LEAN India — Strategy Backtests

NSE index-option strategies on QuantConnect LEAN · 8-fold rolling WFO + 2025+ holdout · static rf 6.5% INR · benchmark NIFTY · fixed 1 lot. Headline numbers are the holdout (true OOS).

CurvatureSpread COMPLETE Holdout LEAN report ↗
curvature_spread
Holdout (OOS): net 10.530% · Sharpe -0.27 · PSR 47.762% · MaxDD 3.000%

QuietShortStraddle COMPLETE Holdout LEAN report ↗
quiet_short_straddle
Holdout (OOS): net 8.092% · Sharpe -0.495 · PSR 39.575% · MaxDD 6.100%

VScoreNaked COMPLETE Holdout LEAN report ↗
vscore_naked
Holdout (OOS): net -0.805% · Sharpe -1.135 · PSR 6.798% · MaxDD 9.000%

ZenCreditSpread COMPLETE Holdout LEAN report ↗
zen_credit_spread
Holdout (OOS): net 36.183% · Sharpe 0.788 · PSR 60.297% · MaxDD 12.400%

Updated 2026-06-10 10:03