Fractiz
Sample Run
WTI / Brent Spread
CL + BZ 1D · Tight Z=1.5 · 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
$17,644.00
Max Drawdown %
16.86%
Profit Factor
1.20
Win Rate
55.43%
Sharpe Ratio
0.92
Total Trades
92
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 | · | · | · | 6.4k | 114 | · | · | · | 138 | -26 | · | · | 6.6k |
| 2021 | · | -318 | 448 | · | · | 204 | 536 | · | · | · | 608 | · | 1.5k |
| 2022 | · | · | 4.4k | · | · | 1.5k | 2.7k | -246 | -182 | · | · | · | 8.2k |
| 2023 | · | · | · | · | · | · | · | -206 | 664 | -142 | · | 324 | 640 |
| 2024 | 88 | · | 604 | · | · | · | · | -2 | 18 | 54 | · | · | 762 |
Detailed Metrics
Sharpe Ratio
0.92
Sortino Ratio
3.96
Profit Factor
1.20
Avg Win / Avg Loss
0.96
Avg Winner
$2,098.32
Avg Loser
-$2,179.77
Expectancy
$191.78
Recovery Factor
0.79
Max Drawdown ($)
$22,394.00
Max Drawdown (%)
16.86%
Max DD ($) Trough
558d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
558d
Max DD (%) Recovery
Not yet recovered
Commission
$276.00
Winning / Losing
51 / 41
Total Orders
192
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
CL contracts per trade
1
BZ contracts per trade
1
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
4
Avg Consecutive Wins
1.7
Avg Consecutive Losses
1.4
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,291
Days Traded
46
Profitable Days
27
Daily Win Rate
58.70%
Avg Daily Return
$383.57
Std Dev Daily
$1,190.35
Max Daily Return
$5,604.00
Min Daily Return
-$1,526.00
Max EOD Drawdown
$1,644.00
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 46 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
192 orders generated by this run.
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