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
$31,286.50
Max Drawdown %
24.14%
Profit Factor
1.57
Win Rate
67.65%
Sharpe Ratio
0.43
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 | · | · | -9.8k | 11k | 13k | 1.9k | 7.4k | · | -1.6k | -1.8k | 4.6k | · | 25k |
| 2021 | · | 2.6k | · | · | · | · | · | · | · | · | · | · | 2.6k |
| 2022 | · | · | 867 | · | -4.1k | 270 | · | · | -4.1k | 8.4k | · | · | 1.3k |
| 2024 | · | · | · | · | · | · | · | 2.4k | · | · | · | · | 2.4k |
Detailed Metrics
Sharpe Ratio
0.43
Sortino Ratio
0.63
Profit Factor
1.57
Avg Win / Avg Loss
0.75
Avg Winner
$3,743.34
Avg Loser
-$4,982.75
Expectancy
$920.19
Recovery Factor
1.30
Max Drawdown ($)
$24,135.50
Max Drawdown (%)
24.14%
Max DD ($) Trough
8d
Max DD ($) Recovery
51d
Max DD (%) Trough
8d
Max DD (%) Recovery
51d
Commission
$93.50
Winning / Losing
23 / 11
Total Orders
68
Configuration
Strategy
VIX Spike Fade
Contracts
YM, 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
2.9
Avg Consecutive Losses
1.4
Median Consecutive Wins
2.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
34
Profitable Days
23
Daily Win Rate
67.65%
Avg Daily Return
$920.19
Std Dev Daily
$5,413.12
Max Daily Return
$14,292.25
Min Daily Return
-$17,417.75
Max EOD Drawdown
$24,135.50
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