Lab 5 - Nifty
A versatile positional strategy for the Nifty index covering the 5-minute to 30-minute timeframe range. Balances trade frequency with signal quality for robust performance.
2017-01-03 — 2026-08-04 · 472 trades over 9.6 years
Performance Overview
Total Trades
472
Over 9.6 years
Win Rate
61.02%
288W / 184L
Profit Factor
1.66
Gross Profit / Loss
Total P&L
₹9,883.6
Sharpe Ratio
1.15
Annualized
Sortino Ratio
1.14
Downside risk adjusted
Max Drawdown
₹961.65
Kelly Criterion
24.35%
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 | +86 | +24 | +71 | +130 | -15 | +58 | +10 | +6 | +73 | +59 | +73 | -23 | +552 |
| 2018 | -2 | -225 | +275 | +136 | +36 | -202 | +106 | +133 | -269 | +222 | +99 | -266 | +44 |
| 2019 | -75 | +97 | +166 | -16 | +62 | +12 | +7 | +168 | -81 | +28 | +250 | -57 | +561 |
| 2020 | -108 | -6 | -265 | -48 | -53 | +334 | +110 | +177 | -303 | +24 | +397 | -143 | +116 |
| 2021 | +63 | +745 | +492 | +291 | +333 | +481 | -92 | +210 | -25 | +32 | +106 | +97 | +2732 |
| 2022 | -138 | -307 | +75 | +99 | +10 | -108 | +131 | +20 | +411 | +368 | +288 | +105 | +954 |
| 2023 | -37 | +114 | -148 | +311 | +99 | +54 | +369 | +180 | +40 | +2 | +280 | +163 | +1424 |
| 2024 | +251 | -217 | -140 | +26 | +48 | -412 | +68 | +296 | +147 | -86 | +163 | -256 | -112 |
| 2025 | +112 | +217 | -76 | +692 | +20 | +350 | +77 | +30 | +142 | +224 | -172 | -400 | +1215 |
| 2026 | +259 | +1010 | +365 | +963 | -39 | -318 | +140 | +17 | — | — | — | — | +2397 |
Key Performance Metrics
Performance
Total Trades
472
Win Rate
61.02%
Profit Factor
1.66
Payoff Ratio
1.03
Total P&L
₹9,883.6
Risk-Adjusted Returns
Sharpe Ratio
1.15
Sortino Ratio
1.14
Calmar Ratio
1.03
Omega Ratio
1.66
Kelly Criterion
24.35%
Risk
Max Drawdown
₹961.65
Longest DD (days)
308
Avg Drawdown
₹176.91
Avg DD Days
52
Recovery Factor
10.28
Volatility (ann.)
5.4%
Distribution
Skewness
0.25
Kurtosis
6.4
Avg Return/Trade
0.13%
Avg Win
0.54%
Avg Loss
-0.52%
Extremes
Largest Win
₹950 (4.85%)
Largest Loss
₹-439.95 (-3.6%)
Best Month
₹1,010.15
Worst Month
₹-411.95
Best Year
₹2,731.95
Worst Year
₹-112.5
Streaks & Consistency
Max Consecutive Wins
8
Max Consecutive Losses
6
Gross Profit
₹24,771.15
Gross Loss
₹14,887.55
Avg Up Month
₹185.35
Avg Down Month
₹-146.57
Win Month %
69.83%
Win Year %
90%
Avg Duration
42 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2022-01-18 | 2022-10-04 | ₹961.65 | 259 |
| 2 | 2020-02-11 | 2020-08-25 | ₹759.15 | 196 |
| 3 | 2024-01-30 | 2024-12-03 | ₹752.25 | 308 |
| 4 | 2025-11-04 | 2026-02-03 | ₹730.65 | 91 |
| 5 | 2021-11-09 | 2022-01-04 | ₹560 | 56 |
| 6 | 2026-02-17 | 2026-03-17 | ₹477.4 | 28 |
| 7 | 2024-12-03 | 2025-04-08 | ₹431.1 | 126 |
| 8 | 2020-08-25 | 2020-11-24 | ₹402.2 | 91 |
| 9 | 2018-01-23 | 2018-04-03 | ₹372.9 | 70 |
| 10 | 2026-04-28 | — | ₹368.8 | 98 |
EOY Returns
| Year | P&L |
|---|---|
| 2017 | +₹551.85 |
| 2018 | +₹43.8 |
| 2019 | +₹561.5 |
| 2020 | +₹116.25 |
| 2021 | +₹2,731.95 |
| 2022 | +₹954.15 |
| 2023 | +₹1,424.1 |
| 2024 | ₹-112.5 |
| 2025 | +₹1,215.25 |
| 2026 | +₹2,397.25 |