · | · | 30k | 6.4k | 99k |
| 2022 | · | · | -36k | · | · | · | · | · | 53k | -4.1k | · | · | 12k |
| 2023 | · | -20k | · | · | · | · | · | · | · | · | 57k | -14k | 23k |
| 2024 | · | · | · | · | 54k | -28k | · | · | · | · | · | 25k | 52k |
Detailed Metrics
Sharpe Ratio
0.55
Sortino Ratio
1.38
Profit Factor
2.33
Avg Win / Avg Loss
2.33
Avg Winner
$43,530.82
Avg Loser
-$18,644.89
Expectancy
$12,442.96
Recovery Factor
4.78
Max Drawdown ($)
$36,467.75
Max Drawdown (%)
19.49%
Max DD ($) Trough
90d
Max DD ($) Recovery
293d
Max DD (%) Trough
90d
Max DD (%) Recovery
293d
Commission
$38.50
Winning / Losing
7 / 7
Total Orders
28
Configuration
Strategy
Time-Series Momentum
Contracts
NQ
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
2
Max Consecutive Losses
2
Avg Consecutive Wins
1.2
Avg Consecutive Losses
1.2
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
14
Profitable Days
7
Daily Win Rate
50.00%
Avg Daily Return
$12,442.96
Std Dev Daily
$35,608.77
Max Daily Return
$79,362.25
Min Daily Return
-$36,467.75
Max EOD Drawdown
$36,467.75
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 14 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
28 orders generated by this run.