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
-$247.25
Max Drawdown %
10.23%
Profit Factor
1.00
Win Rate
48.10%
Sharpe Ratio
-0.02
Total Trades
79
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 | -3.1k | 2.5k | -1.0k | -6.2k | 54 | -599 | 8.0k | 781 | -353 | 2.3k | -709 | -1.8k | -247 |
Detailed Metrics
Sharpe Ratio
-0.02
Sortino Ratio
-0.02
Profit Factor
1.00
Avg Win / Avg Loss
1.07
Avg Winner
$1,519.88
Avg Loser
-$1,414.70
Expectancy
-$3.13
Recovery Factor
-0.02
Max Drawdown ($)
$10,232.75
Max Drawdown (%)
10.23%
Max DD ($) Trough
113d
Max DD ($) Recovery
218d
Max DD (%) Trough
113d
Max DD (%) Recovery
218d
Commission
$217.25
Winning / Losing
38 / 41
Total Orders
158
Configuration
Strategy
VWAP Mean Reversion
Contracts
NQ
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
4
Max Consecutive Losses
4
Avg Consecutive Wins
1.6
Avg Consecutive Losses
1.6
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
52
Profitable Days
30
Daily Win Rate
57.69%
Avg Daily Return
-$4.75
Std Dev Daily
$1,961.20
Max Daily Return
$4,117.25
Min Daily Return
-$6,968.75
Max EOD Drawdown
$8,988.00
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 52 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
158 orders generated by this run.
Other sample runs for this strategy