Immigrationboards.com

I'm from EU country and I came to London 6 years ago.

I had a job for one year, then I quit and got a P45 form.
Then I got I think P45 again as I had a job a few months and left.
Then I opened my own company but had no income. Due to all that, I had to close it to avoid any fees.
I've been working then with someone part time and payment was always cash, a few months I'd get cheques.
Last year, I've been self employed -- but had no needs to register for that officially as I wasn't making a lot of money.

Now I'm worried how will I prove my employment/tax paying??? What should I do please?
Did I really waste 5 years of living in the UK

Do you have document certifying permanent residence (DCPR)?
Though with the history you describe it can't see how you got PR, by exercising Treaty Rights for five years?
Are you hoping to apply for citizenship? For BC you will need five years residency (PR) plus one year.

It's a shame you did not register for that last self-employment at the very least, I was in the same position and was getting very little, and paid in something like 2.5 GBP per week for NI just to be covered, and I was told I had to register anyways, no matter how small the income. Who told you you did not have to register?