Fractiz
Sample Run
Volume-confirmed Breakout
YM 5m · 2024 · YM
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$412.25
Max Drawdown %
7.48%
Profit Factor
1.01
Win Rate
42.32%
Sharpe Ratio
0.04
Total Trades
241
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 | 1.3k | -1.5k | -705 | 1.6k | 2.9k | -4.0k | -126 | 353 | 1.8k | 444 | -1.2k | -357 | 412 |
Detailed Metrics
Sharpe Ratio
0.04
Sortino Ratio
0.07
Profit Factor
1.01
Avg Win / Avg Loss
1.37
Avg Winner
$579.55
Avg Loser
-$422.32
Expectancy
$1.71
Recovery Factor
0.05
Max Drawdown ($)
$7,860.25
Max Drawdown (%)
7.48%
Max DD ($) Trough
41d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
41d
Max DD (%) Recovery
Not yet recovered
Commission
$662.75
Winning / Losing
102 / 139
Total Orders
482
Configuration
Strategy
Volume-confirmed Breakout
Contracts
YM
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
4
Max Consecutive Losses
10
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
180
Profitable Days
82
Daily Win Rate
45.56%
Avg Daily Return
$2.29
Std Dev Daily
$690.37
Max Daily Return
$1,769.50
Min Daily Return
-$1,460.50
Max EOD Drawdown
$7,727.50
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
482 orders generated by this run.