System Detail
Nqsystem2
Intra day Long short system. This backtest uses 3x leverage.
Tear Sheet
NQSystem2
Day Trading CAGR 61.62%
Sharpe 2.90
Max DD -26.01%
CAR/DD 2.37
Profit Factor 1.20
Exposure 30.97%
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% | 9.6% | 29.7% | 5.9% | -2.2% | -1.2% | -1.9% | 2.7% | -0.7% | 51.1% |
| 2007 | 8.1% | -4.5% | -1.1% | -2.2% | -0.1% | -0.4% | 13.0% | 1.8% | -0.2% | 3.3% | 20.6% | 4.4% | 48.6% |
| 2008 | -2.2% | 4.8% | 9.0% | 9.7% | -1.5% | 27.0% | 7.5% | 15.2% | 35.3% | 15.4% | -1.6% | 60.6% | 369.3% |
| 2009 | 13.1% | 5.3% | -2.7% | 0.7% | 6.5% | 1.8% | 18.0% | -4.3% | 7.3% | 6.0% | 3.4% | -3.4% | 62.1% |
| 2010 | 18.8% | 0.6% | 2.8% | 15.0% | 9.8% | 21.0% | 6.3% | 0.4% | 1.5% | -4.4% | 1.2% | -1.2% | 94.3% |
| 2011 | 6.2% | 3.2% | 2.5% | -3.8% | -8.0% | 17.7% | 11.5% | 16.6% | 10.6% | -1.9% | 5.5% | -1.1% | 72.1% |
| 2012 | -5.3% | -5.5% | 2.1% | 10.4% | 0.2% | 11.7% | -0.4% | -7.0% | 11.9% | 3.8% | 2.0% | 1.7% | 26.0% |
| 2013 | -7.9% | 8.6% | -6.2% | 5.3% | -2.4% | 1.7% | -4.3% | 1.1% | -0.8% | 8.8% | 6.4% | 4.4% | 13.9% |
| 2014 | 3.3% | 2.3% | 1.9% | 11.6% | 3.6% | 1.6% | 2.2% | -1.4% | 0.9% | 13.0% | -0.3% | 6.4% | 54.1% |
| 2015 | 9.3% | 2.9% | 12.5% | 2.4% | 5.6% | -0.2% | 6.4% | -1.1% | -6.3% | -1.4% | -0.7% | 21.9% | 60.9% |
| 2016 | 4.6% | 5.8% | 1.9% | 4.6% | 6.3% | 2.1% | -0.9% | -7.2% | 3.4% | -4.5% | 11.5% | 4.8% | 36.0% |
| 2017 | -1.2% | 0.0% | -4.0% | -0.3% | 7.8% | 6.2% | 5.9% | 11.5% | -4.8% | -3.1% | -0.1% | 1.0% | 18.9% |
| 2018 | 11.0% | 14.3% | 6.5% | 25.0% | -3.9% | 8.4% | 5.6% | 2.4% | -3.4% | 26.4% | 11.5% | 9.3% | 183.2% |
| 2019 | 8.7% | -3.9% | -2.7% | 0.3% | 6.1% | 1.4% | -1.2% | 0.0% | -3.9% | 5.9% | 2.2% | 0.9% | 13.6% |
| 2020 | 0.3% | 2.2% | 3.0% | 28.7% | 4.0% | 3.9% | 13.5% | 1.0% | -9.0% | 12.3% | 2.4% | -3.1% | 70.4% |
| 2021 | 15.3% | -1.0% | 14.8% | -2.5% | 3.2% | -5.0% | -4.0% | 1.1% | 0.0% | 3.8% | 8.9% | 6.5% | 46.6% |
| 2022 | 30.4% | 0.5% | -10.0% | 19.5% | 25.2% | 14.0% | 2.9% | -3.4% | 9.4% | 15.9% | 3.6% | 1.4% | 166.0% |
| 2023 | -2.5% | 6.3% | 8.6% | 10.4% | 8.3% | -4.8% | 3.6% | 12.0% | -2.5% | 0.1% | 4.0% | 0.2% | 51.3% |
| 2024 | 0.6% | 3.0% | -3.3% | 3.1% | 3.8% | 4.4% | 8.7% | 21.5% | 3.9% | -1.6% | 0.1% | 18.8% | 79.9% |
| 2025 | -13.3% | 1.9% | 11.7% | 14.4% | -11.4% | -1.8% | -5.3% | 1.1% | -7.3% | 6.2% | 15.4% | 2.8% | 9.8% |
| 2026 | 1.7% | 7.3% | -6.1% | -4.0% | 1.2% | -3.1% | -8.8% | 0.5% | -3.0% | - | - | - | -14.2% |