System Detail
Nqnmlong1
Intra day Long only momentum based system. This backtest uses 3x leverage.
Tear Sheet
NQNMLong1
Day Trading CAGR 31.07%
Sharpe 3.04
Max DD -23.31%
CAR/DD 1.33
Profit Factor 1.36
Exposure 20.29%
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 | - | - | - | 0.6% | 0.6% | 4.8% | -2.7% | -0.4% | -0.3% | 4.6% | 0.5% | -4.2% | 3.1% |
| 2007 | 6.9% | -1.3% | 3.2% | 0.6% | 2.0% | 1.9% | 1.4% | 3.0% | 1.6% | -1.1% | 0.1% | 4.4% | 24.9% |
| 2008 | -5.4% | -1.3% | 2.4% | 4.5% | 6.0% | 4.6% | 4.5% | 7.3% | -6.4% | -5.6% | 9.8% | 7.2% | 29.0% |
| 2009 | 8.5% | -5.4% | 23.9% | 2.0% | 4.5% | 5.4% | 8.1% | -1.4% | 3.4% | -1.6% | 7.3% | 3.3% | 71.6% |
| 2010 | -4.9% | -2.1% | 0.2% | 2.8% | -4.4% | 3.6% | -3.1% | -3.0% | 6.4% | 1.0% | -1.4% | -3.2% | -8.4% |
| 2011 | 8.8% | 5.4% | -0.1% | -2.1% | 1.1% | 11.6% | 6.5% | 18.8% | -1.8% | 3.4% | 0.1% | 1.7% | 65.2% |
| 2012 | -3.1% | 3.0% | 4.4% | 8.0% | -0.5% | 8.4% | 3.3% | -1.5% | 3.6% | -2.3% | 5.6% | 0.9% | 33.2% |
| 2013 | -5.5% | 4.4% | 0.8% | 7.2% | -3.2% | 1.3% | -1.8% | 0.0% | 2.0% | 2.9% | 5.0% | 2.8% | 16.3% |
| 2014 | 3.3% | 4.2% | -4.3% | -0.8% | 7.7% | 0.1% | 3.8% | 1.7% | 4.2% | 6.9% | -1.5% | 2.7% | 31.0% |
| 2015 | 5.0% | 4.0% | 1.5% | 3.0% | 4.6% | 0.7% | 6.9% | -1.9% | -5.2% | 4.1% | 6.0% | 7.8% | 42.2% |
| 2016 | 1.2% | 2.9% | 9.0% | 0.3% | 5.9% | 3.7% | 2.4% | -3.5% | 5.5% | 0.3% | -3.1% | 6.7% | 35.3% |
| 2017 | 0.9% | 0.4% | 0.3% | -1.1% | 3.5% | 2.3% | 0.1% | 4.0% | -1.4% | 2.2% | 4.5% | -1.6% | 14.7% |
| 2018 | 12.6% | 4.9% | 5.9% | -1.0% | 6.0% | -0.4% | 7.4% | 1.5% | 2.2% | -1.3% | 11.7% | -5.8% | 51.1% |
| 2019 | 9.4% | 1.3% | 2.0% | -1.8% | -0.6% | 4.3% | 3.1% | 3.1% | -0.3% | 5.0% | 1.7% | 2.3% | 33.4% |
| 2020 | 5.4% | 6.0% | -17.7% | 7.6% | -2.3% | 1.5% | 8.5% | 4.4% | -1.1% | -0.6% | 1.7% | -2.2% | 8.6% |
| 2021 | 2.3% | -1.2% | 6.6% | 6.2% | 3.3% | 7.4% | -1.0% | 5.8% | -2.5% | 1.9% | 5.0% | 7.8% | 49.3% |
| 2022 | 2.5% | -4.3% | 11.6% | 6.3% | 15.1% | 3.8% | 14.8% | -1.8% | -2.6% | -1.4% | 12.6% | 5.1% | 78.3% |
| 2023 | 4.9% | 1.0% | 10.6% | 6.3% | 11.7% | 1.9% | -0.8% | 5.1% | -3.0% | -2.2% | 4.6% | -0.3% | 46.6% |
| 2024 | 4.5% | 3.4% | 0.5% | 1.6% | 1.1% | 3.0% | 1.2% | 3.4% | -1.5% | 1.0% | 3.1% | 11.2% | 37.3% |
| 2025 | 2.6% | -0.9% | -0.5% | -0.4% | -0.9% | 1.2% | -1.8% | 3.3% | 0.2% | -3.2% | -4.0% | -2.6% | -6.9% |
| 2026 | -4.7% | 1.2% | -0.5% | 6.2% | 7.9% | - | - | - | - | - | - | - | 10.0% |