System Detail
Qintradayexpansion
Intra day Long only system. This backtest uses 3x leverage.
Tear Sheet
QIntradayExpansion
Day Trading CAGR 21.24%
Sharpe 3.91
Max DD -14.54%
CAR/DD 1.46
Profit Factor 1.59
Exposure 12.27%
Equity curve
Underwater equity
Monthly Returns
Return heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | - | - | - | -0.4% | 1.0% | -1.3% | 7.3% | 1.6% | 3.0% | -2.3% | 1.2% | -2.8% | 7.3% |
| 2008 | -1.5% | -3.9% | 3.0% | 11.3% | -4.3% | 2.2% | 0.4% | 2.9% | -0.7% | 0.0% | 11.2% | 12.4% | 36.0% |
| 2009 | 3.4% | 0.0% | 9.6% | -1.1% | -0.8% | 0.6% | 4.4% | 4.6% | -1.6% | -3.2% | 1.1% | -2.5% | 14.8% |
| 2010 | -1.5% | -0.1% | 1.7% | 0.9% | 4.1% | 0.6% | 7.5% | 2.2% | 8.6% | -1.5% | -1.1% | -2.7% | 19.6% |
| 2011 | 0.4% | 2.8% | 3.4% | -1.0% | -0.4% | 4.6% | 0.7% | 4.8% | -3.8% | 4.1% | 1.5% | -0.3% | 17.7% |
| 2012 | 0.9% | 0.8% | 3.8% | 2.3% | -0.7% | 6.4% | 10.3% | -1.2% | 6.9% | 0.9% | 5.9% | 2.2% | 45.2% |
| 2013 | -3.2% | 1.9% | 1.6% | 4.5% | -0.8% | 1.1% | -1.3% | -1.0% | 1.2% | 3.2% | 1.3% | -1.0% | 7.6% |
| 2014 | 2.1% | 1.4% | -0.2% | 5.5% | 2.0% | -1.4% | 3.1% | 1.4% | -0.7% | 7.6% | 1.2% | -1.9% | 21.5% |
| 2015 | 0.3% | 3.6% | -0.5% | -0.9% | 3.6% | 1.4% | 3.1% | -1.2% | -1.6% | 2.6% | 5.3% | -0.8% | 15.5% |
| 2016 | 1.1% | 2.5% | 5.1% | 0.6% | 8.9% | 1.9% | 2.3% | -1.2% | 0.6% | -1.2% | 0.4% | -1.6% | 20.7% |
| 2017 | -1.5% | 0.0% | -2.0% | 1.6% | 2.2% | 3.5% | -0.2% | 5.2% | -2.2% | 1.4% | 2.1% | 1.8% | 12.1% |
| 2018 | 7.2% | 1.8% | 1.3% | 0.8% | 0.5% | -0.1% | 7.9% | 1.4% | -0.8% | -3.5% | 2.8% | -1.7% | 18.5% |
| 2019 | 10.4% | 0.5% | 1.2% | 1.3% | 1.3% | 6.9% | -3.0% | 3.3% | 4.6% | 1.4% | 0.9% | 3.2% | 35.9% |
| 2020 | 1.2% | 3.1% | 0.0% | 8.7% | 1.7% | 1.1% | -2.5% | 5.3% | 0.3% | 7.6% | 2.9% | -3.5% | 28.3% |
| 2021 | 3.8% | -6.1% | 6.1% | 1.4% | 2.8% | 0.2% | -2.3% | 7.3% | -2.1% | 0.9% | 0.4% | 5.1% | 18.1% |
| 2022 | 3.3% | -0.8% | 7.1% | 2.1% | 9.9% | -2.0% | 3.2% | 5.1% | -0.8% | -1.9% | 3.9% | -0.9% | 30.8% |
| 2023 | -0.9% | -0.1% | -0.7% | 4.9% | 11.2% | 5.0% | -1.2% | 4.3% | -1.9% | -1.6% | 0.5% | -0.6% | 19.6% |
| 2024 | 5.9% | 1.8% | 2.1% | 1.1% | 3.9% | 1.6% | 2.7% | -0.3% | -1.5% | -0.7% | 2.8% | 9.6% | 32.8% |
| 2025 | -3.4% | 5.6% | -0.7% | 2.6% | 4.7% | 1.7% | -1.9% | -0.4% | 0.2% | 0.6% | 1.1% | -4.5% | 5.3% |
| 2026 | -1.0% | -2.0% | -0.3% | 5.9% | 3.4% | - | - | - | - | - | - | - | 6.1% |