System Detail
Qnml15m
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
QNML15M
Day Trading CAGR 26.23%
Sharpe 4.79
Max DD -8.63%
CAR/DD 3.04
Profit Factor 1.58
Exposure 3.45%
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% | -2.1% | -2.4% | 2.4% | 6.7% | -0.7% | -1.4% | 2.3% |
| 2007 | 8.6% | -0.5% | 2.4% | -2.7% | 2.1% | 3.3% | -1.0% | 6.4% | -0.1% | -2.8% | 5.8% | 0.3% | 23.4% |
| 2008 | -1.6% | 1.0% | 13.8% | 9.3% | 4.0% | -3.6% | 0.5% | 8.5% | 2.4% | -0.1% | -2.9% | 4.7% | 40.5% |
| 2009 | 17.1% | 1.1% | 4.3% | 1.5% | -0.2% | 5.1% | 7.8% | -3.6% | 0.5% | -2.1% | 7.4% | 2.7% | 48.3% |
| 2010 | -1.4% | -5.5% | 1.3% | 2.2% | 2.4% | 5.3% | -0.6% | -1.6% | 2.5% | 0.6% | -0.9% | -2.7% | 1.2% |
| 2011 | 3.1% | 5.1% | 3.9% | -2.4% | 1.8% | 9.8% | 7.2% | 0.7% | 0.7% | 0.3% | 4.9% | 3.9% | 45.9% |
| 2012 | -2.2% | -0.7% | 4.6% | 0.0% | 1.1% | 7.2% | 5.3% | -1.9% | 4.7% | 0.5% | 6.0% | 3.3% | 31.0% |
| 2013 | -2.8% | 2.5% | -0.2% | 4.3% | -2.9% | -0.9% | 0.7% | 0.6% | 0.6% | -1.1% | 3.8% | 2.2% | 6.9% |
| 2014 | 1.1% | -0.5% | 1.7% | -0.8% | 1.9% | 0.9% | 2.7% | 2.1% | 1.5% | 10.8% | -0.3% | 4.2% | 27.7% |
| 2015 | 3.6% | 0.9% | 3.5% | 1.8% | 4.2% | 0.2% | 4.1% | 8.1% | -1.2% | 1.3% | 1.9% | 5.0% | 38.5% |
| 2016 | 0.4% | 1.6% | 8.6% | -0.6% | 5.9% | 3.6% | 0.8% | -0.9% | 0.6% | 0.3% | -0.4% | 2.8% | 24.7% |
| 2017 | 0.5% | -2.0% | 1.4% | 0.6% | 3.8% | 3.2% | -2.2% | 5.4% | -2.1% | 1.7% | 2.1% | -0.7% | 11.9% |
| 2018 | 8.6% | 0.3% | 2.2% | 3.4% | 1.3% | -1.4% | 1.7% | -0.2% | 2.3% | 4.7% | 3.7% | 1.8% | 31.8% |
| 2019 | 8.4% | 0.5% | 2.8% | -0.3% | 0.1% | 8.1% | 0.0% | 3.7% | -2.5% | -1.0% | 1.2% | 1.5% | 24.1% |
| 2020 | 2.9% | 2.7% | 1.3% | 10.7% | -0.2% | -2.1% | 7.7% | 3.2% | -5.3% | 4.2% | 1.0% | -1.2% | 26.6% |
| 2021 | 2.8% | 1.1% | 9.0% | 2.2% | 3.0% | 3.7% | -1.6% | 4.1% | 1.3% | 2.6% | 0.4% | 4.4% | 37.9% |
| 2022 | 0.4% | -2.1% | 8.2% | 0.5% | 16.7% | -1.0% | 2.9% | -0.1% | -0.2% | 5.0% | 11.6% | 1.4% | 50.7% |
| 2023 | 6.3% | 4.3% | -0.8% | 8.0% | 10.3% | -3.2% | -1.6% | 6.0% | -0.7% | 0.9% | -2.2% | -1.8% | 27.2% |
| 2024 | 4.7% | 2.5% | 0.7% | 0.7% | 0.9% | 4.7% | 1.7% | 0.1% | -1.9% | -0.5% | 1.0% | 8.7% | 25.3% |
| 2025 | 1.2% | 0.0% | 1.8% | 3.5% | 0.1% | 0.6% | -2.6% | 1.9% | 0.9% | 0.6% | -0.4% | -1.5% | 6.5% |
| 2026 | -0.2% | 1.6% | -3.7% | 11.6% | 5.8% | 1.4% | -2.9% | 4.9% | 0.3% | - | - | - | 19.5% |