Fractiz
Sample Run
VWAP Pullback Continuation
RTY 5m · 2024 · RTY
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$21,501.25
Max Drawdown %
4.32%
Profit Factor
1.29
Win Rate
50.10%
Sharpe Ratio
2.41
Total Trades
525
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 | -799 | 3.9k | 1.0k | 2.2k | 1.7k | 3.7k | 1.8k | -179 | -83 | 3.4k | 649 | 4.1k | 22k |
Detailed Metrics
Sharpe Ratio
2.41
Sortino Ratio
3.47
Profit Factor
1.29
Avg Win / Avg Loss
1.28
Avg Winner
$364.36
Avg Loser
-$283.69
Expectancy
$40.95
Recovery Factor
4.80
Max Drawdown ($)
$4,480.50
Max Drawdown (%)
4.32%
Max DD ($) Trough
10d
Max DD ($) Recovery
22d
Max DD (%) Trough
10d
Max DD (%) Recovery
22d
Commission
$1,443.75
Winning / Losing
263 / 262
Total Orders
1,050
Configuration
Strategy
VWAP Pullback Continuation
Contracts
RTY
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
8
Max Consecutive Losses
8
Avg Consecutive Wins
1.9
Avg Consecutive Losses
1.9
Median Consecutive Wins
2
Median Consecutive Losses
1
Daily Performance
Tradeable Days
259
Days Traded
238
Profitable Days
145
Daily Win Rate
60.92%
Avg Daily Return
$90.34
Std Dev Daily
$570.54
Max Daily Return
$1,924.50
Min Daily Return
-$2,881.00
Max EOD Drawdown
$4,398.25
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
1,050 orders generated by this run.
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