Lab 5250 - MNQ CME Long 30min
A positional long-only strategy for MNQ (Micro Nasdaq) on CME using a 30-minute timeframe with multi-day holding periods.
2020-01-09 — 2026-08-13 · 996 trades over 6.6 years
Performance Overview
Total Trades
996
Over 6.6 years
Win Rate
42.97%
428W / 567L
Profit Factor
1.48
Gross Profit / Loss
Total P&L
₹395,384
Sharpe Ratio
1.71
Annualized
Sortino Ratio
2.67
Downside risk adjusted
Max Drawdown
₹31,164
Kelly Criterion
13.96%
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 | +3764 | -1624 | -3944 | +12664 | +5220 | -5580 | +13508 | +6304 | +9280 | -1292 | +9412 | -6420 | +41292 |
| 2021 | +2020 | +8632 | -7656 | +13172 | +5504 | +5268 | -3388 | +9192 | -4792 | +4448 | +2704 | +5892 | +40996 |
| 2022 | +840 | +28852 | +16052 | +1820 | +11736 | -3008 | +4972 | +1404 | -5120 | +8880 | -4644 | +11124 | +72908 |
| 2023 | +14692 | +5536 | +2116 | -7132 | +12416 | +4532 | +2204 | +144 | -1072 | -3488 | +13028 | +4896 | +47872 |
| 2024 | +12148 | +8736 | +8796 | +2500 | +6208 | +11744 | -9776 | +6472 | -7008 | +13108 | +5268 | +23092 | +81288 |
| 2025 | +8336 | -8492 | +2756 | +31564 | -1756 | -1896 | +9192 | +6152 | +8760 | +19052 | +17984 | -8764 | +82888 |
| 2026 | -5492 | +760 | -2696 | +21348 | +5384 | -1984 | -11588 | +22408 | — | — | — | — | +28140 |
Key Performance Metrics
Performance
Total Trades
996
Win Rate
42.97%
Profit Factor
1.48
Payoff Ratio
2
Total P&L
₹395,384
Risk-Adjusted Returns
Sharpe Ratio
1.71
Sortino Ratio
2.67
Calmar Ratio
0.88
Omega Ratio
1.48
Kelly Criterion
13.96%
Risk
Max Drawdown
₹31,164
Longest DD (days)
135
Avg Drawdown
₹4,847.26
Avg DD Days
25
Recovery Factor
12.69
Volatility (ann.)
14.4%
Distribution
Skewness
1.44
Kurtosis
4.25
Avg Return/Trade
0.16%
Avg Win
1.13%
Avg Loss
-0.56%
Extremes
Largest Win
₹16,780 (7.69%)
Largest Loss
₹-12,908 (-3.71%)
Best Month
₹31,564
Worst Month
₹-11,588
Best Year
₹82,888
Worst Year
₹28,140
Streaks & Consistency
Max Consecutive Wins
7
Max Consecutive Losses
11
Gross Profit
₹1,212,960
Gross Loss
₹817,576
Avg Up Month
₹9,178.5
Avg Down Month
₹-4,942.17
Win Month %
70%
Win Year %
100%
Avg Duration
33.8 bars
Worst 10 Drawdowns
| # | Started | Recovered | Drawdown | Days |
|---|---|---|---|---|
| 1 | 2026-06-19 | 2026-08-10 | ₹31,164 | 53 |
| 2 | 2025-11-25 | 2026-04-09 | ₹23,408 | 135 |
| 3 | 2026-04-27 | 2026-06-19 | ₹18,060 | 53 |
| 4 | 2024-07-15 | 2024-11-07 | ₹17,872 | 116 |
| 5 | 2025-02-06 | 2025-04-08 | ₹16,324 | 62 |
| 6 | 2020-02-11 | 2020-04-27 | ₹15,520 | 77 |
| 7 | 2025-05-14 | 2025-07-18 | ₹15,416 | 66 |
| 8 | 2020-10-17 | 2021-02-05 | ₹15,328 | 112 |
| 9 | 2023-03-06 | 2023-05-29 | ₹13,212 | 85 |
| 10 | 2021-03-02 | 2021-04-27 | ₹12,720 | 57 |
EOY Returns
| Year | P&L |
|---|---|
| 2020 | +₹41,292 |
| 2021 | +₹40,996 |
| 2022 | +₹72,908 |
| 2023 | +₹47,872 |
| 2024 | +₹81,288 |
| 2025 | +₹82,888 |
| 2026 | +₹28,140 |