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
$7,978.75
Max Drawdown %
4.43%
Profit Factor
2.01
Win Rate
62.86%
Sharpe Ratio
1.66
Total Trades
35
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 | -143 | 477 | -488 | 1.2k | 245 | 660 | 3.8k | 4.1k | -851 | · | -981 | -107 | 8.0k |
Detailed Metrics
Sharpe Ratio
1.66
Sortino Ratio
2.88
Profit Factor
2.01
Avg Win / Avg Loss
1.19
Avg Winner
$721.57
Avg Loser
-$607.37
Expectancy
$227.96
Recovery Factor
1.62
Max Drawdown ($)
$4,924.25
Max Drawdown (%)
4.43%
Max DD ($) Trough
101d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
101d
Max DD (%) Recovery
Not yet recovered
Commission
$96.25
Winning / Losing
22 / 13
Total Orders
70
Configuration
Strategy
VWAP Mean Reversion
Contracts
YM
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
9
Max Consecutive Losses
7
Avg Consecutive Wins
3.1
Avg Consecutive Losses
1.9
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
26
Profitable Days
18
Daily Win Rate
69.23%
Avg Daily Return
$306.88
Std Dev Daily
$884.64
Max Daily Return
$1,916.75
Min Daily Return
-$2,008.25
Max EOD Drawdown
$4,044.75
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 26 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
70 orders generated by this run.
Other sample runs for this strategy