System Detail
Qnhl1
Short term Long only system. This backtest uses 3x leverage.
Tear Sheet
QNHL1
Positional CAGR 21.41%
Sharpe 5.25
Max DD -18.27%
CAR/DD 1.17
Profit Factor 1.77
Exposure 7.72%
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% | -1.6% | -0.6% | -1.3% | -2.8% | -1.3% | -1.9% | -1.6% | 0.0% | -10.6% |
| 2008 | -2.1% | -2.4% | 0.8% | 9.6% | 0.0% | -1.4% | -0.1% | -2.2% | -3.2% | -1.5% | -2.0% | -1.5% | -6.4% |
| 2009 | 11.1% | -0.1% | 11.0% | 13.9% | 6.6% | 8.3% | 4.0% | -2.8% | -2.3% | 1.9% | 8.6% | -0.3% | 76.8% |
| 2010 | -0.1% | 0.4% | 2.9% | 2.1% | -2.0% | 0.8% | -2.6% | -1.2% | 0.2% | -2.5% | 1.4% | -3.2% | -3.9% |
| 2011 | 2.1% | 1.6% | 4.3% | -1.6% | -1.6% | 6.2% | 2.8% | -0.6% | 2.2% | 6.2% | 2.2% | 1.4% | 27.9% |
| 2012 | -1.6% | -1.1% | 3.0% | 3.2% | 1.9% | 5.7% | 0.1% | -3.7% | 5.2% | 0.5% | 3.7% | 1.8% | 20.0% |
| 2013 | -2.6% | 1.3% | 1.1% | 6.3% | 1.9% | 3.0% | 3.0% | 1.2% | -0.7% | -0.7% | 0.8% | 1.1% | 16.4% |
| 2014 | -1.8% | -0.8% | 0.3% | 1.2% | 5.3% | 0.7% | 0.0% | 2.4% | -0.1% | 2.6% | 1.7% | 0.3% | 12.3% |
| 2015 | 1.8% | 1.2% | -0.9% | 3.0% | -2.3% | 4.4% | 3.8% | 0.8% | -0.9% | -0.8% | -0.4% | 1.7% | 11.8% |
| 2016 | -1.4% | -1.4% | 8.3% | 1.1% | 5.1% | -2.3% | 2.5% | 1.6% | 0.3% | -0.7% | 1.5% | 4.9% | 20.8% |
| 2017 | 0.9% | 0.0% | 0.1% | 0.1% | 2.0% | 0.3% | 2.1% | 6.1% | -1.2% | 1.8% | 4.1% | 2.0% | 19.8% |
| 2018 | 6.9% | 3.5% | 3.2% | 3.1% | 5.4% | 2.2% | 5.2% | 2.4% | 2.7% | 0.1% | 0.1% | -0.5% | 39.8% |
| 2019 | 4.0% | 4.4% | 8.6% | 1.0% | 0.3% | 5.0% | -1.0% | 0.8% | 1.0% | 2.5% | 2.6% | 1.2% | 34.4% |
| 2020 | 2.4% | 0.1% | -3.2% | 21.2% | 0.7% | -2.9% | 6.6% | 1.7% | 0.7% | -1.0% | 3.2% | 0.3% | 31.7% |
| 2021 | 7.6% | 5.3% | 1.1% | 1.4% | 3.1% | 1.7% | 0.8% | 3.0% | 0.2% | 3.5% | 2.0% | 9.7% | 46.6% |
| 2022 | 6.6% | -0.3% | 1.4% | 1.9% | 14.7% | 1.3% | -1.5% | 2.3% | -2.2% | 7.1% | -3.5% | 0.3% | 30.2% |
| 2023 | 4.2% | -1.3% | 17.8% | 3.0% | 11.7% | -2.7% | -1.6% | 2.2% | -1.6% | -2.5% | 0.8% | -3.3% | 27.5% |
| 2024 | 6.6% | 4.6% | 1.0% | 5.1% | -2.1% | 4.1% | 0.2% | 4.6% | -1.8% | -1.6% | 0.3% | 8.9% | 33.4% |
| 2025 | 0.4% | -2.5% | -0.2% | -1.9% | 2.5% | 3.0% | 1.1% | 5.1% | -2.3% | 2.3% | -3.0% | -1.7% | 2.5% |
| 2026 | -5.1% | 0.7% | -3.2% | 2.8% | 12.4% | - | - | - | - | - | - | - | 7.0% |