System Detail
Nqnmislv4
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQNMISLV4
Day Trading CAGR 23.50%
Sharpe 4.53
Max DD -16.27%
CAR/DD 1.44
Profit Factor 1.56
Exposure 11.68%
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% | -0.4% | 0.5% | 3.0% | 1.5% | 4.0% | -2.1% | 2.4% | 2.6% | 11.9% |
| 2008 | -1.0% | -3.6% | 4.0% | 7.9% | 2.6% | 0.8% | 1.6% | 2.2% | -0.5% | 0.0% | -0.8% | -1.1% | 12.4% |
| 2009 | 10.0% | -1.0% | -2.1% | 1.7% | 6.4% | 0.7% | 8.4% | -0.2% | 1.9% | -1.3% | 5.4% | 0.2% | 33.3% |
| 2010 | 0.8% | -0.3% | 3.1% | 3.7% | 2.4% | 3.4% | 0.8% | -0.8% | -0.9% | 1.2% | 0.3% | -3.5% | 10.4% |
| 2011 | 2.5% | 1.7% | 2.8% | -0.3% | -1.7% | 9.0% | 4.7% | 9.0% | -1.1% | 3.9% | 1.4% | 2.4% | 39.4% |
| 2012 | 0.5% | 1.2% | 5.7% | -1.9% | -0.8% | 3.2% | 6.2% | 1.8% | 6.4% | -2.1% | 0.6% | 4.2% | 27.4% |
| 2013 | -2.1% | 5.4% | 0.6% | 5.1% | -1.4% | 1.9% | -3.1% | 1.2% | 1.1% | 4.9% | 2.4% | -0.4% | 16.1% |
| 2014 | 3.0% | 1.8% | 1.0% | -1.2% | 0.8% | 0.2% | 1.4% | 1.3% | 2.9% | 6.0% | -0.8% | 3.8% | 21.9% |
| 2015 | 2.7% | 3.1% | 1.7% | -1.5% | 4.0% | 2.6% | 2.6% | 3.1% | -1.5% | 5.4% | 5.7% | 1.4% | 33.3% |
| 2016 | 1.6% | 5.8% | 6.5% | -2.4% | 6.9% | 6.2% | 2.1% | -1.5% | 1.9% | 2.2% | 0.1% | 1.8% | 35.4% |
| 2017 | 1.3% | -2.2% | -0.3% | 1.0% | 4.5% | 3.0% | -0.8% | 0.6% | -1.6% | 3.6% | 3.0% | -0.9% | 11.5% |
| 2018 | 9.7% | -0.1% | 1.5% | -0.6% | 1.6% | 1.6% | 7.1% | 3.6% | 3.1% | -2.6% | 9.3% | -4.1% | 33.4% |
| 2019 | 0.1% | 2.0% | -0.8% | -0.2% | 5.6% | 3.8% | 1.2% | 1.5% | 0.9% | -0.2% | -0.6% | 2.0% | 16.3% |
| 2020 | 1.6% | 3.4% | 0.0% | 16.2% | -5.4% | -0.3% | 5.1% | 2.1% | -1.0% | 3.8% | 0.9% | -1.1% | 26.7% |
| 2021 | 1.8% | -0.3% | 0.0% | 5.9% | 7.6% | -1.3% | -0.2% | 3.7% | -0.3% | 4.8% | 2.7% | -1.4% | 24.9% |
| 2022 | 3.3% | 1.0% | 1.9% | 2.4% | 2.8% | 7.8% | 2.4% | 4.8% | 3.3% | -4.6% | 8.6% | -2.4% | 35.3% |
| 2023 | 7.5% | -0.1% | 0.2% | 6.0% | 6.6% | 3.3% | -0.6% | 4.9% | -1.4% | -1.3% | -1.5% | 4.3% | 31.0% |
| 2024 | 7.1% | 6.5% | 3.9% | -2.8% | -0.4% | 2.4% | 6.2% | 1.3% | 0.9% | 0.5% | 0.3% | 9.4% | 40.5% |
| 2025 | -1.9% | -1.1% | 0.6% | 1.4% | -3.1% | 0.6% | -2.0% | 3.1% | -2.4% | 3.6% | 0.2% | -3.4% | -4.7% |
| 2026 | -6.5% | -1.0% | -3.1% | 5.9% | 8.5% | - | - | - | - | - | - | - | 3.1% |