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
$3,438.50
Max Drawdown %
5.36%
Profit Factor
1.20
Win Rate
52.78%
Sharpe Ratio
0.51
Total Trades
36
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 | -1.1k | 1.3k | -228 | -799 | 654 | 72 | 2.4k | 5.3k | -2.8k | · | 707 | -2.0k | 3.4k |
Detailed Metrics
Sharpe Ratio
0.51
Sortino Ratio
0.77
Profit Factor
1.20
Avg Win / Avg Loss
1.07
Avg Winner
$1,107.78
Avg Loser
-$1,035.84
Expectancy
$95.51
Recovery Factor
0.60
Max Drawdown ($)
$5,759.50
Max Drawdown (%)
5.36%
Max DD ($) Trough
132d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
132d
Max DD (%) Recovery
Not yet recovered
Commission
$99.00
Winning / Losing
19 / 17
Total Orders
72
Configuration
Strategy
VWAP Mean Reversion
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Entry distance from VWAP (%)
0.6
Stop distance from entry (%)
0.4
Maximum bars in trade
30
Direction
Short only
Contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
3
Avg Consecutive Wins
1.6
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
25
Profitable Days
15
Daily Win Rate
60.00%
Avg Daily Return
$137.54
Std Dev Daily
$1,331.74
Max Daily Return
$3,516.75
Min Daily Return
-$2,808.25
Max EOD Drawdown
$4,080.25
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 25 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
72 orders generated by this run.
Other sample runs for this strategy