Fractiz
Sample Run
Volume-confirmed Breakout
RTY 5m · 2024 · RTY
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$306.00
Max Drawdown %
4.49%
Profit Factor
1.01
Win Rate
45.34%
Sharpe Ratio
0.05
Total Trades
236
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 | 1.6k | -823 | -162 | -1.9k | 3.1k | 1.7k | -2.6k | 150 | 1.0k | -741 | 768 | -1.8k | 306 |
Detailed Metrics
Sharpe Ratio
0.05
Sortino Ratio
0.07
Profit Factor
1.01
Avg Win / Avg Loss
1.21
Avg Winner
$375.33
Avg Loser
-$308.95
Expectancy
$1.30
Recovery Factor
0.07
Max Drawdown ($)
$4,677.25
Max Drawdown (%)
4.49%
Max DD ($) Trough
36d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
36d
Max DD (%) Recovery
Not yet recovered
Commission
$649.00
Winning / Losing
107 / 129
Total Orders
472
Configuration
Strategy
Volume-confirmed Breakout
Contracts
RTY
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
7
Max Consecutive Losses
11
Avg Consecutive Wins
2.1
Avg Consecutive Losses
2.5
Median Consecutive Wins
2
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
171
Profitable Days
83
Daily Win Rate
48.54%
Avg Daily Return
$1.79
Std Dev Daily
$455.77
Max Daily Return
$1,304.50
Min Daily Return
-$1,198.25
Max EOD Drawdown
$4,677.25
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
472 orders generated by this run.