System Detail
Nqeod
Trades with overnight exposure based on probability of market opeing higher. This backtest uses 2x leverage.
Tear Sheet
NQEOD
Positional CAGR 23.70%
Sharpe 9.88
Max DD -24.35%
CAR/DD 0.97
Profit Factor 1.42
Exposure 0.77%
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | - | - | - | -1.0% | 1.2% | 1.1% | 5.1% | 4.2% | 3.1% | 0.8% | -1.0% | -0.3% | 13.9% |
| 2007 | 2.6% | 1.6% | -0.1% | 2.3% | 2.5% | 5.7% | -2.0% | -0.6% | 3.4% | 6.4% | 6.4% | 7.7% | 41.9% |
| 2008 | -5.5% | -2.9% | 5.7% | 1.1% | 1.6% | -1.8% | -0.3% | -1.0% | 0.3% | -2.3% | -2.3% | -3.7% | -10.9% |
| 2009 | 6.1% | -5.9% | 7.5% | -4.5% | 1.2% | 3.9% | -2.6% | 3.2% | 4.9% | 1.5% | 4.2% | 7.4% | 29.3% |
| 2010 | 4.4% | 4.1% | 2.4% | 1.6% | -3.0% | 3.9% | 3.3% | -15.9% | 5.9% | -0.9% | 2.8% | 9.2% | 16.6% |
| 2011 | 1.6% | -0.8% | 5.0% | -0.2% | -2.8% | -3.9% | 0.0% | 17.9% | -3.0% | 0.1% | -1.6% | 6.5% | 18.3% |
| 2012 | 7.0% | 1.3% | -1.9% | -0.3% | -4.3% | 1.6% | 0.5% | 0.9% | 2.1% | 4.1% | -0.4% | -4.4% | 5.8% |
| 2013 | -2.8% | 2.7% | 0.6% | 4.2% | 1.4% | 1.3% | 4.3% | -1.3% | 6.6% | 5.3% | 4.1% | 3.9% | 34.3% |
| 2014 | 0.6% | 3.8% | 3.6% | 4.3% | -0.8% | 0.5% | 4.5% | 1.5% | 2.4% | 2.0% | -0.6% | 0.7% | 24.8% |
| 2015 | 6.6% | 0.8% | 0.4% | -0.1% | 3.3% | 3.6% | 7.0% | -8.5% | -5.0% | 2.1% | 1.7% | -0.8% | 10.4% |
| 2016 | -1.7% | -6.4% | -1.2% | -1.6% | 3.6% | 1.1% | 3.2% | -1.0% | 1.5% | 1.5% | 2.1% | 2.2% | 2.9% |
| 2017 | 2.4% | 1.3% | -0.6% | 4.0% | 2.6% | -2.0% | 4.5% | 1.6% | 2.5% | 4.4% | 2.1% | 2.4% | 28.1% |
| 2018 | 3.5% | 5.3% | 1.7% | 9.9% | -4.5% | 3.3% | 1.1% | -0.6% | 0.3% | 1.6% | 0.1% | 6.2% | 30.8% |
| 2019 | 7.0% | -0.7% | 2.0% | -0.7% | -7.9% | 9.7% | 1.8% | -0.9% | -0.9% | -1.0% | -0.6% | 0.6% | 7.6% |
| 2020 | 4.8% | -1.1% | 38.0% | 9.5% | 6.0% | 1.1% | 3.8% | 4.9% | 0.9% | 11.4% | 12.3% | -0.6% | 129.3% |
| 2021 | 2.7% | 0.9% | 11.9% | 7.7% | -4.7% | 3.7% | -5.0% | 1.8% | 2.5% | 3.9% | 3.3% | 3.9% | 36.4% |
| 2022 | 1.0% | -6.0% | 5.1% | 4.7% | 6.5% | -3.6% | -2.3% | -3.6% | -3.2% | 2.7% | 13.0% | -5.8% | 6.9% |
| 2023 | 4.2% | -1.0% | 4.5% | 4.7% | 3.3% | 4.2% | 1.2% | -0.9% | -0.4% | 0.0% | 7.0% | 4.8% | 36.1% |
| 2024 | -3.6% | -0.2% | 4.1% | 8.7% | -0.4% | 4.4% | 6.3% | 9.2% | 5.0% | -2.0% | -2.5% | 0.9% | 33.0% |
| 2025 | 6.1% | -4.3% | -3.3% | -15.6% | 9.9% | 5.0% | 1.6% | -1.2% | 3.1% | 14.1% | 2.7% | 5.5% | 22.3% |
| 2026 | 2.2% | 1.8% | -1.4% | -2.1% | 4.2% | - | - | - | - | - | - | - | 4.6% |