Lab 3 - Nifty (5min)
A positional trading strategy for NSE Nifty on 5-minute timeframe.
2017-01-03 — 2026-08-06 · 1524 trades over 9.6 years
Performance Overview
Total Trades
1524
Over 9.6 years
Win Rate
54.07%
824W / 700L
Profit Factor
1.35
Gross Profit / Loss
Total P&L
₹15,755.2
Sharpe Ratio
1.28
Annualized
Sortino Ratio
1.41
Downside risk adjusted
Max Drawdown
₹1,426.15
Kelly Criterion
13.91%
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 | -19 | +143 | -3 | +25 | -68 | -121 | +260 | +46 | -9 | +207 | -215 | +29 | +274 |
| 2018 | +298 | -119 | -21 | +395 | +25 | +226 | +391 | -41 | -80 | -10 | +329 | +102 | +1493 |
| 2019 | +91 | -13 | +311 | +93 | +369 | -71 | -140 | +84 | +416 | -28 | -118 | -218 | +776 |
| 2020 | +5 | -96 | -90 | +16 | -48 | -215 | +317 | +137 | +309 | +358 | +507 | +361 | +1561 |
| 2021 | -208 | +566 | +186 | +61 | +444 | +379 | +119 | -116 | -70 | +341 | -679 | +101 | +1124 |
| 2022 | +246 | +206 | +690 | -229 | +625 | -888 | +991 | +193 | -242 | +140 | +301 | +273 | +2306 |
| 2023 | -172 | +293 | -409 | -14 | +282 | +153 | +185 | -52 | +286 | +203 | +493 | +856 | +2105 |
| 2024 | -22 | +147 | +336 | +132 | -123 | +231 | +371 | +42 | +522 | -116 | -13 | +128 | +1634 |
| 2025 | -259 | +100 | +467 | +460 | -253 | +692 | -104 | -12 | +318 | +762 | +259 | +210 | +2640 |
| 2026 | -610 | +830 | -106 | +1264 | +300 | +383 | -121 | -97 | — | — | — | — | +1843 |
Key Performance Metrics
Performance
Total Trades
1524
Win Rate
54.07%
Profit Factor
1.35
Payoff Ratio
1.14
Total P&L
₹15,755.2
Risk-Adjusted Returns
Sharpe Ratio
1.28
Sortino Ratio
1.41
Calmar Ratio
1.08
Omega Ratio
1.35
Kelly Criterion
13.91%
Risk
Max Drawdown
₹1,426.15
Longest DD (days)
377
Avg Drawdown
₹201.43
Avg DD Days
25
Recovery Factor
11.05
Volatility (ann.)
8.07%
Distribution
Skewness
0.78
Kurtosis
11.88
Avg Return/Trade
0.06%
Avg Win
0.47%
Avg Loss
-0.41%
Extremes
Largest Win
₹975.2 (5.7%)
Largest Loss
₹-560.5 (-5.25%)
Best Month
₹1,263.8
Worst Month
₹-888.15
Best Year
₹2,639.7
Worst Year
₹273.55
Streaks & Consistency
Max Consecutive Wins
9
Max Consecutive Losses
7
Gross Profit
₹61,248
Gross Loss
₹45,492.8
Avg Up Month
₹311.32
Avg Down Month
₹-151.35
Win Month %
62.07%
Win Year %
100%
Avg Duration
36.3 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2019-09-20 | 2020-10-01 | ₹1,426.15 | 377 |
| 2 | 2022-06-03 | 2022-08-01 | ₹1,065.3 | 60 |
| 3 | 2021-10-18 | 2022-02-15 | ₹1,054.05 | 121 |
| 4 | 2026-02-23 | 2026-04-08 | ₹840.45 | 44 |
| 5 | 2022-02-16 | 2022-03-30 | ₹767.05 | 42 |
| 6 | 2024-12-16 | 2025-03-24 | ₹764.1 | 99 |
| 7 | 2026-01-02 | 2026-02-03 | ₹753.45 | 32 |
| 8 | 2025-05-23 | 2025-07-30 | ₹697.4 | 68 |
| 9 | 2023-03-03 | 2023-07-04 | ₹687.85 | 124 |
| 10 | 2026-07-10 | — | ₹560.9 | 28 |
EOY Returns
| Year | P&L |
|---|---|
| 2017 | +₹273.55 |
| 2018 | +₹1,492.95 |
| 2019 | +₹776.05 |
| 2020 | +₹1,560.65 |
| 2021 | +₹1,124.1 |
| 2022 | +₹2,306.3 |
| 2023 | +₹2,104.9 |
| 2024 | +₹1,634 |
| 2025 | +₹2,639.7 |
| 2026 | +₹1,843 |