Fractiz
Sample Run
WTI / Brent Spread
CL + BZ 1D · 2020-2024 · CL + BZ
Backtest results model slippage, fills, and commissions, but cannot fully replicate live market conditions. Past performance does not guarantee future results.
Net P&L
$11,976.00
Max Drawdown %
12.83%
Profit Factor
1.27
Win Rate
52.63%
Sharpe Ratio
0.78
Total Trades
38
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | · | · | · | 7.1k | 114 | · | · | · | 138 | · | · | · | 7.4k |
| 2021 | · | · | -22 | · | · | · | 728 | · | · | · | 1.2k | · | 1.9k |
| 2022 | · | · | 506 | · | · | · | -282 | · | · | · | · | · | 224 |
| 2023 | · | · | · | · | · | · | · | · | 1.2k | 1.2k | · | · | 2.4k |
Detailed Metrics
Sharpe Ratio
0.78
Sortino Ratio
4.31
Profit Factor
1.27
Avg Win / Avg Loss
1.14
Avg Winner
$2,832.50
Avg Loser
-$2,481.89
Expectancy
$315.16
Recovery Factor
0.78
Max Drawdown ($)
$15,308.00
Max Drawdown (%)
12.83%
Max DD ($) Trough
306d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
306d
Max DD (%) Recovery
Not yet recovered
Commission
$114.00
Winning / Losing
20 / 18
Total Orders
80
Configuration
Strategy
WTI / Brent Spread
Contracts
CL, BZ
Timeframe
1D
Date Range
Jan 1, 2020 - Dec 31, 2024
Initial Capital
$100,000.00
Slippage Model
Realistic
Parameters
Lookback (days)
60
Entry z-score (absolute)
2
Exit z-score (absolute)
0.5
Side
Both sides
CL contracts per trade
1
BZ contracts per trade
1
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
2
Avg Consecutive Wins
1.5
Avg Consecutive Losses
1.4
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
19
Profitable Days
13
Daily Win Rate
68.42%
Avg Daily Return
$630.32
Std Dev Daily
$1,428.90
Max Daily Return
$5,894.00
Min Daily Return
-$1,066.00
Max EOD Drawdown
$1,880.00
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 19 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
80 orders generated by this run.
Other sample runs for this strategy