System Detail
E Day Trading
EMA-based day trading system that uses exponential moving average signals to identify short-term directional opportunities and manage intraday exposure with a systematic ruleset. This backtest uses 3x leverage.
Tear Sheet
E-Day-Trading
Day Trading CAGR 52.37%
Sharpe 1.98
Max DD -27.54%
CAR/DD 1.90
Profit Factor 1.18
Exposure 40.09%
Annual return profile
Equity curve
Underwater equity
Monthly Returns
Return heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | - | - | - | - | - | - | - | - | -0.1% | 1.7% | -1.9% | 1.1% | 0.8% |
| 2006 | 3.8% | -2.0% | -2.2% | 0.7% | 5.5% | 13.8% | 11.5% | -7.7% | -2.0% | 0.2% | -1.3% | 0.7% | 20.8% |
| 2007 | 1.3% | 2.5% | 10.3% | -0.7% | -0.8% | -1.5% | 8.9% | 3.8% | 8.6% | -0.5% | 5.5% | 10.1% | 57.5% |
| 2008 | 1.2% | -6.2% | 18.8% | 10.5% | 4.0% | 23.9% | -8.9% | 22.7% | 25.2% | 113.6% | 4.5% | 26.5% | 533.3% |
| 2009 | -2.3% | 6.4% | 31.8% | -2.2% | -3.9% | 3.2% | 0.7% | 4.1% | 6.6% | 17.8% | 4.1% | -4.5% | 74.2% |
| 2010 | 9.7% | 4.6% | 1.2% | 3.4% | -1.6% | -1.0% | 13.4% | 3.9% | 6.8% | 3.4% | 2.0% | 3.6% | 60.9% |
| 2011 | 1.3% | 1.1% | -0.3% | -9.8% | -1.7% | 22.9% | 6.6% | 8.8% | 11.1% | 5.8% | 0.6% | 0.0% | 52.9% |
| 2012 | -0.8% | 0.0% | 1.7% | 16.1% | -10.7% | -0.1% | 9.2% | -4.4% | 1.8% | -0.1% | 1.0% | 2.0% | 14.3% |
| 2013 | -7.3% | 1.8% | -4.2% | 6.3% | 1.3% | 4.9% | -5.3% | -3.8% | -2.1% | 13.5% | 0.7% | 3.6% | 7.8% |
| 2014 | 2.2% | 12.3% | -0.2% | 8.6% | -0.3% | -2.4% | 0.5% | 2.6% | -2.1% | 22.0% | 0.0% | 17.5% | 75.4% |
| 2015 | 7.5% | -1.0% | 13.9% | -1.3% | 3.2% | 2.4% | 1.0% | 3.4% | -3.4% | 7.0% | 3.7% | 7.0% | 51.4% |
| 2016 | -3.0% | 9.1% | 3.9% | -1.8% | 10.5% | 4.6% | -0.2% | -1.0% | 2.4% | -3.4% | 11.4% | 5.5% | 43.4% |
| 2017 | -1.4% | -2.6% | -2.5% | -1.8% | 1.3% | 2.6% | 3.7% | 4.9% | -2.7% | -0.6% | -0.5% | 1.5% | 1.6% |
| 2018 | 1.7% | 19.4% | 5.1% | 10.4% | -5.2% | 2.1% | 5.1% | 3.0% | -1.8% | 12.2% | 15.1% | -0.4% | 86.1% |
| 2019 | 2.7% | 1.6% | 1.3% | 0.0% | 0.5% | 1.5% | 1.1% | -0.1% | -1.5% | 3.1% | 0.0% | -0.5% | 9.9% |
| 2020 | -1.9% | 2.8% | 24.2% | -0.7% | 0.5% | 9.1% | -10.9% | 1.4% | 3.5% | 5.6% | -3.3% | -0.8% | 29.1% |
| 2021 | 3.3% | 8.0% | 7.2% | 1.4% | 0.5% | -4.8% | 3.3% | 1.6% | 8.6% | 8.9% | 2.1% | 11.3% | 63.8% |
| 2022 | 6.8% | 20.5% | 1.7% | 20.8% | 39.2% | -4.7% | 20.3% | 7.0% | -0.7% | 8.4% | 5.3% | 5.3% | 223.0% |
| 2023 | 5.1% | -3.7% | 15.1% | 9.5% | -2.4% | 1.7% | -1.9% | 8.5% | -4.9% | 9.9% | 6.0% | -0.9% | 47.9% |
| 2024 | 7.2% | 0.0% | 2.5% | 6.1% | -1.7% | 0.9% | -1.2% | -0.2% | 10.5% | -10.3% | -7.0% | 7.1% | 12.5% |
| 2025 | -10.7% | 6.4% | 2.5% | 20.5% | -1.7% | -2.3% | 0.0% | 0.9% | -3.9% | -7.6% | 13.0% | -5.9% | 7.3% |
| 2026 | -4.6% | 5.2% | -2.3% | 1.7% | 0.0% | - | - | - | - | - | - | - | -0.2% |