System Detail
Nqsystem1
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQSystem1
Day Trading CAGR 12.39%
Sharpe 5.02
Max DD -9.35%
CAR/DD 1.33
Profit Factor 1.65
Exposure 6.68%
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 | - | - | - | 1.2% | 0.6% | 3.1% | -0.4% | -2.0% | -1.9% | 1.4% | 4.8% | 3.4% | 10.3% |
| 2007 | 2.9% | -1.5% | -2.1% | 0.6% | 0.0% | -0.4% | 3.8% | -0.2% | -2.5% | 1.8% | 0.0% | -0.2% | 2.0% |
| 2008 | 0.0% | 3.9% | -0.8% | 2.9% | 1.1% | -0.4% | -1.1% | -1.6% | 0.0% | 0.0% | 0.0% | -0.8% | 3.2% |
| 2009 | 0.5% | -0.8% | 0.0% | 0.0% | 0.1% | -0.9% | -1.3% | -1.7% | 0.8% | 0.5% | 6.1% | 1.6% | 4.6% |
| 2010 | 1.4% | -0.5% | 2.9% | 1.6% | 0.1% | 2.6% | -0.9% | -0.8% | 0.2% | 1.6% | -0.3% | -1.7% | 6.3% |
| 2011 | 2.7% | 1.1% | -0.9% | -2.6% | 1.0% | 8.7% | 0.4% | 0.0% | -1.8% | -0.9% | 0.0% | -1.9% | 5.6% |
| 2012 | 1.0% | 1.2% | 7.0% | 2.7% | -1.6% | 2.8% | 0.1% | -2.4% | 0.7% | 2.3% | 1.4% | 4.0% | 20.6% |
| 2013 | -0.7% | 3.4% | 1.1% | 1.5% | -1.3% | 0.0% | 0.3% | -0.6% | -0.9% | -1.1% | 2.3% | -2.4% | 1.3% |
| 2014 | -2.0% | 1.0% | -0.1% | -1.8% | 3.1% | 2.4% | 1.4% | 2.9% | -2.4% | 8.1% | 1.5% | -0.6% | 14.0% |
| 2015 | 0.7% | 1.8% | 3.9% | -2.3% | 2.0% | -0.6% | 4.4% | -0.2% | 0.9% | -0.8% | 4.1% | 2.7% | 17.6% |
| 2016 | -1.0% | 0.0% | 4.3% | 0.7% | 5.7% | -0.6% | 5.0% | -0.6% | -2.1% | 0.4% | -0.6% | 4.2% | 16.1% |
| 2017 | 0.7% | 2.0% | 0.3% | 0.9% | -0.7% | -1.1% | -1.8% | 6.5% | -0.8% | 0.2% | 2.5% | 0.4% | 9.2% |
| 2018 | 12.4% | 1.1% | 2.9% | 1.2% | 1.7% | -0.6% | 4.2% | 2.6% | 0.1% | 1.6% | 1.0% | 0.0% | 31.3% |
| 2019 | 1.7% | 0.7% | 1.3% | 3.3% | 1.2% | -1.4% | 0.8% | -0.9% | 3.2% | 1.4% | 2.2% | 1.7% | 16.1% |
| 2020 | -1.9% | 0.5% | 0.0% | -0.8% | 0.7% | 4.5% | 3.3% | 1.6% | -1.1% | 1.2% | -0.6% | 1.5% | 9.1% |
| 2021 | -0.7% | -0.3% | 5.8% | 1.9% | 2.0% | -0.3% | 5.1% | 3.3% | 0.6% | 3.8% | -1.2% | 5.2% | 27.8% |
| 2022 | -0.7% | -0.8% | 0.0% | -0.4% | 1.1% | 3.1% | 0.8% | 3.2% | 1.5% | -1.1% | 2.8% | 2.2% | 12.2% |
| 2023 | 4.0% | 0.7% | 4.0% | 0.0% | 7.4% | -1.1% | 1.0% | 2.9% | -0.7% | -0.1% | 0.8% | -0.5% | 19.7% |
| 2024 | 0.2% | 0.9% | 3.0% | -0.1% | 4.8% | 1.5% | 3.2% | 4.6% | -2.5% | 0.9% | 1.6% | 7.7% | 28.5% |
| 2025 | -1.0% | -2.1% | -0.3% | 3.5% | 1.6% | -0.4% | 0.8% | -1.1% | 1.9% | 2.2% | -1.3% | 0.2% | 4.0% |
| 2026 | -0.6% | -0.6% | -2.0% | 1.7% | -0.7% | 1.1% | -1.3% | 3.5% | -0.5% | - | - | - | 0.5% |