Fractiz
Sample Run
VWAP Pullback Continuation
ES 5m · 2024 · ES
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$12,611.25
Max Drawdown %
14.47%
Profit Factor
1.08
Win Rate
49.09%
Sharpe Ratio
0.72
Total Trades
605
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 | 3.4k | -2.7k | -5.3k | -842 | -2.3k | 2.0k | 7.8k | 2.9k | -7.4k | 12k | 4.7k | -2.0k | 13k |
Detailed Metrics
Sharpe Ratio
0.72
Sortino Ratio
1.04
Profit Factor
1.08
Avg Win / Avg Loss
1.12
Avg Winner
$581.89
Avg Loser
-$520.16
Expectancy
$20.85
Recovery Factor
0.82
Max Drawdown ($)
$15,372.25
Max Drawdown (%)
14.47%
Max DD ($) Trough
117d
Max DD ($) Recovery
200d
Max DD (%) Trough
117d
Max DD (%) Recovery
200d
Commission
$1,663.75
Winning / Losing
297 / 308
Total Orders
1,210
Configuration
Strategy
VWAP Pullback Continuation
Contracts
ES
Timeframe
5m
Date Range
Jan 1, 2024 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Trend lookback (bars)
10
Pullback band around VWAP (%)
0.15
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
9
Max Consecutive Losses
9
Avg Consecutive Wins
2.0
Avg Consecutive Losses
2.0
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
255
Profitable Days
134
Daily Win Rate
52.55%
Avg Daily Return
$49.46
Std Dev Daily
$1,087.34
Max Daily Return
$3,407.00
Min Daily Return
-$3,286.00
Max EOD Drawdown
$15,362.50
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
1,210 orders generated by this run.
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