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
$40,669.00
Max Drawdown %
23.99%
Profit Factor
1.57
Win Rate
64.71%
Sharpe Ratio
0.47
Total Trades
34
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 | · | · | -11k | 17k | 16k | 2.5k | 11k | · | -3.4k | -281 | 4.0k | · | 36k |
| 2021 | · | 4.9k | · | · | · | · | · | · | · | · | · | · | 4.9k |
| 2022 | · | · | -171 | · | -7.9k | 970 | · | · | -5.1k | 5.8k | · | · | -6.4k |
| 2024 | · | · | · | · | · | · | · | 5.9k | · | · | · | · | 5.9k |
Detailed Metrics
Sharpe Ratio
0.47
Sortino Ratio
0.70
Profit Factor
1.57
Avg Win / Avg Loss
0.85
Avg Winner
$5,113.16
Avg Loser
-$5,985.04
Expectancy
$1,196.15
Recovery Factor
1.70
Max Drawdown ($)
$23,993.00
Max Drawdown (%)
23.99%
Max DD ($) Trough
8d
Max DD ($) Recovery
35d
Max DD (%) Trough
8d
Max DD (%) Recovery
35d
Commission
$93.50
Winning / Losing
22 / 12
Total Orders
68
Configuration
Strategy
VIX Spike Fade
Contracts
ES, VX
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Spike mode
Absolute VIX level
Absolute VIX threshold
30
Relative threshold (% above rolling mean)
30
Lookback (days, relative mode)
20
Hold (daily bars)
5
ES contracts per trade
1
Streaks
Max Consecutive Wins
9
Max Consecutive Losses
2
Avg Consecutive Wins
2.8
Avg Consecutive Losses
1.5
Median Consecutive Wins
2
Median Consecutive Losses
1.5
Daily Performance
Tradeable Days
1,295
Days Traded
34
Profitable Days
22
Daily Win Rate
64.71%
Avg Daily Return
$1,196.15
Std Dev Daily
$6,484.37
Max Daily Return
$13,409.75
Min Daily Return
-$16,615.25
Max EOD Drawdown
$23,993.00
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 34 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
68 orders generated by this run.
Other sample runs for this strategy