System Detail
Qnt4ls Nq
Intra day Long short system. This backtest uses 3x leverage.
Tear Sheet
QNT4LS_NQ
Day Trading CAGR 56.31%
Sharpe 2.67
Max DD -20.08%
CAR/DD 2.80
Profit Factor 1.27
Exposure 33.29%
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 | - | - | - | 4.7% | -3.8% | 2.8% | -0.3% | 5.8% | -5.9% | 4.7% | 7.2% | 10.1% | 27.1% |
| 2007 | 11.8% | -2.7% | 0.0% | -3.0% | 7.8% | 3.0% | 4.6% | 2.1% | 0.1% | 8.1% | 10.4% | -5.0% | 42.1% |
| 2008 | 14.7% | 7.7% | 22.9% | 18.5% | 13.8% | -4.3% | -5.4% | 8.8% | 9.6% | 35.6% | 31.0% | 29.3% | 407.6% |
| 2009 | -7.4% | 11.2% | 17.7% | -2.0% | 17.8% | 4.1% | 2.5% | -9.0% | 9.4% | 5.4% | -2.8% | 5.0% | 59.9% |
| 2010 | 5.6% | 9.1% | -2.2% | 6.8% | 2.1% | 14.2% | 10.5% | 2.7% | 3.2% | -8.1% | 11.9% | 7.3% | 81.0% |
| 2011 | 5.7% | 2.5% | 6.9% | -0.6% | -5.4% | 18.4% | 5.0% | 20.1% | -15.8% | 6.4% | 14.2% | 7.0% | 78.2% |
| 2012 | -5.4% | -4.5% | 4.4% | 1.0% | 0.8% | 2.6% | 0.8% | 3.8% | 1.6% | 0.5% | 11.1% | 12.6% | 31.5% |
| 2013 | -8.2% | 6.1% | 0.5% | 6.9% | 0.5% | 0.3% | -4.8% | -5.9% | -0.9% | 3.4% | 3.2% | 2.3% | 2.1% |
| 2014 | 3.5% | -0.4% | 13.5% | 6.1% | 0.8% | -5.3% | -2.1% | -5.3% | 5.9% | 4.7% | 6.9% | 1.9% | 32.9% |
| 2015 | 9.6% | 0.3% | 0.4% | -1.6% | 6.0% | 2.6% | 5.7% | -6.4% | 9.1% | 4.7% | -2.5% | 2.2% | 32.9% |
| 2016 | 28.2% | 1.7% | 8.1% | 3.6% | 3.8% | 6.6% | -7.3% | -1.0% | 3.7% | 3.6% | 4.5% | -0.9% | 64.8% |
| 2017 | 2.4% | 2.4% | -0.9% | 2.6% | 2.9% | 13.7% | 8.7% | 5.1% | -0.6% | -4.0% | -1.1% | 3.7% | 39.4% |
| 2018 | 17.1% | 1.8% | 10.8% | 1.3% | -3.4% | 3.8% | 8.8% | 6.3% | 2.0% | 1.3% | 5.8% | -1.9% | 66.5% |
| 2019 | 4.8% | -3.7% | 0.3% | -4.3% | -3.7% | 6.4% | 1.0% | -3.6% | 3.8% | 1.4% | -3.4% | 0.7% | -1.0% |
| 2020 | -5.8% | 1.1% | 9.9% | 18.7% | 10.2% | 3.4% | 9.1% | 2.8% | 0.5% | 10.9% | 3.8% | -4.5% | 75.6% |
| 2021 | 2.5% | -2.4% | 3.9% | 7.8% | 7.2% | -2.1% | -5.7% | 5.5% | -3.1% | 5.0% | 3.6% | 24.1% | 52.9% |
| 2022 | 8.8% | -7.1% | 34.6% | 24.1% | 16.2% | 15.6% | 4.5% | 7.2% | 3.8% | 17.7% | 2.3% | 7.9% | 242.3% |
| 2023 | -3.5% | 5.3% | -1.7% | 5.5% | 8.2% | -5.9% | -4.4% | 23.5% | -2.8% | -5.7% | 2.3% | 2.6% | 21.8% |
| 2024 | 5.0% | 2.5% | -8.4% | 6.9% | -6.1% | -0.8% | 13.5% | -0.7% | -2.8% | -0.4% | -1.1% | 3.0% | 9.2% |
| 2025 | -3.1% | 3.4% | 5.4% | 35.6% | -4.6% | -6.1% | 1.5% | 2.9% | -1.3% | 12.1% | 13.7% | -5.3% | 59.8% |
| 2026 | -1.3% | 0.6% | 2.8% | -2.2% | 2.1% | 6.4% | -3.6% | 2.7% | 2.1% | - | - | - | 9.6% |