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Trading Performance Analysis

Capital : 6 L per basket

Executive Summary

Our quantitative analysis of the proprietary trading strategies implemented from December 2024 through April 2025 reveals exceptional risk-adjusted returns with a cumulative ROI of 75.26%. The portfolio has demonstrated remarkable resilience with efficiently managed drawdowns and rapid recovery periods across varying market regimes.
Strategy Performance Attribution
Strategy
Win Rate
AVG Day PNL
Avg Win
Avg Loss
Profit Factor
Contribution to Total Return
NIFTY 0DTE
14/16 (87.5%)
5,721
7,089
-5,985
10.2
23.6%
SENSEX 0DTE
14/20 (70%)
8,694
14,846
-5658
9.4
39.5%
FRIDAY 2DTE
11/15 (73.3%)
6,680
10,339
-5,196
5.8
36.9%
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Risk Management Effectiveness

The most significant aspect of the portfolio's performance is its exceptional drawdown management:
Drawdown Containment: Maximum portfolio drawdown of just -2.79% demonstrates superior risk control
Recovery Efficiency: All drawdowns recovered within 1-3 trading sessions
Convexity Profile: The strategies have demonstrated positive convexity with larger average gains than losses

Market Regime Analysis

The portfolio has shown resilience across different market environments:
January Strength: January 2025 delivered exceptional alpha (24.60% ROI)
April Volatility: Despite challenging April conditions with multiple consecutive losing trades, the portfolio maintained structural integrity with rapid recovery

Alpha Generation Factors

Key drivers of the portfolio's outperformance include:
Strategy Diversification: The complementary nature of our three core strategies effectively distributes risk
Tactical Timing: The FRIDAY 2DTE strategy captured asymmetric returns during key market inflection points
Systematic Recovery Protocol: Disciplined capital deployment following drawdowns maximized recovery efficiency

Risk-Adjusted Performance Metrics

Table 2
Metric
Value
Interpretation
Sharpe Ratio
6.24
Exceptional risk-adjusted performance
Sortino Ratio
9.18
Superior downside risk management
Calmar Ratio
25.48
Outstanding return relative to drawdown
Win Rate
79.2%
High probability trading system
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Strategic Recommendations

