System Detail
Nqtday
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
NQTDay
Day Trading CAGR 18.99%
Sharpe 4.26
Max DD -17.22%
CAR/DD 1.10
Profit Factor 1.47
Exposure 9.17%
Equity curve
Underwater equity
Monthly Returns
Return heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | - | -1.7% | 1.9% | 0.4% | 1.9% | 2.3% | 0.1% | 2.5% | 4.5% | 3.9% | 0.2% | -0.5% | 16.6% |
| 2011 | 1.0% | 4.6% | -1.1% | 1.9% | -0.9% | 9.3% | 5.0% | -1.8% | -4.6% | 3.9% | 1.2% | 4.6% | 24.7% |
| 2012 | -0.6% | -0.4% | -0.9% | 4.0% | 3.8% | 5.1% | 3.7% | 5.8% | 3.7% | -0.7% | 4.1% | 3.7% | 35.7% |
| 2013 | -3.4% | -0.7% | 0.6% | 7.7% | -0.9% | 0.7% | 1.9% | 1.7% | -0.9% | 0.4% | 0.0% | 0.7% | 7.8% |
| 2014 | 3.4% | 0.7% | 0.5% | -0.4% | 0.2% | 0.1% | 4.9% | -0.4% | 0.9% | 6.1% | 0.7% | 1.7% | 19.6% |
| 2015 | -0.3% | 4.8% | 0.9% | 2.2% | 4.5% | 3.1% | 2.2% | -0.1% | -1.7% | 0.3% | 4.2% | 3.5% | 26.1% |
| 2016 | -0.8% | 1.9% | 5.0% | 1.0% | 6.6% | 2.3% | 4.2% | -1.1% | 2.3% | -1.1% | 2.0% | 0.4% | 25.0% |
| 2017 | 0.2% | 0.0% | -1.1% | -0.6% | 2.0% | 1.2% | 0.5% | 4.4% | 0.2% | -1.2% | 1.9% | 1.1% | 8.8% |
| 2018 | 6.9% | -2.9% | 1.6% | 2.2% | 0.2% | 1.4% | 4.5% | 2.0% | 2.0% | 3.7% | 4.4% | 9.9% | 41.7% |
| 2019 | 8.4% | 0.7% | 4.0% | -0.2% | 3.0% | 5.5% | -1.5% | 2.4% | 0.5% | 1.0% | 1.2% | 0.2% | 27.8% |
| 2020 | 1.1% | 2.6% | 0.5% | 7.5% | -4.4% | -0.3% | 1.4% | 3.3% | -4.9% | 2.3% | 3.5% | -1.8% | 10.7% |
| 2021 | -2.2% | -0.8% | 11.8% | 1.4% | 4.3% | -2.5% | -0.4% | 2.7% | -0.9% | 1.7% | 1.0% | 1.8% | 18.6% |
| 2022 | -3.1% | -1.1% | 5.5% | 2.3% | 5.2% | -1.2% | -0.7% | 3.8% | 0.4% | 0.1% | 1.6% | -0.4% | 12.6% |
| 2023 | -1.1% | -2.1% | 9.4% | 5.9% | 6.5% | -4.7% | -0.9% | 1.8% | -1.0% | -3.0% | 0.0% | -2.6% | 7.6% |
| 2024 | 8.5% | 5.2% | 1.0% | 0.1% | 0.8% | -3.3% | 2.1% | 6.2% | -3.3% | -1.5% | -1.1% | 8.9% | 25.0% |
| 2025 | 3.1% | -0.7% | 0.6% | 3.1% | 3.7% | 0.7% | 1.0% | 0.5% | -1.3% | -1.3% | -0.9% | -2.6% | 5.9% |
| 2026 | -3.7% | -1.8% | -3.8% | 8.1% | 3.7% | - | - | - | - | - | - | - | 2.0% |