System Detail
Nqsimple
Intra day Long Short system. This backtest uses 3x leverage.
Tear Sheet
NQSimple
Day Trading CAGR 24.95%
Sharpe 3.21
Max DD -17.04%
CAR/DD 1.46
Profit Factor 1.32
Exposure 14.98%
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 | - | - | - | 0.9% | 0.6% | 5.1% | 2.8% | 1.4% | -1.4% | 4.8% | 2.9% | -1.0% | 16.9% |
| 2007 | -1.7% | -2.7% | -0.6% | -1.5% | 3.8% | -0.7% | 1.2% | -4.6% | 2.8% | -0.8% | 0.4% | 2.4% | -2.3% |
| 2008 | -8.3% | -0.5% | 7.8% | 7.3% | 3.9% | 0.7% | 4.6% | -1.8% | 5.8% | 0.7% | -2.1% | 2.1% | 20.7% |
| 2009 | -2.5% | 3.2% | -6.6% | -4.3% | -0.3% | 0.2% | 0.6% | -3.1% | 6.8% | 0.8% | -4.0% | -0.2% | -9.6% |
| 2010 | 3.2% | -3.0% | -0.3% | 3.9% | 4.2% | 1.8% | 10.6% | -1.3% | -0.2% | 1.8% | -4.9% | -1.9% | 13.8% |
| 2011 | 1.4% | 8.2% | -3.3% | -1.8% | 2.2% | 12.3% | 5.7% | 8.1% | -5.9% | 4.2% | -4.9% | 4.8% | 33.6% |
| 2012 | 1.1% | -3.0% | 4.2% | 6.9% | 2.1% | 0.5% | 2.1% | 1.9% | -1.6% | 6.1% | -1.3% | 4.9% | 26.1% |
| 2013 | -1.6% | 3.1% | -0.5% | -2.5% | -2.3% | 1.5% | -1.1% | 2.6% | -3.2% | 3.1% | 1.5% | 0.0% | 0.2% |
| 2014 | 1.9% | 5.7% | 2.4% | 6.2% | 0.3% | 1.1% | 0.9% | -0.5% | 1.8% | 5.3% | -1.3% | -1.0% | 25.0% |
| 2015 | 14.1% | 2.3% | 0.1% | 0.4% | -0.5% | 3.7% | 1.4% | 11.9% | 2.7% | -5.8% | 1.3% | 12.4% | 51.1% |
| 2016 | 11.4% | -1.3% | 8.3% | 2.2% | 5.7% | 3.9% | 0.4% | -0.2% | 3.4% | 2.1% | 3.4% | 1.5% | 48.4% |
| 2017 | -3.6% | -0.2% | 0.3% | -1.5% | 0.5% | 1.7% | -0.8% | 2.4% | -1.6% | -2.5% | -0.3% | -0.5% | -6.1% |
| 2018 | 5.7% | 12.0% | 19.6% | 2.1% | 6.0% | 0.5% | -0.3% | 0.4% | 0.4% | 5.9% | 3.3% | -1.4% | 66.9% |
| 2019 | 7.3% | -1.9% | 3.0% | 1.9% | 3.2% | 4.2% | -0.7% | 4.3% | 1.9% | 1.3% | 1.9% | 2.5% | 32.8% |
| 2020 | -1.7% | 8.2% | -6.3% | 8.1% | 5.0% | -4.3% | -3.8% | 3.1% | 6.4% | -0.7% | 4.8% | -4.7% | 13.4% |
| 2021 | 12.3% | 5.9% | 9.7% | 0.1% | -1.3% | 0.6% | -0.6% | -1.5% | -1.7% | 0.9% | 7.2% | 2.7% | 38.8% |
| 2022 | 10.4% | -5.7% | -1.0% | 28.1% | 15.2% | 6.5% | 6.7% | -2.2% | 15.6% | 14.1% | 3.4% | -6.9% | 114.3% |
| 2023 | 2.5% | 2.8% | 11.7% | -0.4% | 4.2% | 4.6% | 2.9% | 4.6% | 1.1% | 3.1% | -1.9% | 1.4% | 42.7% |
| 2024 | 6.8% | 3.7% | -4.7% | 5.1% | -0.5% | -0.3% | 7.6% | -6.6% | -2.7% | -0.9% | -0.2% | 7.9% | 14.7% |
| 2025 | -2.2% | 7.8% | -2.9% | 3.8% | 2.6% | -4.2% | 0.8% | -0.5% | 2.9% | 0.8% | 6.6% | -0.6% | 15.1% |
| 2026 | -5.3% | -3.1% | 0.8% | 2.9% | -2.0% | 9.5% | 0.2% | 4.1% | -0.6% | - | - | - | 5.8% |