System Detail
Qnhl1
Short term Long only system. This backtest uses 3x leverage.
Tear Sheet
QNHL1
Positional CAGR 20.88%
Sharpe 5.19
Max DD -15.69%
CAR/DD 1.33
Profit Factor 1.70
Exposure 7.67%
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% | -3.4% | -1.5% | -1.9% | -1.6% | 1.5% | -10.1% |
| 2008 | -0.3% | -2.2% | 1.3% | 8.8% | 4.0% | -1.4% | -1.0% | -0.8% | -3.2% | 0.5% | -2.1% | -1.4% | 1.8% |
| 2009 | 2.5% | -0.1% | 11.2% | 15.4% | 6.7% | 7.1% | 3.1% | -2.8% | -3.0% | 0.6% | 9.7% | -0.8% | 59.8% |
| 2010 | 1.5% | 0.4% | 3.2% | 1.2% | -2.0% | 0.6% | -2.6% | -1.2% | 0.7% | -1.7% | 1.4% | -3.4% | -2.2% |
| 2011 | 1.9% | 2.1% | 0.1% | -0.5% | -1.8% | 6.2% | 4.2% | 0.1% | 1.0% | 2.4% | 5.3% | 1.7% | 24.9% |
| 2012 | -1.1% | -1.6% | 1.6% | 3.2% | 1.9% | 6.4% | 0.8% | -3.3% | 5.5% | 0.0% | 3.7% | 2.6% | 21.1% |
| 2013 | -3.1% | 1.3% | 1.1% | 5.7% | 1.6% | 2.6% | 3.1% | 1.2% | -0.1% | -1.7% | 2.0% | 0.9% | 15.4% |
| 2014 | -1.5% | -0.1% | 0.3% | 2.0% | 5.2% | 0.3% | 0.6% | 1.9% | -0.4% | 1.8% | 2.1% | 0.3% | 12.7% |
| 2015 | 1.5% | 1.5% | -0.9% | 3.0% | -2.3% | 4.1% | 4.1% | 0.8% | -0.9% | -0.3% | -1.1% | 1.9% | 11.7% |
| 2016 | 5.4% | -4.0% | 9.0% | 0.9% | 5.8% | -2.3% | 2.9% | 1.8% | 1.1% | -0.7% | 2.0% | 4.3% | 28.7% |
| 2017 | -0.2% | 0.9% | -0.4% | 0.8% | 2.2% | 0.3% | 3.5% | 6.3% | -0.4% | 1.4% | 4.3% | 1.4% | 21.8% |
| 2018 | 7.9% | 3.4% | 2.8% | 3.1% | 4.2% | 3.0% | 4.9% | 2.6% | 2.8% | 0.1% | 0.0% | -2.5% | 37.1% |
| 2019 | 5.1% | 4.9% | 9.0% | 2.1% | 0.1% | 4.6% | -1.1% | 1.4% | 0.5% | 3.1% | 2.2% | 1.0% | 37.6% |
| 2020 | 4.2% | -0.5% | -3.5% | 21.4% | 1.0% | -3.0% | 6.6% | 1.9% | 1.3% | -1.4% | 3.6% | -2.0% | 31.1% |
| 2021 | 7.9% | 5.9% | 1.1% | 1.4% | 3.1% | 1.2% | 0.3% | 3.0% | 0.3% | 5.4% | 2.7% | 9.1% | 49.2% |
| 2022 | 1.4% | -0.8% | 1.4% | 1.0% | 14.7% | 1.3% | -0.6% | 2.3% | -2.4% | 6.8% | -3.7% | 0.9% | 23.4% |
| 2023 | 4.5% | -1.3% | 17.8% | 2.8% | 11.3% | -2.0% | -1.2% | 3.3% | -1.6% | -2.8% | -0.6% | -3.1% | 27.9% |
| 2024 | 0.9% | 4.0% | 0.3% | 3.3% | -1.7% | 4.0% | 0.2% | 4.6% | -2.3% | -1.3% | 0.2% | 9.5% | 23.3% |
| 2025 | 0.9% | -2.5% | -0.2% | -1.5% | 2.5% | 0.1% | 1.6% | 5.1% | -2.4% | 2.4% | -3.0% | -1.7% | 1.0% |
| 2026 | -5.2% | 0.8% | -3.0% | 3.3% | 11.7% | -0.9% | -0.8% | 6.8% | -1.2% | - | - | - | 11.0% |