Fractiz
Sample Run
YM/RTY Size Spread
YM + RTY 1D · Long Spread Only · 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
$309.25
Max Drawdown %
50.35%
Profit Factor
1.00
Win Rate
63.64%
Sharpe Ratio
0.00
Total Trades
22
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 | · | · | · | · | · | · | · | 3.3k | · | · | · | · | 3.3k |
| 2021 | · | · | -39k | · | · | · | · | · | · | · | 4.7k | · | -34k |
| 2022 | · | · | · | · | · | · | · | · | 2.3k | · | · | · | 2.3k |
| 2023 | · | · | 1.7k | · | · | · | · | -1.2k | · | · | · | · | 458 |
| 2024 | 5.3k | · | · | · | · | 5.4k | · | 5.9k | · | · | 6.9k | 5.1k | 29k |
Detailed Metrics
Sharpe Ratio
0.00
Sortino Ratio
0.00
Profit Factor
1.00
Avg Win / Avg Loss
0.57
Avg Winner
$6,051.39
Avg Loser
-$10,551.28
Expectancy
$14.06
Recovery Factor
0.01
Max Drawdown ($)
$52,341.00
Max Drawdown (%)
50.35%
Max DD ($) Trough
195d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
195d
Max DD (%) Recovery
Not yet recovered
Commission
$90.75
Winning / Losing
14 / 8
Total Orders
44
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
Long spread only (long YM, short RTY)
YM contracts per trade
1
RTY contracts per trade
2
Streaks
Max Consecutive Wins
4
Max Consecutive Losses
2
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.1
Median Consecutive Wins
1
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
11
Profitable Days
9
Daily Win Rate
81.82%
Avg Daily Return
$28.11
Std Dev Daily
$12,555.03
Max Daily Return
$6,871.75
Min Daily Return
-$39,058.25
Max EOD Drawdown
$39,058.25
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 11 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
44 orders generated by this run.
Other sample runs for this strategy