Fractiz
Sample Run
WTI / Brent Spread
CL + BZ 1D · Long Spread Only · 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
$5,888.00
Max Drawdown %
13.94%
Profit Factor
1.31
Win Rate
57.14%
Sharpe Ratio
0.42
Total Trades
14
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 | · | · | · | -26 | · | · | · | 7.2k |
| 2022 | · | · | -1.1k | · | · | · | -282 | · | · | · | · | · | -1.3k |
Detailed Metrics
Sharpe Ratio
0.42
Sortino Ratio
2.28
Profit Factor
1.31
Avg Win / Avg Loss
0.98
Avg Winner
$3,134.50
Avg Loser
-$3,198.00
Expectancy
$420.57
Recovery Factor
0.35
Max Drawdown ($)
$16,632.00
Max Drawdown (%)
13.94%
Max DD ($) Trough
674d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
674d
Max DD (%) Recovery
Not yet recovered
Commission
$42.00
Winning / Losing
8 / 6
Total Orders
30
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
Long spread only (long CL, short BZ)
CL contracts per trade
1
BZ contracts per trade
1
Streaks
Max Consecutive Wins
3
Max Consecutive Losses
2
Avg Consecutive Wins
1.6
Avg Consecutive Losses
1.2
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
7
Profitable Days
4
Daily Win Rate
57.14%
Avg Daily Return
$841.14
Std Dev Daily
$2,161.00
Max Daily Return
$5,894.00
Min Daily Return
-$1,066.00
Max EOD Drawdown
$1,374.00
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 7 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
30 orders generated by this run.
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