System Detail
Qqqsbf
Intra day Long short system. This backtest uses 3x leverage.
Tear Sheet
QQQSBF
Day Trading CAGR 28.04%
Sharpe 5.45
Max DD -13.91%
CAR/DD 2.02
Profit Factor 1.69
Exposure 8.10%
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% | 0.3% | 0.8% | 3.0% | -2.9% | -2.1% | -1.1% | 2.6% | 0.2% | 0.6% |
| 2008 | 2.4% | -0.1% | 7.5% | 13.6% | -2.0% | 14.5% | -2.1% | 6.0% | 7.8% | 40.4% | 18.5% | 10.5% | 188.0% |
| 2009 | -7.4% | 3.3% | 3.3% | 4.9% | -3.1% | 6.9% | 0.2% | 1.1% | -1.2% | 1.3% | 4.5% | -0.4% | 13.5% |
| 2010 | 3.4% | 4.7% | 2.2% | 4.1% | 1.8% | 3.8% | 9.6% | 0.1% | -0.4% | 1.2% | 1.6% | -1.0% | 35.3% |
| 2011 | 2.3% | 4.0% | -1.6% | -1.0% | -0.8% | 1.6% | 6.5% | 9.8% | -4.4% | 10.0% | 3.7% | 2.6% | 36.6% |
| 2012 | -1.8% | -0.6% | 1.5% | 3.1% | 2.2% | 3.1% | 6.8% | -0.5% | 3.3% | 0.0% | 2.6% | 0.5% | 22.0% |
| 2013 | -1.7% | 0.9% | -1.9% | 4.3% | 1.0% | 1.7% | -2.6% | -0.5% | -0.3% | 4.1% | 0.6% | 1.3% | 6.9% |
| 2014 | 2.1% | 1.6% | -2.4% | 1.5% | 1.5% | 0.0% | 1.0% | 0.7% | -0.9% | 5.7% | 0.0% | -1.3% | 9.8% |
| 2015 | 1.7% | 1.6% | 0.6% | 2.3% | 0.5% | 1.8% | 0.1% | 11.9% | 6.2% | 0.7% | 3.1% | 0.8% | 35.4% |
| 2016 | 1.1% | -1.4% | 2.6% | 0.4% | 5.5% | 3.2% | 3.5% | -0.2% | 1.6% | 0.4% | 0.9% | 2.4% | 21.7% |
| 2017 | 2.3% | 0.0% | 0.4% | -0.9% | 3.3% | 0.2% | 0.6% | 3.3% | -0.5% | 3.3% | 3.6% | -0.5% | 15.7% |
| 2018 | 5.1% | -1.2% | 9.3% | -0.7% | -2.1% | 4.2% | 4.1% | 1.8% | 2.5% | -1.1% | 10.5% | -2.6% | 33.0% |
| 2019 | 1.6% | 1.8% | 3.1% | 0.1% | 3.7% | 2.6% | -1.5% | -0.7% | -1.4% | 2.9% | 1.3% | -0.9% | 13.1% |
| 2020 | 3.0% | -2.6% | 11.0% | 6.3% | -0.2% | 1.4% | -1.5% | 1.2% | 2.1% | 3.7% | 3.9% | -0.5% | 30.6% |
| 2021 | -1.1% | -6.3% | 0.7% | -1.2% | 8.6% | 4.2% | -4.1% | 1.8% | 4.9% | 4.3% | -1.5% | -0.6% | 9.0% |
| 2022 | 6.4% | 3.0% | -4.6% | 15.7% | 16.6% | 0.4% | 6.6% | 3.6% | 1.2% | 7.2% | -0.8% | 4.6% | 76.0% |
| 2023 | -4.9% | -0.7% | 1.8% | 10.5% | 2.7% | 0.0% | -0.2% | 5.8% | 1.8% | 4.9% | -0.8% | 3.0% | 25.7% |
| 2024 | -0.3% | 2.0% | 3.6% | -0.5% | 0.6% | 3.2% | 9.6% | 4.0% | 4.0% | -1.2% | 2.5% | 4.2% | 36.1% |
| 2025 | 1.0% | -2.5% | 4.2% | 6.5% | -3.5% | 2.3% | -2.6% | -1.0% | -2.6% | 1.6% | 2.1% | 0.6% | 5.8% |
| 2026 | -1.3% | -1.2% | -2.2% | 2.2% | 1.6% | - | - | - | - | - | - | - | -1.0% |