System Detail
Qnhl2
Short term Long only system. This backtest uses 3x leverage.
Tear Sheet
QNHL2
Positional CAGR 29.60%
Sharpe 3.62
Max DD -20.35%
CAR/DD 1.45
Profit Factor 1.56
Exposure 15.00%
Equity curve
Underwater equity
Monthly Returns
Return heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | - | - | - | 0.0% | -0.8% | -0.9% | 2.7% | 2.0% | -1.1% | 0.6% | 0.0% | 0.1% | 2.5% |
| 2008 | -4.3% | -7.2% | 2.2% | 6.7% | 8.8% | -2.1% | 4.7% | 5.9% | -4.7% | -1.9% | -1.0% | -3.2% | 2.3% |
| 2009 | 8.5% | -0.3% | 12.1% | 5.3% | 2.6% | 0.6% | 9.7% | -4.2% | -5.1% | -0.8% | 6.6% | 0.0% | 39.3% |
| 2010 | -2.8% | 0.3% | 5.1% | -1.4% | 3.4% | 1.8% | 4.6% | 0.3% | 4.9% | 3.5% | 0.8% | -0.5% | 21.5% |
| 2011 | 2.6% | 5.0% | 0.8% | -3.9% | -4.2% | 6.2% | 3.3% | 12.0% | -0.2% | 5.7% | 0.9% | -2.5% | 27.6% |
| 2012 | -1.2% | -3.8% | 8.5% | 3.4% | 2.1% | 11.1% | 2.6% | 1.2% | 4.0% | -2.2% | 5.5% | 1.6% | 37.1% |
| 2013 | -2.7% | 1.0% | -2.0% | 0.3% | 0.9% | -2.0% | 4.4% | -1.4% | -1.5% | 7.9% | -1.5% | 1.8% | 4.8% |
| 2014 | 4.6% | 10.5% | -2.5% | 0.1% | 6.1% | 2.8% | 1.3% | 5.6% | 0.4% | 13.2% | 1.2% | 2.0% | 54.2% |
| 2015 | 7.5% | 5.5% | 0.5% | 4.2% | 1.5% | 4.0% | 9.7% | 1.5% | -4.1% | 0.9% | 2.3% | 2.1% | 41.1% |
| 2016 | 2.1% | -6.3% | 10.6% | -0.4% | 7.8% | 3.5% | 5.5% | 0.9% | -4.1% | 0.2% | 6.5% | 0.9% | 29.4% |
| 2017 | 2.8% | -2.0% | -0.4% | -0.2% | 5.1% | 2.1% | 0.7% | 2.8% | -1.3% | 2.7% | 0.8% | 1.9% | 15.6% |
| 2018 | 8.6% | 2.2% | 5.6% | 6.3% | 0.3% | 5.3% | 1.7% | 2.9% | 3.1% | 1.7% | 0.1% | -3.4% | 39.9% |
| 2019 | 2.3% | 4.3% | 3.3% | 0.7% | 6.9% | 9.4% | -3.0% | 2.2% | 6.3% | -0.5% | 2.5% | 1.1% | 41.0% |
| 2020 | 1.8% | 2.4% | -7.0% | 17.2% | 2.7% | 1.2% | 6.0% | 5.3% | -1.7% | 9.4% | 1.4% | -0.2% | 43.6% |
| 2021 | 7.0% | 6.7% | 11.6% | 5.3% | 5.1% | 0.3% | 6.0% | 6.6% | -1.9% | 5.8% | 5.5% | 11.1% | 94.5% |
| 2022 | 7.1% | -3.2% | 4.3% | -0.7% | 14.3% | -2.4% | 9.9% | -1.7% | -2.5% | -3.6% | 2.3% | -3.7% | 19.9% |
| 2023 | 3.9% | -4.8% | 12.8% | -0.1% | 16.6% | 0.4% | 1.5% | 3.4% | -5.4% | -3.5% | 7.1% | -2.3% | 30.8% |
| 2024 | 4.9% | 5.6% | 1.3% | 2.6% | -1.9% | 0.3% | 0.0% | 1.8% | -2.1% | -0.1% | -0.6% | 5.5% | 18.3% |
| 2025 | -0.7% | -6.8% | -2.4% | 0.6% | -0.2% | 1.6% | 1.5% | 2.0% | 1.6% | 9.2% | -0.8% | -1.3% | 3.7% |
| 2026 | -0.1% | 1.7% | 2.2% | 10.7% | 9.5% | - | - | - | - | - | - | - | 25.8% |