System Detail
Qhlls Nq
Intra day Long short system. This backtest uses 3x leverage.
Tear Sheet
QHLLS_NQ
Day Trading CAGR 59.71%
Sharpe 3.65
Max DD -19.66%
CAR/DD 3.04
Profit Factor 1.32
Exposure 23.48%
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 | - | - | - | -0.1% | 5.6% | 19.9% | 4.8% | 0.6% | 2.9% | 7.6% | 3.5% | -4.2% | 46.5% |
| 2007 | 3.8% | 1.7% | 4.1% | 2.5% | 2.8% | -0.2% | -0.9% | 3.3% | 4.8% | 2.2% | 6.1% | 3.5% | 39.1% |
| 2008 | 9.4% | 2.6% | 6.1% | 11.0% | 13.9% | 9.7% | -1.0% | 13.9% | 29.2% | 48.7% | 50.5% | 19.1% | 541.7% |
| 2009 | 7.7% | 6.8% | 27.9% | -2.6% | 3.3% | -3.0% | 10.5% | -6.6% | -1.4% | 11.9% | 0.7% | 1.3% | 67.0% |
| 2010 | 5.0% | 1.8% | -3.0% | 4.8% | 5.8% | 1.1% | 5.6% | -5.6% | 1.8% | 4.4% | 4.5% | -0.9% | 27.3% |
| 2011 | 6.6% | 2.3% | 6.6% | -3.5% | 0.0% | 18.1% | 6.3% | 21.8% | -6.3% | 6.7% | 6.8% | 0.9% | 84.6% |
| 2012 | -0.1% | -1.6% | 3.3% | 5.9% | -2.9% | 16.5% | 6.0% | -1.3% | 5.5% | 1.8% | 9.4% | -1.0% | 48.2% |
| 2013 | -2.5% | 5.3% | -1.8% | 6.4% | -5.8% | -2.3% | 0.7% | -3.9% | 0.9% | -1.5% | 0.9% | 1.1% | -3.0% |
| 2014 | 3.0% | 7.5% | 2.0% | 11.4% | 0.1% | 0.7% | 5.2% | -2.0% | -0.5% | 2.2% | -1.0% | 2.8% | 35.3% |
| 2015 | 0.2% | 3.4% | 2.3% | 2.2% | 0.9% | 4.7% | 3.5% | 14.2% | -1.3% | 5.5% | 5.5% | 6.3% | 57.9% |
| 2016 | 5.6% | 2.0% | -0.1% | 3.0% | 2.3% | 8.7% | -5.2% | -2.5% | 4.9% | 0.8% | 0.1% | 0.8% | 21.7% |
| 2017 | -0.7% | -0.2% | 2.1% | -0.1% | 5.2% | 8.8% | 0.4% | 13.0% | -0.2% | 2.8% | 4.8% | -0.4% | 40.5% |
| 2018 | 6.9% | 14.7% | 3.1% | 7.8% | -0.4% | 0.0% | 5.9% | 2.1% | 0.0% | 25.8% | 8.7% | -1.8% | 96.9% |
| 2019 | 10.7% | -0.5% | -0.3% | -2.3% | 0.0% | 3.0% | -2.9% | 3.5% | 0.1% | 2.7% | -1.0% | 0.0% | 13.1% |
| 2020 | 3.1% | 9.6% | 5.2% | 14.4% | -1.4% | 14.8% | 4.2% | 7.0% | 5.7% | 8.7% | -1.7% | 0.0% | 93.7% |
| 2021 | -2.0% | 6.1% | 15.0% | 1.0% | 9.1% | -2.5% | -1.5% | -0.2% | 1.5% | 3.5% | 2.5% | 8.1% | 46.9% |
| 2022 | 21.7% | 17.5% | 18.1% | 28.1% | 13.3% | 7.8% | 1.2% | 3.5% | 4.1% | -4.2% | 17.8% | 0.2% | 225.5% |
| 2023 | 3.6% | -2.6% | 1.8% | 3.7% | -0.4% | 4.7% | 5.2% | 3.0% | 1.6% | -1.8% | 8.4% | -1.2% | 28.6% |
| 2024 | -1.2% | -0.7% | 0.9% | 14.2% | 0.5% | 3.3% | 11.1% | 1.3% | 9.1% | 4.0% | 5.6% | 9.5% | 73.3% |
| 2025 | -6.6% | 1.4% | 2.4% | 13.8% | -2.5% | -3.0% | -2.5% | -1.0% | -3.1% | 5.3% | -1.7% | -2.2% | -1.2% |
| 2026 | -5.4% | -1.0% | 8.6% | 8.7% | -2.0% | 7.3% | -3.1% | 5.8% | -1.3% | - | - | - | 17.5% |