System Detail
Nqnmls
Systematic trading strategy generated from the uploaded backtest report export.
Tear Sheet
NQNMLS
CAGR 46.31%
Sharpe 3.15
Max DD -17.96%
CAR/DD 2.58
Profit Factor 1.36
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% | 2.5% | -4.6% | 6.1% | 20.9% | -0.4% | -5.4% | 11.7% | 5.5% | 39.4% |
| 2008 | 3.1% | -1.3% | 3.3% | 4.2% | 2.7% | 13.1% | 4.2% | 5.7% | 21.2% | 25.5% | -4.7% | 4.8% | 113.2% |
| 2009 | 19.5% | -8.8% | 9.0% | 3.8% | 11.6% | 3.2% | 1.0% | -4.8% | 1.1% | 2.2% | -2.0% | -0.9% | 37.0% |
| 2010 | 9.7% | -2.1% | -1.3% | 3.4% | 22.2% | 12.8% | 9.3% | -6.8% | 0.2% | -6.2% | -1.9% | -0.3% | 41.5% |
| 2011 | 4.9% | 3.2% | 2.2% | -6.5% | 1.7% | 12.7% | 6.8% | 3.0% | 4.2% | -2.2% | -3.3% | 2.2% | 31.4% |
| 2012 | -2.9% | -6.3% | 2.0% | 6.9% | -1.9% | 8.9% | 8.0% | -2.1% | 8.1% | -0.6% | 7.0% | 1.2% | 30.4% |
| 2013 | -5.8% | 10.9% | -4.7% | 10.8% | -1.2% | 2.6% | -4.2% | 0.7% | -1.0% | 4.1% | 4.9% | 3.8% | 21.2% |
| 2014 | 5.3% | 6.4% | 0.5% | 6.8% | 1.6% | -3.1% | 3.0% | -1.4% | 0.0% | 11.1% | -1.3% | 7.1% | 41.1% |
| 2015 | -2.7% | 1.3% | 9.6% | 5.9% | 1.1% | -0.4% | 0.0% | 19.2% | -0.5% | 4.4% | 5.1% | 6.5% | 59.6% |
| 2016 | 11.7% | 8.7% | 7.5% | -1.5% | 9.3% | 0.1% | 0.3% | -2.1% | -1.4% | -1.7% | 1.3% | 9.6% | 48.7% |
| 2017 | 0.1% | -2.5% | 1.7% | -1.3% | 1.0% | 0.5% | -0.4% | -0.5% | -3.0% | -3.2% | 3.4% | 2.5% | -2.0% |
| 2018 | -1.3% | 11.3% | 13.0% | 10.2% | -0.8% | 1.1% | 1.7% | 0.6% | 1.7% | 34.1% | 8.8% | 1.4% | 111.3% |
| 2019 | 4.6% | 0.7% | 0.2% | 0.3% | -4.1% | 7.3% | 3.3% | 2.9% | -6.3% | 6.3% | 0.1% | 1.1% | 16.6% |
| 2020 | -5.3% | 8.3% | 3.0% | 18.7% | -6.1% | 6.8% | -3.7% | 4.4% | -2.4% | 9.5% | -1.0% | -5.7% | 26.1% |
| 2021 | 3.9% | -5.5% | 8.1% | 3.6% | 8.4% | 4.7% | -3.4% | 2.6% | -7.8% | 8.7% | 8.5% | 7.2% | 44.2% |
| 2022 | -3.5% | 11.0% | 5.9% | 36.6% | 27.4% | 5.6% | 10.3% | 4.4% | 3.3% | 5.3% | 8.2% | 7.5% | 203.4% |
| 2023 | -0.5% | 8.1% | 3.3% | 8.9% | 7.7% | 2.6% | -0.5% | 3.0% | 2.5% | 0.3% | 1.0% | -1.9% | 39.5% |
| 2024 | 3.0% | -0.8% | 0.6% | 10.3% | 4.0% | -2.3% | 0.5% | 5.3% | 1.8% | 4.6% | 2.3% | 9.0% | 44.7% |
| 2025 | 2.6% | 3.5% | 8.7% | 1.5% | -1.4% | 0.4% | -4.9% | 5.4% | -3.1% | -0.6% | -0.3% | -0.4% | 11.3% |
| 2026 | 2.3% | 10.0% | 1.7% | 4.1% | 3.0% | 1.3% | 2.9% | 0.8% | - | - | - | - | 29.0% |