System Detail
Nqlongshort
Intra day Long Short system. This backtest uses 3x leverage.
Tear Sheet
NQLongShort
Day Trading CAGR 59.15%
Sharpe 2.84
Max DD -26.98%
CAR/DD 2.19
Profit Factor 1.18
Exposure 30.01%
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 | - | - | - | 2.2% | 6.6% | 12.2% | 4.5% | -2.2% | 0.7% | 3.0% | 2.6% | 2.7% | 36.5% |
| 2007 | 7.4% | -1.2% | 0.5% | -1.7% | 0.5% | -3.4% | 12.9% | 2.2% | 3.1% | -1.1% | 23.1% | 6.7% | 57.2% |
| 2008 | 16.0% | 1.3% | 6.0% | 13.1% | -8.8% | 17.7% | 4.5% | 14.0% | 36.6% | 35.2% | 34.1% | 66.2% | 641.4% |
| 2009 | 22.1% | -3.5% | 4.2% | -7.1% | 6.6% | 1.5% | 8.2% | -1.7% | 5.4% | 8.3% | 3.8% | -1.9% | 52.5% |
| 2010 | 11.7% | 1.9% | 5.0% | 8.4% | 5.9% | 23.1% | 6.0% | -7.4% | 2.8% | -3.1% | -2.9% | -1.6% | 57.7% |
| 2011 | 8.2% | 3.9% | 8.9% | -8.5% | -6.9% | 13.1% | 12.1% | 36.0% | 1.0% | 1.9% | 10.6% | -4.7% | 95.3% |
| 2012 | -5.4% | -3.1% | -1.8% | 14.1% | 4.7% | 15.1% | -0.7% | -3.7% | 8.5% | 2.0% | -1.3% | 2.8% | 32.8% |
| 2013 | -7.1% | 10.0% | -6.2% | 5.2% | -1.8% | 2.5% | -3.6% | -2.4% | 0.6% | 5.3% | 9.2% | 0.9% | 11.4% |
| 2014 | -0.2% | 4.7% | 2.3% | 7.1% | 2.1% | -0.6% | 4.4% | -2.4% | 2.1% | 14.1% | -2.1% | 6.2% | 43.4% |
| 2015 | 11.4% | 3.9% | 7.9% | 5.7% | 8.8% | -1.1% | 9.1% | -1.9% | -7.7% | 0.1% | 6.6% | 15.6% | 73.1% |
| 2016 | -3.4% | -1.3% | 3.6% | 8.5% | 5.8% | 1.6% | 2.4% | -6.1% | 4.0% | -3.6% | 10.5% | 4.5% | 28.2% |
| 2017 | -3.9% | 0.4% | -3.2% | -1.8% | 5.6% | 12.0% | 6.5% | 10.2% | -4.0% | -6.0% | 1.4% | -1.6% | 14.5% |
| 2018 | 9.6% | 6.0% | 5.6% | 2.5% | -4.9% | 6.5% | 7.3% | 1.6% | -2.8% | 28.0% | 11.4% | 3.0% | 98.0% |
| 2019 | 8.8% | -4.0% | 0.6% | -0.5% | 2.8% | 7.0% | -0.4% | -1.5% | -1.4% | 10.3% | 1.3% | 0.8% | 25.3% |
| 2020 | 1.4% | 6.7% | 1.3% | 26.6% | 1.8% | 2.8% | 15.0% | -2.1% | -8.6% | 14.1% | 5.5% | -3.1% | 74.5% |
| 2021 | 10.1% | 3.3% | 15.9% | -3.7% | 1.0% | -6.7% | -0.4% | 0.9% | 1.0% | 5.5% | 11.5% | 10.3% | 57.4% |
| 2022 | 25.6% | -0.1% | -0.9% | 14.6% | 22.9% | 5.7% | 5.3% | -6.2% | 2.8% | 16.9% | 6.6% | 0.0% | 134.4% |
| 2023 | 3.4% | 8.2% | 4.0% | 5.7% | 8.9% | -2.2% | 1.5% | 15.9% | -1.3% | 4.1% | -2.7% | -1.5% | 51.9% |
| 2024 | -3.0% | 2.1% | 0.1% | -3.2% | -1.4% | 0.7% | 7.8% | 23.7% | 2.4% | -4.0% | 0.8% | 14.2% | 43.7% |
| 2025 | -10.4% | 5.4% | 10.4% | 13.6% | -10.4% | -4.0% | -4.5% | -1.2% | -5.5% | 12.2% | 13.4% | 2.0% | 17.9% |
| 2026 | 0.4% | -0.3% | -7.9% | -3.4% | -0.6% | -4.5% | -5.7% | 0.6% | -1.2% | - | - | - | -20.7% |