Lab 8 - Nifty (5m-10m)
A positional trading strategy for NSE Nifty on 5-minute to 10-minute timeframe.
2017-01-06 — 2026-08-06 · 1154 trades over 9.6 years
Performance Overview
Total Trades
1154
Over 9.6 years
Win Rate
45.32%
523W / 631L
Profit Factor
1.59
Gross Profit / Loss
Total P&L
₹28,170.4
Sharpe Ratio
1.68
Annualized
Sortino Ratio
2.64
Downside risk adjusted
Max Drawdown
₹1,972.15
Kelly Criterion
16.9%
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 | +304 | +247 | +136 | +285 | -19 | -1 | +333 | +37 | -9 | +233 | -95 | +247 | +1699 |
| 2018 | +409 | -17 | -60 | +223 | +166 | +142 | +501 | +160 | -417 | -333 | +714 | +438 | +1926 |
| 2019 | -107 | +202 | +504 | +365 | +523 | +185 | -156 | +55 | +718 | +283 | +14 | +167 | +2753 |
| 2020 | -36 | -71 | -1290 | +746 | -386 | +607 | +659 | +219 | +138 | +220 | +947 | +933 | +2687 |
| 2021 | +291 | +1233 | +184 | +260 | +510 | +362 | +418 | +681 | +483 | +399 | -481 | +699 | +5040 |
| 2022 | +34 | -38 | +1237 | +461 | +346 | -579 | +1024 | +136 | -490 | +155 | +204 | -236 | +2252 |
| 2023 | -497 | +126 | -209 | +228 | +888 | -2 | +463 | +134 | +437 | +141 | +397 | +1592 | +3699 |
| 2024 | +144 | +122 | +279 | +4 | +240 | +688 | +99 | -204 | +769 | -68 | +179 | -337 | +1914 |
| 2025 | -285 | -476 | +589 | +791 | +74 | +897 | -250 | +277 | +158 | +946 | +521 | +20 | +3261 |
| 2026 | -90 | +580 | -433 | +1210 | +463 | +374 | +94 | +742 | — | — | — | — | +2940 |
Key Performance Metrics
Performance
Total Trades
1154
Win Rate
45.32%
Profit Factor
1.59
Payoff Ratio
1.96
Total P&L
₹28,170.4
Risk-Adjusted Returns
Sharpe Ratio
1.68
Sortino Ratio
2.64
Calmar Ratio
1.33
Omega Ratio
1.59
Kelly Criterion
16.9%
Risk
Max Drawdown
₹1,972.15
Longest DD (days)
307
Avg Drawdown
₹210.09
Avg DD Days
23
Recovery Factor
14.28
Volatility (ann.)
11.62%
Distribution
Skewness
1.79
Kurtosis
9.41
Avg Return/Trade
0.16%
Avg Win
0.94%
Avg Loss
-0.48%
Extremes
Largest Win
₹1,315.4 (7.68%)
Largest Loss
₹-481.25 (-4.92%)
Best Month
₹1,592.2
Worst Month
₹-1,289.65
Best Year
₹5,040
Worst Year
₹1,698.55
Streaks & Consistency
Max Consecutive Wins
6
Max Consecutive Losses
10
Gross Profit
₹75,535.75
Gross Loss
₹47,365.35
Avg Up Month
₹416.78
Avg Down Month
₹-255.75
Win Month %
74.14%
Win Year %
100%
Avg Duration
86.7 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2020-02-20 | 2020-07-22 | ₹1,972.15 | 154 |
| 2 | 2024-12-16 | 2025-05-27 | ₹1,856.85 | 162 |
| 3 | 2022-08-18 | 2023-06-21 | ₹1,265 | 307 |
| 4 | 2022-01-13 | 2022-03-21 | ₹937.9 | 67 |
| 5 | 2018-09-17 | 2018-12-13 | ₹935.5 | 88 |
| 6 | 2026-02-10 | 2026-04-09 | ₹906.1 | 58 |
| 7 | 2021-10-19 | 2022-01-04 | ₹889.1 | 77 |
| 8 | 2022-06-03 | 2022-07-29 | ₹800.35 | 56 |
| 9 | 2024-07-29 | 2024-09-18 | ₹771.1 | 52 |
| 10 | 2026-01-13 | 2026-02-03 | ₹720.2 | 21 |
EOY Returns
| Year | P&L |
|---|---|
| 2017 | +₹1,698.55 |
| 2018 | +₹1,925.5 |
| 2019 | +₹2,752.85 |
| 2020 | +₹2,687.35 |
| 2021 | +₹5,040 |
| 2022 | +₹2,251.65 |
| 2023 | +₹3,699.15 |
| 2024 | +₹1,913.6 |
| 2025 | +₹3,261.45 |
| 2026 | +₹2,940.3 |