Fractiz
Sample Run
VWAP Pullback Continuation
NQ 5m · 2024 · NQ
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$31,906.25
Max Drawdown %
13.56%
Profit Factor
1.11
Win Rate
49.20%
Sharpe Ratio
1.02
Total Trades
565
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 | 4.5k | 5.1k | 2.2k | 6.3k | -3.6k | 9.0k | 8.8k | 9.4k | -11k | 4.4k | -4.3k | 1.4k | 32k |
Detailed Metrics
Sharpe Ratio
1.02
Sortino Ratio
1.52
Profit Factor
1.11
Avg Win / Avg Loss
1.15
Avg Winner
$1,123.76
Avg Loser
-$977.35
Expectancy
$56.47
Recovery Factor
1.61
Max Drawdown ($)
$19,822.50
Max Drawdown (%)
13.56%
Max DD ($) Trough
124d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
124d
Max DD (%) Recovery
Not yet recovered
Commission
$1,553.75
Winning / Losing
278 / 287
Total Orders
1,130
Configuration
Strategy
VWAP Pullback Continuation
Contracts
NQ
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
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
242
Profitable Days
129
Daily Win Rate
53.31%
Avg Daily Return
$131.84
Std Dev Daily
$1,983.21
Max Daily Return
$6,161.25
Min Daily Return
-$6,021.00
Max EOD Drawdown
$18,417.75
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 120 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
1,130 orders generated by this run.
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