AT14 - Nifty (15min)
A volatility-based positional strategy for Nifty on the 15-minute timeframe, adapting long entries to changing market volatility.
2017-01-05 — 2026-08-26 · 777 trades over 9.6 years
Performance Overview
Total Trades
777
Over 9.6 years
Win Rate
46.59%
362W / 414L
Profit Factor
1.56
Gross Profit / Loss
Total P&L
₹14,709.45
Sharpe Ratio
1.25
Annualized
Sortino Ratio
1.72
Downside risk adjusted
Max Drawdown
₹923.25
Kelly Criterion
16.61%
Optimal bet size
Cumulative Returns (Equity Curve)
Underwater Plot (Drawdowns)
Individual Trade Returns
Return Distribution
Monthly P&L
End of Year Returns
Rolling Sharpe Ratio (20-trade window)
Rolling Sortino Ratio (20-trade window)
Rolling Volatility (20-trade window)
Rolling Win Rate (20-trade window)
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | +3.11% | +0.29% | +1.55% | +1.62% | +0.81% | +0.04% | +1.06% | +0.86% | +0.68% | +0.58% | -1.10% | -0.52% | +8.98% |
| 2018 | +2.55% | -0.43% | +1.34% | +1.47% | +0.61% | +0.63% | +2.41% | +1.64% | -1.01% | -3.16% | -0.11% | +1.18% | +7.12% |
| 2019 | -0.09% | +1.65% | +4.56% | +1.79% | +1.95% | -0.20% | -1.96% | -1.70% | +4.51% | +2.07% | -1.19% | +1.23% | +12.62% |
| 2020 | +0.00% | +0.00% | -4.36% | +3.08% | +0.76% | +8.95% | +1.85% | -1.32% | -0.30% | +1.03% | +5.30% | +2.05% | +17.04% |
| 2021 | +3.62% | +5.99% | +0.20% | -0.49% | +1.75% | -1.53% | -0.00% | +3.18% | +3.20% | +0.98% | -2.41% | +1.65% | +16.14% |
| 2022 | +2.50% | +0.97% | +6.40% | +1.28% | +3.22% | -1.11% | +5.78% | -0.73% | -1.69% | -0.44% | +1.21% | -0.11% | +17.28% |
| 2023 | -0.85% | -0.20% | +0.64% | +1.74% | +1.66% | +0.14% | +2.02% | -0.82% | +2.46% | -0.66% | +2.27% | +2.34% | +10.74% |
| 2024 | +1.24% | -0.41% | +0.88% | +0.91% | -0.74% | +0.34% | +2.01% | +0.78% | -0.65% | -0.82% | +2.28% | -1.05% | +4.77% |
| 2025 | -1.03% | -0.80% | +5.77% | +1.33% | -0.06% | +0.80% | -1.20% | -0.75% | +0.21% | +1.66% | +1.00% | -0.67% | +6.26% |
| 2026 | -0.68% | -0.11% | -1.41% | +2.30% | -0.74% | +0.59% | +0.69% | +0.34% | — | — | — | — | +0.98% |
Key Performance Metrics
Performance
Total Trades
777
Win Rate
46.59%
Profit Factor
1.56
Payoff Ratio
1.85
Total P&L
₹14,709.45
Risk-Adjusted Returns
Sharpe Ratio
1.25
Sortino Ratio
1.72
Calmar Ratio
1.55
Omega Ratio
1.56
Kelly Criterion
16.61%
Risk
Max Drawdown
₹923.25
Longest DD (days)
302
Avg Drawdown
₹203.33
Avg DD Days
40
Recovery Factor
15.93
Volatility (ann.)
8.48%
Distribution
Skewness
1.3
Kurtosis
17.28
Avg Return/Trade
0.13%
Avg Win
0.74%
Avg Loss
-0.4%
Extremes
Largest Win
₹815.2 (8.23%)
Largest Loss
₹-656.75 (-7.45%)
Best Month
₹1,310
Worst Month
₹-459.15
Best Year
₹2,845.5
Worst Year
₹165.2
Streaks & Consistency
Max Consecutive Wins
8
Max Consecutive Losses
9
Gross Profit
₹41,073
Gross Loss
₹26,363.55
Avg Up Month
₹295.68
Avg Down Month
₹-149.54
Win Month %
62.07%
Win Year %
100%
Avg Duration
23.9 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2026-01-02 | 2026-04-08 | ₹923.25 | 96 |
| 2 | 2020-02-06 | 2020-06-01 | ₹861 | 117 |
| 3 | 2019-05-21 | 2019-10-31 | ₹850.75 | 164 |
| 4 | 2024-04-30 | 2024-07-18 | ₹828.4 | 80 |
| 5 | 2024-12-03 | 2025-03-25 | ₹774.3 | 112 |
| 6 | 2026-04-08 | — | ₹773.9 | 141 |
| 7 | 2022-08-02 | 2023-05-30 | ₹738.4 | 302 |
| 8 | 2018-09-06 | 2019-03-14 | ₹610.65 | 190 |
| 9 | 2025-06-30 | 2025-10-17 | ₹592.4 | 110 |
| 10 | 2021-10-18 | 2022-01-06 | ₹574.05 | 80 |
EOY Returns
| Year | P&L |
|---|---|
| 2017 | +₹802.05 |
| 2018 | +₹760.3 |
| 2019 | +₹1,380 |
| 2020 | +₹1,770.1 |
| 2021 | +₹2,416.9 |
| 2022 | +₹2,845.5 |
| 2023 | +₹2,045.4 |
| 2024 | +₹1,080.15 |
| 2025 | +₹1,443.85 |
| 2026 | +₹165.2 |