Based on comprehensive quantitative analysis:
Capital Efficiency: The portfolio's rapid drawdown recovery profile supports increased capital allocation
Strategy Weighting: Consider tactical overweighting of SENSEX 0DTE during volatile periods
Seasonality Optimization: Implement dynamic position sizing to capitalize on January-February alpha generation potential
This systematic approach to risk management and performance optimization positions the portfolio for continued alpha generation with controlled downside exposure.
Table 3
Month
ROI (%)
Absolute Value (₹)
December 2024
12.34
74,019.5
January 2025
24.6
147,598
February 2025
19.43
116,595
March 2025
11.43
68,588
April 2025
7.47
44,769
Average/Total
15.04
451,570
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Daily Performance with Drawdown Metrics
Date
Strategy
PNL
Daily ROI (%)
Cumulative PNL
Cumulative ROI (%)
Drawdown
Drawdown (%)
Month
Max DD Recovery Days
04-Dec-24
FRIDAY 2DTE
569
0.09%
569
0.09%
0
0.00%
Dec
0
05-Dec-24
NIFTY 0DTE
-5,985
-1.00%
-5,416
-0.90%
-5,985.00
-1.00%
Dec
1
06-Dec-24
SENSEX 0DTE
33,648
5.61%
28,232
4.71%
0
0.00%
Dec
0
11-Dec-24
FRIDAY 2DTE
11,095
1.85%
39,327
6.55%
0
0.00%
Dec
0
12-Dec-24
NIFTY 0DTE
1,800
0.30%
41,127
6.85%
0
0.00%
Dec
0
13-Dec-24
SENSEX 0DTE
9,996
1.67%
51,123
8.52%
0
0.00%
Dec
0
18-Dec-24
FRIDAY 2DTE
4,677
0.78%
55,800
9.30%
0
0.00%
Dec
0
19-Dec-24
NIFTY 0DTE
5,490
0.92%
61,290
10.22%
0
0.00%
Dec
0
20-Dec-24
SENSEX 0DTE
-2,924
-0.49%
58,366
9.73%
-2,924.00
-0.49%
Dec
3
24-Dec-24
FRIDAY 2DTE
-5,142
-0.86%
53,224
8.87%
-8,066.00
-1.34%
Dec
3
26-Dec-24
NIFTY 0DTE
3,127.5
0.52%
56,351.5
9.39%
-4,938.50
-0.82%
Dec
1
27-Dec-24
SENSEX 0DTE
17,668
2.94%
74,019.5
12.34%
0
0.00%
Dec
0
DEC MONTH 2024
ALL STRATEGIES OVERALL 74,019.50 (12.34%)
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3
01-Jan-25
FRIDAY 2DTE
-5,328
-0.89%
68,691.5
11.45%
-5,328.00
-0.89%
Jan
1
02-Jan-25
NIFTY 0DTE
18,195
3.03%
86,886.5
14.48%
0
0.00%
Jan
0
03-Jan-25
FRIDAY 2DTE
18,505
3.08%
105,391.5
17.57%
0
0.00%
Jan
0
03-Jan-25
SENSEX 0DTE
19,840
3.31%
125,231.5
20.87%
0
0.00%
Jan
0
07-Jan-25
SENSEX 0DTE
18,340
3.06%
143,571.5
23.93%
0
0.00%
Jan
0
09-Jan-25
NIFTY 0DTE
9,877.5
1.65%
153,449
25.57%
0
0.00%
Jan
0
10-Jan-25
FRIDAY 2DTE
2,706
0.45%
156,155
26.03%
0
0.00%
Jan
0
14-Jan-25
SENSEX 0DTE
9,076
1.51%
165,231
27.54%
0
0.00%
Jan
0
16-Jan-25
NIFTY 0DTE
6,037.5
1.01%
171,268.5
28.54%
0
0.00%
Jan
0
17-Jan-25
FRIDAY 2DTE
-5,228
-0.87%
166,040.5
27.67%
-5,228.00
-0.87%
Jan
3
21-Jan-25
SENSEX 0DTE
-7,496
-1.25%
158,544.5
26.42%
-12,724.00
-2.12%
Jan
3
23-Jan-25
NIFTY 0DTE
6,907.5
1.15%
165,452
27.58%
-5,816.50
-0.97%
Jan
1
24-Jan-25
FRIDAY 2DTE
34,522
5.75%
199,974
33.33%
0
0.00%
Jan
0
28-Jan-25
SENSEX 0DTE
1,616
0.27%
201,590
33.60%
0
0.00%
Jan
0
30-Jan-25
NIFTY 0DTE
2,272.5
0.38%
203,862.5
33.98%
0
0.00%
Jan
0
31-Jan-25
FRIDAY 2DTE
17,755
2.96%
221,617.5
36.94%
0
0.00%
Jan
0
JAN MONTH 2025
ALL STRATEGIES OVERALL 147,598.00 (24.60%)
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​
3
04-Feb-25
SENSEX 0DTE
-8,532
-1.42%
213,085.5
35.51%
-8,532.00
-1.42%
Feb
2
06-Feb-25
NIFTY 0DTE
6,000
1.00%
219,085.5
36.51%
-2,532.00
-0.42%
Feb
1
07-Feb-25
FRIDAY 2DTE
33,458
5.58%
252,543.5
42.09%
0
0.00%
Feb
0
11-Feb-25
SENSEX 0DTE
17,820
2.97%
270,363.5
45.06%
0
0.00%
Feb
0
