Lab 5375 - MNQ CME Short 15min
A positional short-only strategy for MNQ (Micro Nasdaq) on CME using a 15-minute timeframe with fair value exit signals.
2020-01-08 — 2026-08-11 · 553 trades over 6.6 years
Performance Overview
Total Trades
553
Over 6.6 years
Win Rate
35.44%
196W / 357L
Profit Factor
1.4
Gross Profit / Loss
Total P&L
₹17,900
Sharpe Ratio
0.96
Annualized
Sortino Ratio
1.81
Downside risk adjusted
Max Drawdown
₹2,365
Kelly Criterion
10.07%
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +459 | +14 | +29 | -76 | -248 | +497 | +690 | -510 | +2467 | +507 | +330 | -405 | +3751 |
| 2021 | +235 | +472 | +315 | +101 | -11 | -534 | +263 | -125 | +106 | -50 | -352 | +1716 | +2135 |
| 2022 | +935 | +1921 | -505 | +767 | +2023 | +116 | -737 | +1009 | -134 | -220 | -173 | +739 | +5738 |
| 2023 | -385 | -211 | -363 | +13 | +148 | -175 | -193 | +318 | -240 | +473 | -287 | -396 | -1301 |
| 2024 | +69 | -482 | +287 | -379 | +390 | -457 | +731 | +1899 | +304 | +853 | +109 | +1123 | +4444 |
| 2025 | -361 | +1066 | +1264 | -760 | -905 | -278 | -368 | +1995 | +51 | -598 | -72 | +640 | +1671 |
| 2026 | +395 | +895 | +302 | -889 | -759 | +1813 | -800 | +510 | — | — | — | — | +1465 |
Key Performance Metrics
Performance
Total Trades
553
Win Rate
35.44%
Profit Factor
1.4
Payoff Ratio
2.55
Total P&L
₹17,900
Risk-Adjusted Returns
Sharpe Ratio
0.96
Sortino Ratio
1.81
Calmar Ratio
1.07
Omega Ratio
1.4
Kelly Criterion
10.07%
Risk
Max Drawdown
₹2,365
Longest DD (days)
577
Avg Drawdown
₹753.5
Avg DD Days
67
Recovery Factor
7.57
Volatility (ann.)
8.91%
Distribution
Skewness
2.37
Kurtosis
9.2
Avg Return/Trade
0.1%
Avg Win
1.01%
Avg Loss
-0.4%
Extremes
Largest Win
₹1,679 (6.77%)
Largest Loss
₹-615 (-2.54%)
Best Month
₹2,467
Worst Month
₹-905
Best Year
₹5,737.5
Worst Year
₹-1,301.5
Streaks & Consistency
Max Consecutive Wins
5
Max Consecutive Losses
12
Gross Profit
₹63,019.5
Gross Loss
₹45,119.5
Avg Up Month
₹696.62
Avg Down Month
₹-384.23
Win Month %
56.25%
Win Year %
85.71%
Avg Duration
31.4 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2025-03-31 | 2025-09-01 | ₹2,365 | 155 |
| 2 | 2026-03-23 | 2026-06-10 | ₹2,205.5 | 80 |
| 3 | 2023-01-04 | 2024-08-02 | ₹2,034.5 | 577 |
| 4 | 2026-06-10 | — | ₹1,875.5 | 63 |
| 5 | 2025-09-01 | 2026-01-30 | ₹1,332.5 | 151 |
| 6 | 2022-06-17 | 2022-08-29 | ₹1,313 | 74 |
| 7 | 2024-09-09 | 2024-12-19 | ₹1,264.5 | 102 |
| 8 | 2026-02-04 | 2026-02-27 | ₹1,102 | 24 |
| 9 | 2020-03-23 | 2020-07-24 | ₹1,083 | 124 |
| 10 | 2021-05-05 | 2021-12-14 | ₹1,057 | 224 |
EOY Returns
| Year | P&L |
|---|---|
| 2020 | +₹3,750.5 |
| 2021 | +₹2,134.5 |
| 2022 | +₹5,737.5 |
| 2023 | ₹-1,301.5 |
| 2024 | +₹4,444 |
| 2025 | +₹1,670.5 |
| 2026 | +₹1,464.5 |