Fractiz
Sample Run
Volume-confirmed Breakout
ES 5m · 2024 · ES
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$9,807.50
Max Drawdown %
6.47%
Profit Factor
1.17
Win Rate
51.36%
Sharpe Ratio
0.93
Total Trades
220
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -838 | -5.6k | 1.9k | -977 | 7.4k | -3.1k | -197 | -350 | 1.3k | 4.6k | 3.1k | 2.6k | 9.8k |
Detailed Metrics
Sharpe Ratio
0.93
Sortino Ratio
1.53
Profit Factor
1.17
Avg Win / Avg Loss
1.11
Avg Winner
$588.51
Avg Loser
-$529.85
Expectancy
$44.58
Recovery Factor
1.52
Max Drawdown ($)
$6,469.75
Max Drawdown (%)
6.47%
Max DD ($) Trough
57d
Max DD ($) Recovery
141d
Max DD (%) Trough
57d
Max DD (%) Recovery
141d
Commission
$605.00
Winning / Losing
113 / 107
Total Orders
440
Configuration
Strategy
Volume-confirmed Breakout
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Range lookback (bars)
30
Volume multiplier vs prior bar
2.5
Take-profit distance (%)
0.5
Stop distance (%)
0.3
Maximum bars in trade
30
Direction
Both sides
Contracts per trade
1
Streaks
Max Consecutive Wins
8
Max Consecutive Losses
5
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.8
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
165
Profitable Days
85
Daily Win Rate
51.52%
Avg Daily Return
$59.44
Std Dev Daily
$805.98
Max Daily Return
$2,769.50
Min Daily Return
-$1,405.50
Max EOD Drawdown
$6,469.75
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
440 orders generated by this run.