System Detail
Qnml15m
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
QNML15M
Day Trading CAGR 24.09%
Sharpe 5.65
Max DD -8.46%
CAR/DD 2.85
Profit Factor 1.60
Exposure 2.62%
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 | - | - | - | 0.0% | 0.0% | 0.0% | -1.1% | -3.5% | -1.4% | 0.1% | 0.7% | -2.0% | -7.1% |
| 2007 | 5.6% | 0.3% | 2.1% | -1.9% | 1.8% | 0.4% | 0.3% | -0.7% | -0.3% | -3.2% | 5.0% | 2.0% | 11.7% |
| 2008 | -2.5% | -0.2% | 10.1% | 12.6% | 0.6% | -1.9% | 2.1% | 9.0% | 2.0% | 2.5% | -4.3% | 2.2% | 35.6% |
| 2009 | 9.6% | 1.9% | 0.4% | 9.3% | 3.7% | 7.0% | 9.8% | -2.6% | 1.3% | -0.4% | 8.2% | 1.4% | 61.0% |
| 2010 | -2.2% | -5.1% | 0.0% | 2.4% | 2.6% | 6.3% | -0.2% | -0.5% | 4.6% | -1.1% | 2.3% | -2.8% | 5.8% |
| 2011 | 2.2% | 1.2% | 4.2% | -1.7% | 0.8% | 8.8% | 9.1% | 1.0% | -1.6% | 1.2% | 2.7% | 3.5% | 35.6% |
| 2012 | -2.5% | 0.2% | 2.1% | 5.0% | 1.6% | 6.6% | 2.6% | 0.9% | 5.1% | 1.4% | 3.7% | 2.1% | 32.3% |
| 2013 | -1.6% | 2.2% | 0.6% | 7.6% | -1.2% | 1.0% | 0.6% | -0.6% | 2.0% | -2.8% | 1.1% | 3.3% | 12.5% |
| 2014 | 2.4% | -0.8% | -0.4% | 0.7% | 0.3% | 0.6% | 3.5% | 2.6% | 0.4% | 10.7% | -1.1% | 0.8% | 21.2% |
| 2015 | 3.7% | 1.5% | 1.5% | 1.9% | 2.4% | 1.2% | 0.7% | 5.1% | -0.6% | 4.8% | 0.4% | 5.5% | 31.7% |
| 2016 | -5.0% | 0.9% | 3.9% | 1.9% | 6.2% | 1.3% | 2.6% | 1.0% | -1.0% | 0.5% | -0.4% | 3.8% | 16.3% |
| 2017 | 1.8% | -0.9% | 0.3% | 0.8% | 2.7% | 0.8% | -2.0% | 4.5% | -1.5% | 2.2% | 2.9% | 0.1% | 12.2% |
| 2018 | 5.9% | 2.0% | 2.2% | 6.0% | 0.7% | -0.7% | 1.8% | 0.8% | 1.8% | 4.8% | 1.7% | 1.6% | 32.2% |
| 2019 | 4.8% | 0.9% | 4.7% | 1.4% | 0.0% | 6.4% | -1.5% | 3.1% | -2.0% | 1.5% | 1.0% | 0.9% | 23.0% |
| 2020 | 1.3% | 3.5% | -0.1% | 10.4% | 0.4% | -3.0% | 4.9% | 0.5% | -0.5% | 1.7% | 3.4% | 0.1% | 24.3% |
| 2021 | 1.9% | -0.2% | 10.3% | 1.9% | 3.4% | 5.0% | -0.8% | 2.9% | -0.4% | 1.5% | 0.3% | 7.0% | 37.4% |
| 2022 | 2.3% | -1.9% | 9.2% | 1.7% | 15.2% | 0.4% | 2.1% | 0.7% | 0.4% | 2.1% | 10.4% | 0.9% | 51.3% |
| 2023 | 8.1% | 2.6% | 3.7% | 8.0% | 9.4% | -2.1% | 0.1% | 3.9% | -1.0% | -0.1% | -3.5% | -0.6% | 31.5% |
| 2024 | 6.4% | 1.7% | 0.4% | 2.8% | 0.3% | 2.7% | 1.5% | 0.6% | -2.1% | -1.1% | 0.5% | 5.0% | 19.9% |
| 2025 | 3.1% | 0.7% | -0.1% | 1.6% | 0.1% | 1.1% | 0.0% | 2.6% | 1.0% | -0.3% | 1.3% | -2.2% | 9.1% |
| 2026 | 0.0% | -0.3% | -1.8% | 6.3% | 4.6% | -0.8% | -2.9% | 5.6% | - | - | - | - | 10.7% |