Fractiz
Sample Run
VWAP Pullback Continuation
YM 5m · 2024 · YM
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$1,181.75
Max Drawdown %
9.43%
Profit Factor
1.01
Win Rate
45.80%
Sharpe Ratio
0.09
Total Trades
583
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 | -6.8k | 1.0k | 1.2k | 1.4k | 2.7k | -172 | -3.8k | 1.4k | -1.8k | 3.9k | 3.4k | -1.4k | 1.2k |
Detailed Metrics
Sharpe Ratio
0.09
Sortino Ratio
0.14
Profit Factor
1.01
Avg Win / Avg Loss
1.20
Avg Winner
$441.86
Avg Loser
-$369.60
Expectancy
$2.03
Recovery Factor
0.12
Max Drawdown ($)
$9,477.00
Max Drawdown (%)
9.43%
Max DD ($) Trough
27d
Max DD ($) Recovery
152d
Max DD (%) Trough
27d
Max DD (%) Recovery
152d
Commission
$1,603.25
Winning / Losing
267 / 316
Total Orders
1,166
Configuration
Strategy
VWAP Pullback Continuation
Contracts
YM
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
7
Max Consecutive Losses
7
Avg Consecutive Wins
1.8
Avg Consecutive Losses
2.1
Median Consecutive Wins
1
Median Consecutive Losses
2
Daily Performance
Tradeable Days
259
Days Traded
254
Profitable Days
113
Daily Win Rate
44.49%
Avg Daily Return
$4.65
Std Dev Daily
$774.84
Max Daily Return
$2,574.50
Min Daily Return
-$1,971.00
Max EOD Drawdown
$9,060.00
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
1,166 orders generated by this run.
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