Fractiz
Sample Run
Volume-confirmed Breakout
NQ 5m · 2024 · NQ
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$39,405.50
Max Drawdown %
7.23%
Profit Factor
1.46
Win Rate
49.44%
Sharpe Ratio
2.05
Total Trades
178
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 | 4.2k | 108 | 3.0k | -2.6k | 7.8k | -6.6k | 2.4k | 997 | 3.2k | 15k | 3.3k | 8.9k | 39k |
Detailed Metrics
Sharpe Ratio
2.05
Sortino Ratio
3.54
Profit Factor
1.46
Avg Win / Avg Loss
1.49
Avg Winner
$1,429.41
Avg Loser
-$959.81
Expectancy
$221.38
Recovery Factor
4.84
Max Drawdown ($)
$8,137.00
Max Drawdown (%)
7.23%
Max DD ($) Trough
62d
Max DD ($) Recovery
90d
Max DD (%) Trough
18d
Max DD (%) Recovery
48d
Commission
$489.50
Winning / Losing
88 / 90
Total Orders
356
Configuration
Strategy
Volume-confirmed Breakout
Contracts
NQ
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
5
Max Consecutive Losses
6
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.9
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
143
Profitable Days
75
Daily Win Rate
52.45%
Avg Daily Return
$275.56
Std Dev Daily
$1,575.80
Max Daily Return
$4,214.50
Min Daily Return
-$3,943.25
Max EOD Drawdown
$8,106.50
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
356 orders generated by this run.