System Detail
Nqlongshort
Intra day Long Short system. This backtest uses 3x leverage.
Tear Sheet
NQLongShort
Day Trading CAGR 60.17%
Sharpe 2.85
Max DD -26.93%
CAR/DD 2.23
Profit Factor 1.22
Exposure 30.21%
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% | 6.4% | 10.8% | 3.2% | -1.2% | 1.0% | 3.5% | 1.4% | 5.1% | 36.7% |
| 2007 | 7.4% | -1.3% | 1.2% | -2.4% | -0.1% | -3.4% | 13.6% | 2.6% | 4.2% | -2.6% | 25.8% | 6.7% | 60.0% |
| 2008 | 14.7% | 1.5% | 5.0% | 13.1% | -8.8% | 17.7% | 4.5% | 13.2% | 36.6% | 35.2% | 36.2% | 49.2% | 558.3% |
| 2009 | 22.1% | 5.1% | 4.2% | -9.0% | 6.0% | 1.8% | 4.3% | -2.5% | 5.4% | 7.5% | 3.8% | -2.0% | 53.8% |
| 2010 | 12.4% | 1.9% | 5.7% | 8.4% | 3.6% | 23.1% | 6.0% | -9.2% | 2.2% | -0.6% | -2.3% | -1.6% | 57.3% |
| 2011 | 8.1% | 3.0% | 8.9% | -9.2% | -6.3% | 13.8% | 13.0% | 32.9% | 1.9% | 0.2% | 10.6% | -5.3% | 88.8% |
| 2012 | -5.0% | -3.1% | -3.0% | 14.2% | 4.7% | 15.1% | 0.1% | -2.6% | 8.1% | 1.4% | -0.8% | 2.8% | 34.0% |
| 2013 | -7.6% | 10.0% | -6.2% | 5.3% | -1.8% | 1.9% | -4.5% | -2.4% | 0.6% | 4.9% | 9.2% | 0.9% | 8.9% |
| 2014 | 5.7% | 4.7% | 2.5% | 7.1% | 2.7% | -1.9% | 5.9% | -2.4% | 1.8% | 13.4% | -2.1% | 6.2% | 51.9% |
| 2015 | 11.4% | 4.4% | 7.9% | 5.6% | 5.4% | -1.1% | 9.8% | -1.8% | -8.3% | 0.6% | 7.0% | 15.6% | 69.8% |
| 2016 | -3.5% | -5.4% | 3.6% | 8.5% | 6.9% | 1.8% | 1.0% | -6.1% | 2.2% | -3.6% | 12.3% | 4.5% | 22.4% |
| 2017 | -3.2% | 0.7% | -2.4% | -1.3% | 5.6% | 12.0% | 6.5% | 10.1% | -4.0% | -6.0% | 1.4% | -1.6% | 17.3% |
| 2018 | 9.6% | 6.3% | 5.6% | 2.0% | -5.6% | 6.1% | 7.3% | 1.4% | -2.2% | 29.3% | 12.2% | 3.1% | 100.0% |
| 2019 | 11.3% | -3.7% | -0.5% | -0.2% | 2.0% | 6.3% | -0.4% | -1.5% | -1.4% | 8.8% | 1.3% | 0.5% | 23.6% |
| 2020 | -4.2% | 8.2% | 1.3% | 27.4% | -0.4% | 4.2% | 14.1% | -2.6% | -8.6% | 14.1% | 5.5% | -3.6% | 63.7% |
| 2021 | 8.8% | 3.9% | 15.9% | -3.7% | 1.0% | -7.3% | -1.2% | 0.9% | 0.7% | 4.7% | 11.5% | 12.7% | 56.0% |
| 2022 | 23.0% | -1.5% | -0.9% | 12.8% | 24.1% | 5.7% | 5.4% | -6.2% | 3.3% | 17.9% | 6.6% | 0.0% | 128.1% |
| 2023 | 7.0% | 8.2% | 5.2% | 5.1% | 9.5% | -2.2% | 1.5% | 15.9% | -1.2% | 4.3% | -2.7% | -1.5% | 59.3% |
| 2024 | -2.0% | 3.1% | 0.3% | -0.9% | -1.4% | 0.1% | 8.2% | 24.9% | 2.6% | -3.9% | 0.8% | 14.2% | 51.8% |
| 2025 | -8.2% | 5.4% | 10.4% | 13.3% | -10.0% | -4.0% | -3.9% | -1.2% | -6.1% | 12.0% | 13.4% | 2.0% | 20.6% |
| 2026 | 0.4% | 0.0% | -7.9% | -5.1% | 0.3% | - | - | - | - | - | - | - | -11.9% |