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
$150.75
Max Drawdown %
3.38%
Profit Factor
1.00
Win Rate
41.50%
Sharpe Ratio
0.03
Total Trades
147
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 | -426 | -206 | -282 | 1.6k | -73 | -869 | 2.9k | -2.0k | 2.1k | 14 | -1.8k | -920 | 151 |
Detailed Metrics
Sharpe Ratio
0.03
Sortino Ratio
0.04
Profit Factor
1.00
Avg Win / Avg Loss
1.42
Avg Winner
$528.81
Avg Loser
-$373.33
Expectancy
$1.03
Recovery Factor
0.04
Max Drawdown ($)
$3,468.00
Max Drawdown (%)
3.38%
Max DD ($) Trough
42d
Max DD ($) Recovery
57d
Max DD (%) Trough
42d
Max DD (%) Recovery
57d
Commission
$404.25
Winning / Losing
61 / 86
Total Orders
294
Configuration
Strategy
VWAP Mean Reversion
Contracts
RTY
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
5
Max Consecutive Losses
5
Avg Consecutive Wins
1.5
Avg Consecutive Losses
2.2
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
74
Profitable Days
38
Daily Win Rate
51.35%
Avg Daily Return
$2.04
Std Dev Daily
$647.58
Max Daily Return
$1,626.75
Min Daily Return
-$1,746.50
Max EOD Drawdown
$2,965.75
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 74 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
294 orders generated by this run.
Other sample runs for this strategy