13-Feb-25
NIFTY 0DTE
6,277.5
1.05%
276,641
46.11%
0
0.00%
Feb
0
14-Feb-25
FRIDAY 2DTE
2,181
0.36%
278,822
46.47%
0
0.00%
Feb
0
18-Feb-25
SENSEX 0DTE
10,992
1.83%
289,814
48.30%
0
0.00%
Feb
0
20-Feb-25
NIFTY 0DTE
12,997.5
2.17%
302,811.5
50.47%
0
0.00%
Feb
0
21-Feb-25
FRIDAY 2DTE
13,728
2.29%
316,539.5
52.76%
0
0.00%
Feb
0
25-Feb-25
SENSEX 0DTE
12,328
2.05%
328,867.5
54.81%
0
0.00%
Feb
0
27-Feb-25
NIFTY 0DTE
4,455
0.74%
333,322.5
55.55%
0
0.00%
Feb
0
28-Feb-25
FRIDAY 2DTE
4,890
0.82%
338,212.5
56.37%
0
0.00%
Feb
0
FEB MONTH 2025
ALL STRATEGIES OVERALL 116,595.00 (19.43%)
​
​
​
​
​
​
​
2
04-Mar-25
SENSEX 0DTE
3,844
0.64%
342,056.5
57.01%
0
0.00%
Mar
0
06-Mar-25
NIFTY 0DTE
825
0.14%
342,881.5
57.15%
0
0.00%
Mar
0
07-Mar-25
FRIDAY 2DTE
7,373
1.23%
350,254.5
58.38%
0
0.00%
Mar
0
11-Mar-25
SENSEX 0DTE
9,880
1.65%
360,134.5
60.02%
0
0.00%
Mar
0
13-Mar-25
FRIDAY 2DTE
4,251
0.71%
364,385.5
60.73%
0
0.00%
Mar
0
13-Mar-25
NIFTY 0DTE
8,355
1.39%
372,740.5
62.12%
0
0.00%
Mar
0
18-Mar-25
SENSEX 0DTE
-2,536
-0.42%
370,204.5
61.70%
-2,536.00
-0.42%
Mar
1
20-Mar-25
NIFTY 0DTE
6,142.5
1.02%
376,347
62.72%
0
0.00%
Mar
0
21-Mar-25
FRIDAY 2DTE
1,631
0.27%
377,978
63.00%
0
0.00%
Mar
0
25-Mar-25
SENSEX 0DTE
17,264
2.88%
395,242
65.87%
0
0.00%
Mar
0
27-Mar-25
NIFTY 0DTE
9,172.5
1.53%
404,414.5
67.40%
0
0.00%
Mar
0
28-Mar-25
FRIDAY 2DTE
2,386
0.40%
406,800.5
67.80%
0
0.00%
Mar
0
MAR MONTH 2025
ALL STRATEGIES OVERALL 68,588.00 (11.43%)
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​
1
01-Apr-25
SENSEX 0DTE
-4,880
-0.81%
401,920.5
66.99%
-4,880.00
-0.81%
Apr
3
03-Apr-25
NIFTY 0DTE
1,020
0.17%
402,940.5
67.16%
-3,860.00
-0.64%
Apr
3
04-Apr-25
FRIDAY 2DTE
-5,326
-0.89%
397,614.5
66.27%
-9,186.00
-1.53%
Apr
3
08-Apr-25
SENSEX 0DTE
-7,580
-1.26%
390,034.5
65.01%
-16,766.00
-2.79%
Apr
3
09-Apr-25
NIFTY 0DTE
9,022.5
1.50%
399,057
66.51%
-7,743.50
-1.29%
Apr
2
11-Apr-25
FRIDAY 2DTE
-5,089
-0.85%
393,968
65.66%
-12,832.50
-2.14%
Apr
2
15-Apr-25
SENSEX 0DTE
25,532
4.26%
419,500
69.92%
0
0.00%
Apr
0
17-Apr-25
NIFTY 0DTE
6,990
1.17%
426,490
71.08%
0
0.00%
Apr
0
22-Apr-25
SENSEX 0DTE
10,200
1.70%
436,690
72.78%
0
0.00%
Apr
0
24-Apr-25
NIFTY 0DTE
2,520
0.42%
439,210
73.2%
0
0.00%
Apr
0
25-Apr-25
FRIDAY 2DTE
-4,920
-0.82%
434,290
72.38%
-4920
-0.82%
Apr
​
29-Apr-25
SENSEX 0DTE
21,240
3.54%
455,530
75.92%
0
0.00%
Apr
​
30-Apr-25
NIFTY 0DTE
-3,960
-0.66%
451,570
75.26%
-3960
-0.66%
Apr
​
APR MONTH 2025
ALL STRATEGIES OVERALL
44769
(7.47%)
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​
3
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⁠
SELECTIVE 1DTE TRADE SESSIONS
DATE
INSTRUMENT
PNL
PNL %
Wed, Jan 22, 2025
NIFTY 1DTE
9,022
1.5%
Wed, Feb 5, 2025
NIFTY 1DTE
7,515
1.25%
Wed, Apr 2, 2025
NIFTY 1DTE
3,690
0.62%
Wed, Apr 9, 2025
NIFTY 1DTE
1,451
0.24%
Mon, Apr 21, 2025
SENSEX 1DTE
10,614
1.77%
There are no rows in this table
32,292
Sum
5.38%
Sum
⁠

Monthly Performance Summary

Table 5
Month
PNL
ROI (%)
Max DD Recovery Days
DEC MONTH 2024
74,019.50
12.34%
3
JAN MONTH 2025
147,598.00
24.60%
3
FEB MONTH 2025
116,595.00
19.43%
2
MAR MONTH 2025
68,588.00
11.43%
1
APR MONTH 2025
44769.00
7.47%
3
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⁠
⁠
CUMULATIVE PNL
⁠
Chart 2 of Daily Performance with Drawdown Metrics
⁠

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