Fractiz
Sample Run
YM/RTY Size Spread
YM + RTY 1D · Tight Z=1.5 · 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
$5,410.75
Max Drawdown %
53.30%
Profit Factor
1.03
Win Rate
56.90%
Sharpe Ratio
0.05
Total Trades
58
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 | · | · | · | 1.3k | · | · | 2.2k | 1.9k | 3.6k | 3.0k | · | · | 12k |
| 2021 | · | · | -40k | · | · | 4.7k | 5.7k | 1.4k | · | 3.6k | 1.1k | · | -24k |
| 2022 | · | -11k | · | · | · | 2.8k | · | · | -88 | · | · | · | -8.6k |
| 2023 | -6.3k | · | -328 | · | -1.6k | · | · | -1.2k | 5.0k | · | -7.0k | · | -11k |
| 2024 | 5.3k | · | · | · | · | 13k | · | 6.7k | · | · | 2.1k | 9.6k | 37k |
Detailed Metrics
Sharpe Ratio
0.05
Sortino Ratio
0.06
Profit Factor
1.03
Avg Win / Avg Loss
0.78
Avg Winner
$5,920.05
Avg Loser
-$7,598.03
Expectancy
$93.29
Recovery Factor
0.08
Max Drawdown ($)
$67,007.50
Max Drawdown (%)
53.30%
Max DD ($) Trough
677d
Max DD ($) Recovery
Not yet recovered
Max DD (%) Trough
677d
Max DD (%) Recovery
Not yet recovered
Commission
$239.25
Winning / Losing
33 / 25
Total Orders
116
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)
1.5
Exit z-score (absolute)
0.5
Side
Both sides
YM contracts per trade
1
RTY contracts per trade
2
Streaks
Max Consecutive Wins
5
Max Consecutive Losses
2
Avg Consecutive Wins
1.8
Avg Consecutive Losses
1.3
Median Consecutive Wins
1.5
Median Consecutive Losses
1
Daily Performance
Tradeable Days
1,293
Days Traded
29
Profitable Days
20
Daily Win Rate
68.97%
Avg Daily Return
$186.58
Std Dev Daily
$8,669.09
Max Daily Return
$6,676.75
Min Daily Return
-$40,283.25
Max EOD Drawdown
$43,832.00
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 29 trading days, oldest top-left to newest bottom-right. Brighter green for bigger winning days, brighter red for bigger losing days.
Orders
116 orders generated by this run.
Other sample runs for this strategy