Fractiz
Sample Run
YM/RTY Size Spread
YM + RTY 1D · 2020-2024 · YM + 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
-$5,340.00
Max Drawdown %
51.84%
Profit Factor
0.96
Win Rate
57.50%
Sharpe Ratio
-0.05
Total Trades
40
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 | · | · | · | 3.0k | · | · | · | 3.3k | · | · | · | · | 6.3k |
| 2021 | · | · | -39k | · | · | 4.7k | · | 5.0k | · | · | 4.7k | · | -25k |
| 2022 | · | -11k | · | · | · | 1.3k | · | · | 2.3k | · | · | · | -7.7k |
| 2023 | -6.8k | · | 1.7k | · | 487 | · | · | -1.2k | · | · | -5.3k | · | -11k |
| 2024 | 5.3k | · | · | · | · | 8.7k | · | 5.9k | · | · | 6.9k | 5.1k | 32k |
Detailed Metrics
Sharpe Ratio
-0.05
Sortino Ratio
-0.06
Profit Factor
0.96
Avg Win / Avg Loss
0.71
Avg Winner
$6,175.79
Avg Loser
-$8,669.60
Expectancy
-$133.50
Recovery Factor
-0.09
Max Drawdown ($)
$61,622.75
Max Drawdown (%)
51.84%
Max DD ($) Trough
677d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
677d
Max DD (%) Recovery
Not yet recovered
Commission
$165.00
Winning / Losing
23 / 17
Total Orders
80
Configuration
Strategy
YM / RTY Size Spread
Contracts
YM, RTY
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
YM contracts per trade
1
RTY contracts per trade
2
Streaks
Max Consecutive Wins
6
Max Consecutive Losses
3
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.3
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
20
Profitable Days
15
Daily Win Rate
75.00%
Avg Daily Return
-$267.00
Std Dev Daily
$10,006.23
Max Daily Return
$6,871.75
Min Daily Return
-$39,058.25
Max EOD Drawdown
$43,489.00
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 20 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