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
$52,596.00
Max Drawdown %
17.78%
Profit Factor
2.09
Win Rate
62.50%
Sharpe Ratio
0.41
Total Trades
16
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 | · | · | · | · | · | · | -7.7k | · | · | · | · | · | -7.7k |
| 2021 | · | · | · | · | · | · | · | · | · | · | 47k | 6.5k | 54k |
| 2022 | 8.6k | 6.0k | -7.2k | · | · | · | · | · | · | · | · | 4.3k | 12k |
| 2023 | · | · | · | 5.7k | 3.7k | 5.7k | -578 | · | · | · | -2.2k | · | 12k |
| 2024 | -18k | · | · | · | 2.6k | · | -13k | · | · | · | · | 10k | -17k |
Detailed Metrics
Sharpe Ratio
0.41
Sortino Ratio
0.95
Profit Factor
2.09
Avg Win / Avg Loss
1.25
Avg Winner
$10,081.25
Avg Loser
-$8,036.08
Expectancy
$3,287.25
Recovery Factor
1.71
Max Drawdown ($)
$30,728.75
Max Drawdown (%)
17.78%
Max DD ($) Trough
412d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
412d
Max DD (%) Recovery
Not yet recovered
Commission
$44.00
Winning / Losing
10 / 6
Total Orders
32
Configuration
Strategy
Time-Series Momentum
Contracts
YM
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
3
Avg Consecutive Wins
2.5
Avg Consecutive Losses
1.5
Median Consecutive Wins
2.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
16
Profitable Days
10
Daily Win Rate
62.50%
Avg Daily Return
$3,287.25
Std Dev Daily
$13,731.74
Max Daily Return
$47,187.25
Min Daily Return
-$17,892.75
Max EOD Drawdown
$30,728.75
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 16 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
32 orders generated by this run.