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 49.83%
Sharpe 1.90
Max DD -27.40%
CAR/DD 1.82
Profit Factor 1.16
Exposure 40.40%
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% | -2.3% | 1.1% | 0.4% |
| 2006 | 3.8% | -0.9% | -2.3% | -0.9% | 5.4% | 14.9% | 11.5% | -8.4% | -2.6% | 0.2% | -1.5% | 1.8% | 20.5% |
| 2007 | 1.0% | 2.5% | 10.5% | -0.6% | -0.8% | -2.2% | 8.9% | 3.3% | 8.7% | -0.5% | 6.6% | 9.8% | 57.0% |
| 2008 | 1.2% | -7.7% | 19.5% | 9.6% | 4.0% | 25.3% | -8.6% | 22.3% | 25.4% | 112.7% | 5.0% | 27.3% | 535.5% |
| 2009 | -12.4% | 3.0% | 40.4% | 0.1% | -4.0% | 4.1% | 1.5% | 4.1% | 6.6% | 17.7% | 4.1% | -5.0% | 66.3% |
| 2010 | 6.6% | 3.2% | 1.2% | 3.4% | -2.7% | -1.1% | 14.0% | 2.6% | 6.8% | 1.9% | 2.0% | 3.6% | 49.1% |
| 2011 | 0.6% | 1.1% | -0.2% | -9.9% | -3.2% | 23.7% | 6.6% | 8.7% | 10.7% | 4.2% | 0.9% | -0.1% | 47.5% |
| 2012 | -0.6% | 0.0% | 1.1% | 15.4% | -10.8% | 0.0% | 9.2% | -4.4% | 1.8% | -0.1% | 1.1% | 2.0% | 13.5% |
| 2013 | -6.9% | 0.1% | -4.5% | 7.0% | 1.3% | 4.7% | -5.3% | -3.5% | -2.1% | 12.6% | 0.7% | 3.6% | 6.1% |
| 2014 | 2.2% | 12.3% | -0.2% | 9.0% | 0.3% | -2.9% | 0.5% | 3.0% | -4.1% | 22.1% | 0.0% | 17.5% | 73.0% |
| 2015 | 7.6% | -1.1% | 13.8% | -1.3% | 3.4% | 2.7% | 1.1% | 3.5% | -3.4% | 7.0% | 2.8% | 7.4% | 51.8% |
| 2016 | -3.6% | 9.1% | 2.4% | -2.5% | 10.6% | 4.7% | -0.3% | -0.3% | 2.3% | -2.8% | 12.0% | 5.5% | 42.2% |
| 2017 | -1.4% | -2.6% | -2.5% | -1.8% | 0.9% | 2.3% | 3.0% | 4.3% | -2.7% | -0.6% | -0.4% | 1.5% | -0.4% |
| 2018 | 2.1% | 19.4% | 5.5% | 11.8% | -7.4% | 2.0% | 3.0% | 3.6% | -1.8% | 11.9% | 15.1% | -0.7% | 81.6% |
| 2019 | 2.6% | 1.6% | 1.4% | 0.0% | 1.8% | 1.3% | 2.2% | -0.1% | -1.0% | 3.2% | 0.0% | -0.3% | 13.3% |
| 2020 | -1.9% | 2.8% | 29.3% | -1.5% | 2.5% | 8.9% | -12.1% | 1.4% | 4.9% | 5.6% | -3.5% | -0.8% | 35.5% |
| 2021 | 4.3% | 8.1% | 6.7% | 1.0% | -0.2% | -3.6% | 3.3% | 1.5% | 8.6% | 9.7% | 2.9% | 11.6% | 67.5% |
| 2022 | 6.0% | 20.5% | 2.0% | 21.0% | 39.2% | -8.1% | 18.6% | 7.0% | -0.8% | 8.6% | 5.3% | 5.2% | 205.6% |
| 2023 | 4.5% | -3.7% | 15.1% | 9.9% | -1.1% | 1.7% | -1.9% | 8.4% | -4.0% | 9.7% | 6.0% | -0.9% | 50.5% |
| 2024 | 6.9% | -0.3% | 2.5% | 6.1% | -1.7% | 0.6% | -1.7% | -1.6% | 10.0% | -10.3% | -7.0% | 7.1% | 9.1% |
| 2025 | -10.1% | 6.2% | 3.2% | 21.2% | -1.5% | -2.2% | 0.0% | 1.0% | -3.9% | -6.6% | 12.7% | -5.9% | 10.8% |
| 2026 | -3.7% | 5.0% | -2.3% | 1.1% | 0.0% | -4.6% | 2.9% | -1.7% | 0.0% | - | - | - | -3.5% |