System Detail
Nqnmls
Intra day Long Short system. This backtest uses 3x leverage.
Tear Sheet
NQNMLS
Day Trading CAGR 38.27%
Sharpe 2.71
Max DD -21.98%
CAR/DD 1.74
Profit Factor 1.27
Exposure 7.16%
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% | 4.2% | -5.4% | 4.9% | 23.4% | -2.0% | -1.3% | 10.2% | 6.0% | 43.9% |
| 2008 | 2.4% | -4.2% | 9.9% | 9.1% | 3.4% | 5.4% | 2.7% | 3.4% | 10.9% | 29.1% | -10.9% | 11.6% | 93.3% |
| 2009 | 15.2% | -9.1% | 0.9% | 5.6% | 8.4% | 1.3% | 6.6% | -6.4% | 1.9% | 0.6% | 2.3% | 0.0% | 28.3% |
| 2010 | 7.6% | -2.5% | -1.1% | -0.7% | 24.1% | 9.5% | 4.6% | -6.9% | 2.9% | -2.9% | -4.1% | -0.3% | 30.4% |
| 2011 | 8.2% | 3.2% | 0.2% | -8.6% | 2.1% | 17.2% | 7.6% | -1.6% | 3.7% | 0.6% | -5.6% | 8.2% | 38.3% |
| 2012 | -3.3% | -9.1% | 2.7% | 1.6% | 1.3% | 18.0% | 11.7% | -3.8% | 6.2% | -4.8% | 7.3% | -0.8% | 26.8% |
| 2013 | -8.5% | 10.7% | -6.8% | 11.1% | -2.9% | 3.7% | -2.2% | 1.6% | -2.0% | 4.5% | 3.5% | 0.9% | 12.3% |
| 2014 | 4.2% | 8.1% | -0.3% | 6.2% | -0.5% | -2.2% | 4.7% | -2.2% | 2.4% | 13.6% | -2.3% | 10.1% | 48.5% |
| 2015 | -2.4% | 1.5% | 8.8% | 5.2% | 1.6% | -2.0% | -0.7% | 20.9% | 0.1% | 4.2% | 4.6% | 5.7% | 56.6% |
| 2016 | 8.5% | 7.7% | 8.0% | -0.8% | 7.6% | 2.6% | 1.2% | -2.1% | -3.2% | -1.6% | 3.5% | 8.2% | 46.1% |
| 2017 | -0.2% | -3.9% | 3.5% | -1.6% | 1.7% | 2.9% | 0.7% | -2.0% | -3.1% | -2.3% | 1.9% | 1.9% | -0.7% |
| 2018 | 0.3% | 12.5% | 12.5% | 13.8% | -3.4% | -1.5% | 2.1% | 1.1% | -1.3% | 18.6% | -6.5% | 6.9% | 66.1% |
| 2019 | 6.2% | 1.0% | 0.3% | -0.4% | -3.8% | 7.6% | 2.4% | 7.4% | -7.6% | 5.5% | 0.4% | -1.3% | 17.7% |
| 2020 | -4.0% | 13.4% | 5.4% | 17.3% | -7.2% | -8.0% | -1.0% | 3.5% | -2.3% | 6.4% | 0.0% | -7.8% | 12.8% |
| 2021 | 6.4% | -3.0% | 6.8% | 4.1% | 7.4% | 3.5% | -3.7% | 2.3% | -1.6% | 9.0% | 3.8% | 5.4% | 47.5% |
| 2022 | 0.5% | 17.3% | -2.9% | 15.6% | 24.1% | 6.2% | 4.0% | 4.7% | 3.5% | 9.0% | 8.6% | -6.7% | 117.1% |
| 2023 | 1.4% | 7.6% | 6.3% | 7.2% | 7.5% | 2.6% | -1.8% | 8.6% | 2.2% | 2.7% | 3.1% | -3.2% | 53.1% |
| 2024 | -3.4% | -0.6% | 1.0% | 7.6% | 3.7% | 1.0% | -1.2% | -5.8% | 3.2% | 1.0% | 2.1% | 14.2% | 23.7% |
| 2025 | 2.1% | 3.6% | 8.0% | 1.3% | -0.9% | 0.4% | -3.9% | -0.9% | -3.2% | -2.8% | 3.1% | -1.1% | 4.9% |
| 2026 | 2.2% | 6.4% | -1.2% | 6.3% | 5.3% | 6.7% | 3.8% | -1.3% | -5.6% | - | - | - | 24.1% |