Lab 4 - Nifty (15m+)
A positional Nifty strategy designed for higher timeframes above 15 minutes. Focuses on capturing larger directional moves with fewer but higher-quality trades.
2017-01-03 — 2026-08-04 · 1015 trades over 9.6 years
Performance Overview
Total Trades
1015
Over 9.6 years
Win Rate
50.15%
509W / 506L
Profit Factor
2.03
Gross Profit / Loss
Total P&L
₹22,886.3
Sharpe Ratio
2.2
Annualized
Sortino Ratio
3.68
Downside risk adjusted
Max Drawdown
₹633.95
Kelly Criterion
25.48%
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 | +176 | +155 | +109 | -4 | -45 | -3 | +9 | +132 | +83 | +16 | -54 | -1 | +574 |
| 2018 | +330 | +199 | +207 | +106 | +189 | +219 | +124 | +132 | +56 | -205 | +245 | +151 | +1752 |
| 2019 | -21 | +14 | +310 | +195 | +480 | +60 | -97 | +40 | +595 | +175 | +135 | +157 | +2043 |
| 2020 | -98 | +70 | +595 | +77 | +200 | +998 | +387 | +268 | +16 | +196 | +710 | +526 | +3944 |
| 2021 | +299 | +1151 | -366 | +17 | -50 | +504 | -10 | +432 | +353 | +56 | +357 | +373 | +3116 |
| 2022 | -430 | +349 | +1054 | +273 | +432 | -362 | +413 | +54 | +234 | +361 | +240 | +209 | +2827 |
| 2023 | -99 | -8 | +132 | -130 | +723 | +341 | +134 | +64 | +268 | +11 | +78 | +169 | +1681 |
| 2024 | +395 | +146 | +163 | +633 | +22 | +902 | +169 | -42 | +188 | -163 | +907 | +193 | +3513 |
| 2025 | -13 | +190 | +866 | +604 | -411 | +197 | +55 | +95 | +387 | +352 | +12 | -117 | +2216 |
| 2026 | -127 | -172 | +27 | +992 | +63 | +623 | -187 | +0 | — | — | — | — | +1219 |
Key Performance Metrics
Performance
Total Trades
1015
Win Rate
50.15%
Profit Factor
2.03
Payoff Ratio
2.1
Total P&L
₹22,886.3
Risk-Adjusted Returns
Sharpe Ratio
2.2
Sortino Ratio
3.68
Calmar Ratio
3.43
Omega Ratio
2.03
Kelly Criterion
25.48%
Risk
Max Drawdown
₹633.95
Longest DD (days)
136
Avg Drawdown
₹119.58
Avg DD Days
21
Recovery Factor
36.1
Volatility (ann.)
7.39%
Distribution
Skewness
2.67
Kurtosis
19.82
Avg Return/Trade
0.15%
Avg Win
0.58%
Avg Loss
-0.28%
Extremes
Largest Win
₹891.65 (6.32%)
Largest Loss
₹-453.8 (-4.23%)
Best Month
₹1,151.45
Worst Month
₹-429.7
Best Year
₹3,944.3
Worst Year
₹573.85
Streaks & Consistency
Max Consecutive Wins
9
Max Consecutive Losses
10
Gross Profit
₹45,050.45
Gross Loss
₹22,164.15
Avg Up Month
₹286.85
Avg Down Month
₹-128.68
Win Month %
78.45%
Win Year %
100%
Avg Duration
10.1 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2026-01-13 | 2026-04-08 | ₹633.95 | 85 |
| 2 | 2025-04-21 | 2025-09-04 | ₹573.35 | 136 |
| 3 | 2021-12-28 | 2022-02-16 | ₹558.35 | 50 |
| 4 | 2020-04-23 | 2020-05-28 | ₹556.1 | 36 |
| 5 | 2026-04-08 | 2026-05-04 | ₹529.65 | 26 |
| 6 | 2021-02-25 | 2021-06-22 | ₹513.05 | 117 |
| 7 | 2020-02-06 | 2020-03-20 | ₹511 | 44 |
| 8 | 2022-05-30 | 2022-08-01 | ₹477.4 | 64 |
| 9 | 2022-04-04 | 2022-05-27 | ₹379.05 | 53 |
| 10 | 2018-09-14 | 2018-11-30 | ₹376.5 | 77 |
EOY Returns
| Year | P&L |
|---|---|
| 2017 | +₹573.85 |
| 2018 | +₹1,752.4 |
| 2019 | +₹2,043.05 |
| 2020 | +₹3,944.3 |
| 2021 | +₹3,116.35 |
| 2022 | +₹2,827.25 |
| 2023 | +₹1,681 |
| 2024 | +₹3,513.1 |
| 2025 | +₹2,216.15 |
| 2026 | +₹1,218.85 |