System Detail
Nqnmislv4
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQNMISLV4
Day Trading CAGR 22.19%
Sharpe 4.46
Max DD -12.95%
CAR/DD 1.71
Profit Factor 1.60
Exposure 11.35%
Equity curve
Underwater equity
Monthly Returns
Return heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | - | - | - | 0.0% | -0.7% | -3.5% | 2.4% | -2.0% | 3.3% | -2.6% | 2.2% | 3.1% | 1.9% |
| 2008 | -1.0% | -3.6% | 4.9% | 7.3% | 6.0% | -0.2% | 2.3% | -4.5% | -0.5% | 0.0% | -1.0% | -1.1% | 8.4% |
| 2009 | 9.2% | -0.5% | -2.1% | 2.6% | 7.7% | -0.6% | 8.9% | -0.2% | 1.9% | -1.3% | 5.4% | -2.0% | 31.7% |
| 2010 | 1.8% | -0.5% | 1.0% | 2.7% | -0.8% | 4.3% | 0.2% | 0.0% | -2.7% | 0.1% | -0.1% | -2.6% | 3.3% |
| 2011 | 2.8% | 1.7% | -1.6% | -0.5% | -2.2% | 9.4% | 5.4% | 4.7% | -2.2% | 3.8% | 4.6% | 2.4% | 31.4% |
| 2012 | 0.7% | 1.7% | 4.7% | -2.5% | -1.2% | 2.5% | 7.0% | -1.5% | 7.0% | -2.3% | 1.9% | 4.2% | 23.8% |
| 2013 | -1.4% | 5.3% | 0.6% | 4.8% | 1.5% | 1.5% | -1.9% | 0.7% | 1.4% | 4.9% | 2.2% | -0.4% | 20.6% |
| 2014 | 3.7% | 1.4% | 1.0% | 0.0% | 1.8% | 0.2% | 0.9% | 0.0% | 3.7% | 6.3% | -0.6% | 3.9% | 24.3% |
| 2015 | 3.8% | 0.1% | 1.7% | -1.8% | 1.5% | 3.9% | 2.9% | 2.1% | -2.1% | 4.9% | 5.6% | 6.0% | 32.3% |
| 2016 | 0.9% | 0.9% | 6.5% | -2.2% | 6.4% | 5.8% | 1.7% | -1.7% | 1.1% | 1.4% | -0.8% | 3.0% | 24.9% |
| 2017 | 1.2% | -2.4% | -0.5% | 1.6% | 4.3% | 2.9% | -1.0% | 2.0% | -1.8% | 2.9% | 4.0% | 2.1% | 15.9% |
| 2018 | 6.3% | -0.7% | 0.8% | 1.1% | 5.8% | 3.5% | 7.5% | 3.1% | 3.0% | -2.6% | 11.2% | -4.0% | 39.8% |
| 2019 | 1.2% | 0.8% | -0.2% | 0.8% | 3.3% | 3.3% | 0.8% | 2.9% | 0.7% | 3.7% | 0.2% | 1.7% | 20.8% |
| 2020 | 2.5% | 1.6% | 0.0% | 16.2% | -1.2% | 0.6% | -0.3% | 1.5% | -0.9% | 3.5% | -0.2% | -0.6% | 23.7% |
| 2021 | 1.1% | -0.3% | 0.0% | 6.3% | 6.7% | 0.1% | -0.3% | 4.0% | -0.8% | 3.8% | 3.6% | -0.4% | 26.1% |
| 2022 | -2.6% | -1.6% | 1.2% | 8.8% | 1.9% | 7.8% | -3.4% | 4.6% | 3.2% | -2.7% | 8.0% | -2.4% | 24.1% |
| 2023 | 7.7% | -0.3% | 3.9% | 7.4% | 7.4% | 5.2% | -1.1% | 4.9% | -1.6% | -1.1% | -1.5% | 4.3% | 40.5% |
| 2024 | 7.1% | 7.9% | 4.2% | -1.2% | 1.7% | 4.1% | 2.2% | -0.2% | 2.2% | -2.3% | 0.3% | 10.2% | 41.9% |
| 2025 | -1.8% | -1.1% | 0.6% | 1.4% | 1.1% | 0.3% | -1.1% | 1.6% | -1.8% | 3.7% | 0.4% | -3.4% | -0.4% |
| 2026 | -5.5% | -0.2% | -3.1% | 6.8% | 5.7% | -1.7% | -0.5% | 4.5% | 1.7% | - | - | - | 7.3% |