System Detail
Nqsib1
Intra-day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQSIB1
Day Trading CAGR 22.70%
Sharpe 3.70
Max DD -20.46%
CAR/DD 1.11
Profit Factor 1.42
Exposure 13.41%
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 | - | - | - | -0.8% | 0.9% | 17.5% | 0.7% | -2.5% | 3.8% | 5.3% | -0.5% | -1.9% | 23.3% |
| 2007 | 3.4% | 0.7% | 4.8% | -0.7% | -0.3% | 1.4% | 2.8% | -0.1% | -2.6% | 2.2% | 7.2% | 5.6% | 26.7% |
| 2008 | -1.8% | 3.1% | 1.9% | 9.2% | 5.4% | -4.8% | 2.0% | -1.9% | -4.9% | 0.0% | 3.9% | -0.1% | 11.9% |
| 2009 | 10.3% | -0.4% | 3.8% | 9.3% | 4.0% | 1.8% | 8.9% | -1.0% | 3.3% | -3.3% | 2.4% | -0.7% | 44.6% |
| 2010 | -1.7% | 0.7% | -0.2% | 2.9% | 0.1% | 6.4% | 0.0% | -0.9% | 1.6% | -0.7% | 1.4% | -1.7% | 8.0% |
| 2011 | 4.5% | 1.8% | 1.6% | -3.5% | -1.0% | 7.8% | 3.4% | 3.3% | -2.3% | 0.5% | 5.9% | 1.9% | 26.1% |
| 2012 | -0.4% | -0.2% | 3.1% | 1.0% | -1.4% | 7.9% | 6.7% | 1.2% | 6.0% | -1.6% | 4.3% | 6.4% | 37.6% |
| 2013 | -3.9% | 2.3% | 1.3% | 5.6% | -0.5% | -0.4% | -3.4% | -2.4% | 3.3% | 4.2% | 5.2% | 0.2% | 11.5% |
| 2014 | 5.8% | 1.0% | -0.6% | -0.3% | 1.1% | 0.0% | 2.4% | 0.3% | 3.4% | 11.1% | -0.5% | 1.7% | 27.9% |
| 2015 | -2.8% | 3.3% | 3.0% | -0.3% | 3.4% | -0.5% | 6.0% | 0.3% | -2.1% | 1.9% | 5.5% | 3.4% | 22.6% |
| 2016 | 0.9% | 3.8% | 5.2% | 1.6% | 5.8% | 4.8% | 0.8% | -2.5% | 4.3% | -0.4% | -3.3% | 0.8% | 23.4% |
| 2017 | -1.4% | -1.7% | -0.1% | 1.8% | 1.5% | 5.0% | 0.2% | 4.0% | -3.2% | 4.3% | 2.8% | -2.1% | 11.2% |
| 2018 | 9.5% | -6.8% | 10.6% | 3.4% | 3.1% | -1.4% | 3.8% | 3.4% | 1.1% | -4.0% | 9.6% | -4.1% | 29.9% |
| 2019 | 6.8% | 1.2% | 2.2% | -0.1% | 0.7% | 3.3% | 0.5% | 5.2% | -0.4% | 1.5% | 0.2% | 0.9% | 24.1% |
| 2020 | 1.2% | 5.2% | 0.3% | 13.3% | -3.0% | -4.0% | 5.2% | 3.0% | -1.0% | 4.6% | -2.5% | 0.1% | 23.6% |
| 2021 | 3.8% | -1.1% | 6.9% | 3.9% | 5.3% | 2.3% | 0.5% | 4.2% | -3.2% | 2.2% | 3.5% | 1.3% | 33.3% |
| 2022 | -0.9% | -3.0% | -1.2% | 0.8% | 10.3% | 1.5% | 6.4% | 2.0% | 3.8% | 2.0% | 6.8% | -0.9% | 30.3% |
| 2023 | 9.0% | 0.7% | 4.2% | 6.1% | 9.1% | 5.4% | -0.5% | 1.1% | -4.3% | -3.2% | -4.5% | 2.7% | 27.6% |
| 2024 | 6.8% | 0.2% | 1.3% | 1.5% | -0.5% | 6.4% | 1.8% | 2.4% | 1.2% | 0.1% | -1.9% | 6.9% | 29.1% |
| 2025 | -0.9% | 1.0% | 0.3% | -2.6% | -4.6% | 0.7% | -2.8% | 5.3% | -3.2% | 0.3% | -1.6% | -2.9% | -10.8% |
| 2026 | -5.6% | -0.8% | 0.2% | 5.4% | 7.5% | - | - | - | - | - | - | - | 6.3% |