System Detail
Nqsystem2
Intra day Long short system. This backtest uses 3x leverage.
Tear Sheet
NQSystem2
Day Trading CAGR 64.97%
Sharpe 2.98
Max DD -24.53%
CAR/DD 2.65
Profit Factor 1.26
Exposure 31.34%
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 | - | - | - | 3.7% | 9.3% | 27.4% | 4.7% | -1.2% | 2.1% | -0.8% | 1.9% | 1.7% | 56.7% |
| 2007 | 8.0% | -4.6% | -1.1% | -3.1% | 0.2% | -1.4% | 13.0% | 2.2% | 0.7% | 4.0% | 24.0% | 4.4% | 52.8% |
| 2008 | -2.5% | 4.7% | 8.0% | 10.5% | -1.5% | 27.0% | 9.2% | 14.2% | 32.1% | 15.5% | -1.6% | 51.6% | 332.9% |
| 2009 | 18.6% | 13.1% | -2.7% | -1.4% | 5.4% | 1.7% | 18.3% | -4.3% | 4.4% | 7.5% | 3.4% | -3.5% | 75.0% |
| 2010 | 19.6% | 0.6% | 3.5% | 15.0% | 7.4% | 21.0% | 6.3% | -1.6% | 1.7% | -5.2% | 2.1% | -2.0% | 88.1% |
| 2011 | 6.1% | 2.3% | 2.5% | -3.8% | -7.9% | 18.7% | 12.4% | 13.9% | 11.6% | 0.2% | 5.5% | -2.1% | 72.9% |
| 2012 | -4.9% | -5.5% | 0.9% | 12.2% | 0.2% | 11.7% | 0.3% | -6.3% | 11.5% | 3.1% | 2.0% | 1.7% | 27.6% |
| 2013 | -9.6% | 8.6% | -6.2% | 5.4% | -2.4% | 1.5% | -5.2% | 1.3% | -0.8% | 8.8% | 6.4% | 4.4% | 10.8% |
| 2014 | 6.6% | 2.3% | 2.1% | 11.6% | 4.3% | 0.7% | 3.5% | -1.4% | 0.6% | 11.6% | -0.3% | 10.0% | 64.1% |
| 2015 | 9.3% | 3.1% | 12.5% | 2.3% | 5.6% | -0.2% | 7.3% | -1.3% | -6.7% | -1.4% | -0.6% | 20.2% | 59.3% |
| 2016 | 9.1% | 6.1% | 3.1% | 6.8% | 6.8% | 3.1% | 0.2% | -7.9% | 1.8% | -4.5% | 13.3% | 4.8% | 49.6% |
| 2017 | -0.5% | 1.6% | -2.1% | 0.2% | 7.8% | 6.2% | 4.9% | 11.5% | -4.8% | -3.1% | -0.1% | 1.0% | 23.6% |
| 2018 | 11.0% | 15.4% | 6.5% | 23.4% | -4.7% | 7.3% | 5.6% | 1.7% | -3.2% | 25.6% | 15.7% | 9.5% | 184.9% |
| 2019 | 10.9% | -2.9% | -3.8% | -1.0% | 5.3% | 5.2% | -1.2% | 0.0% | -3.9% | 5.1% | 2.2% | -1.1% | 14.4% |
| 2020 | -4.9% | 7.8% | 3.0% | 29.2% | 3.9% | 2.4% | 12.6% | 1.0% | -9.0% | 12.3% | 2.4% | -3.6% | 66.4% |
| 2021 | 14.0% | -0.2% | 14.8% | -2.5% | 3.2% | -5.0% | -5.2% | 0.5% | 0.0% | 2.9% | 8.9% | 8.7% | 45.2% |
| 2022 | 28.5% | -0.8% | -10.0% | 17.1% | 25.6% | 14.0% | 2.7% | -3.4% | 9.8% | 17.2% | 3.6% | 1.4% | 158.0% |
| 2023 | -8.3% | 6.3% | 10.5% | 9.6% | 9.5% | -4.8% | 3.6% | 11.6% | -2.4% | 0.1% | 4.0% | 0.2% | 45.0% |
| 2024 | 0.6% | 4.0% | -3.3% | 4.2% | 3.3% | 4.5% | 10.1% | 21.5% | 3.9% | -1.5% | 0.1% | 18.8% | 85.2% |
| 2025 | -13.1% | 0.8% | 11.7% | 14.4% | -11.4% | -0.6% | -4.6% | 1.1% | -7.3% | 6.0% | 15.4% | 2.8% | 10.8% |
| 2026 | 1.7% | 4.8% | -6.1% | -4.0% | 1.5% | - | - | - | - | - | - | - | -2.4% |