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
$50,351.50
Max Drawdown %
21.57%
Profit Factor
1.48
Win Rate
64.71%
Sharpe Ratio
0.39
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 | · | · | -7.9k | 23k | 19k | 7.0k | 18k | · | -6.1k | -426 | 1.3k | · | 53k |
| 2021 | · | 7.3k | · | · | · | · | · | · | · | · | · | · | 7.3k |
| 2022 | · | · | -5.9k | · | -16k | 3.7k | · | · | -6.1k | 4.6k | · | · | -19k |
| 2024 | · | · | · | · | · | · | · | 9.2k | · | · | · | · | 9.2k |
Detailed Metrics
Sharpe Ratio
0.39
Sortino Ratio
0.60
Profit Factor
1.48
Avg Win / Avg Loss
0.81
Avg Winner
$7,030.66
Avg Loser
-$8,693.58
Expectancy
$1,480.93
Recovery Factor
1.55
Max Drawdown ($)
$32,482.50
Max Drawdown (%)
21.57%
Max DD ($) Trough
616d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
8d
Max DD (%) Recovery
35d
Commission
$93.50
Winning / Losing
22 / 12
Total Orders
68
Configuration
Strategy
VIX Spike Fade
Contracts
NQ, 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
3.1
Avg Consecutive Losses
1.7
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
1,293
Days Traded
34
Profitable Days
22
Daily Win Rate
64.71%
Avg Daily Return
$1,480.93
Std Dev Daily
$9,581.16
Max Daily Return
$24,182.25
Min Daily Return
-$20,202.75
Max EOD Drawdown
$32,482.50
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