System Detail
Nqnmlong3
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQNMLong3
Day Trading CAGR 18.37%
Sharpe 4.20
Max DD -27.43%
CAR/DD 0.67
Profit Factor 1.40
Exposure 9.99%
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 | - | - | - | 1.3% | -1.0% | -1.7% | -0.4% | 1.6% | -2.7% | -2.2% | 0.8% | -1.6% | -5.8% |
| 2007 | 0.7% | 1.2% | 4.2% | 1.2% | -0.2% | -2.7% | 2.2% | -3.4% | -1.6% | -4.4% | 0.2% | 0.6% | -2.4% |
| 2008 | 1.4% | 0.7% | -2.7% | 2.4% | -2.4% | -3.2% | 1.9% | -4.9% | -4.9% | -1.3% | -4.7% | -2.2% | -18.4% |
| 2009 | 4.2% | 4.9% | 8.4% | 3.0% | 1.1% | 3.0% | 1.2% | -4.7% | 0.8% | 0.1% | 5.5% | 2.5% | 33.6% |
| 2010 | -0.9% | -2.9% | 2.6% | 0.4% | -3.8% | -4.4% | -0.8% | 0.3% | 1.3% | 1.7% | 2.3% | 0.3% | -4.1% |
| 2011 | 6.5% | 1.1% | -1.5% | -1.2% | -0.4% | 6.1% | 4.9% | 1.4% | -1.0% | 7.5% | 7.9% | 5.1% | 42.3% |
| 2012 | -1.1% | -0.6% | 0.1% | 5.1% | 1.2% | 8.4% | 1.5% | 2.5% | 5.3% | -2.6% | 3.9% | 5.4% | 32.5% |
| 2013 | -3.0% | 2.0% | 1.8% | 3.8% | 1.2% | 1.1% | 0.7% | -1.4% | -0.5% | 0.3% | 0.2% | 1.6% | 8.0% |
| 2014 | 1.3% | 1.6% | 0.2% | -2.6% | 3.6% | 1.2% | 4.0% | 4.3% | 3.1% | 4.1% | -2.6% | -1.0% | 18.1% |
| 2015 | 3.1% | 1.3% | -0.3% | 2.6% | -1.0% | 2.1% | 2.6% | 4.8% | 0.3% | 4.0% | 5.6% | 4.2% | 33.2% |
| 2016 | 5.3% | -1.5% | 3.6% | 1.6% | 6.3% | 2.5% | 3.7% | 0.0% | 1.3% | 0.1% | 3.2% | 5.3% | 36.0% |
| 2017 | -0.1% | 0.0% | 0.9% | -0.3% | 1.2% | 4.3% | 1.8% | 4.0% | -1.6% | 0.7% | 4.7% | 0.7% | 17.5% |
| 2018 | 2.8% | 6.1% | 1.8% | 5.3% | 2.0% | -0.3% | 3.8% | 3.5% | 0.6% | 0.7% | 6.7% | 2.6% | 41.6% |
| 2019 | 7.3% | -0.1% | 2.6% | 2.0% | 1.1% | 8.2% | 0.2% | 2.5% | 2.0% | 4.3% | 0.0% | 1.7% | 36.3% |
| 2020 | 3.8% | 2.4% | -0.6% | 15.1% | 3.5% | -0.9% | 7.7% | 8.3% | 7.2% | 1.9% | 1.2% | -1.8% | 57.9% |
| 2021 | 2.2% | 5.7% | 5.3% | 4.1% | 0.9% | 3.6% | -1.1% | 3.6% | -1.3% | 2.4% | -3.5% | 3.9% | 28.6% |
| 2022 | -4.2% | 0.8% | 5.1% | 2.1% | -0.9% | 8.8% | 2.1% | 3.0% | -4.2% | 4.2% | -0.3% | -3.9% | 12.4% |
| 2023 | 0.8% | -0.3% | 0.7% | 4.4% | 6.8% | -0.1% | 1.9% | 1.6% | -3.3% | 0.6% | 1.2% | 1.9% | 17.0% |
| 2024 | 6.2% | 0.1% | -0.7% | 3.4% | -0.2% | 6.2% | 4.4% | -0.9% | 2.5% | -0.6% | -0.6% | 9.4% | 32.4% |
| 2025 | 0.9% | -2.2% | -1.9% | 6.8% | -2.2% | 0.8% | -0.4% | 0.3% | 0.4% | 0.9% | -3.5% | -2.2% | -2.8% |
| 2026 | -0.9% | 1.8% | -3.8% | 1.3% | -0.4% | 3.3% | -6.6% | 1.9% | 0.2% | - | - | - | -3.5% |