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CurvatureSpread COMPLETE

8-fold rolling WFO · LEAN Optimizer.Launcher (GridSearch, max Sharpe) · static rf 6.5% INR · benchmark NIFTY · fixed 1 lot · Release engine. Headline is the holdout; all numbers are LEAN's own.

Native QuantConnect LEAN reports:  Holdout (OOS) ↗  Deployment (IS) ↗
HOLDOUT · true out-of-sample 20250101–20260605 · winner dte_max=3.0, rr_threshold=-0.02, sl_pct=0.5, spread_width_pts=200.0 · Open LEAN report ↗
10.530%
Net Profit
7.266%
CAGR
-0.27
Sharpe
47.762%
PSR
3.000%
Max Drawdown
50%
Win Rate

Walk-forward OOS (2020→2024, stitched)

Cumulative stitched OOS return: 17.23% (compounded per-fold; equity points are LEAN's own, joined in return-space — no aggregate Sharpe/PSR is recomputed here; see per-fold metrics below)

114,37374,53275,000

Deployment params

DEPLOYMENT · in-sample fit (not validation) 20230701–20241231 · Open LEAN report ↗
14.806%
Net Profit
9.596%
CAGR
0.052
Sharpe
22.881%
PSR
3.700%
Max Drawdown
47%
Win Rate

Walk-forward folds — optimiser pick vs frozen spec

Frozen spec: rr_threshold=-0.04, spread_width_pts=300, dte_max=4, sl_pct=0.3 · optimiser matched it in 0/8 folds · grid 54 cells.

FoldTest (OOS)Optimiser winnerOpt Net%Opt SharpeOpt PSROpt MaxDDOpt OrdFrz Net%Frz SharpeFrz MaxDDParams
020200701–20210101dte_max=3.0, rr_threshold=-0.02, sl_pct=0.25, spread_width_pts=350.019.321%1.9487.945%5.500%967.194%0.4364.400%✕ differ
120210101–20210701dte_max=3.0, rr_threshold=-0.02, sl_pct=0.5, spread_width_pts=350.014.910%1.00258.294%7.900%10011.681%1.0175.900%✕ differ
220210701–20220101dte_max=3.0, rr_threshold=-0.02, sl_pct=0.5, spread_width_pts=350.010.987%1.70998.956%1.000%484.735%0.0411.400%✕ differ
320220101–20220701dte_max=3.0, rr_threshold=-0.02, sl_pct=0.25, spread_width_pts=500.0-23.376%-1.3591.183%29.300%85-6.775%-0.85717.500%✕ differ
420220701–20230101dte_max=4.0, rr_threshold=-0.06, sl_pct=0.0, spread_width_pts=350.01.775%-1.71253.160%0.200%49.464%0.8813.000%✕ differ
520230101–20230701dte_max=3.0, rr_threshold=-0.04, sl_pct=0.5, spread_width_pts=350.00%00%0%00%00%✕ differ
620230701–20240101dte_max=3.0, rr_threshold=-0.04, sl_pct=0.5, spread_width_pts=350.00%00%0%00%00%✕ differ
720240101–20240701dte_max=3.0, rr_threshold=-0.02, sl_pct=0.5, spread_width_pts=350.0-1.216%-1.27914.677%5.600%66-0.075%-9.4770.500%✕ differ

Full holdout statistics

MetricValue
Total Orders60
Average Win2.80%
Average Loss-2.03%
Compounding Annual Return7.266%
Drawdown3.000%
Expectancy0.190
Start Equity75000
End Equity82897.64
Net Profit10.530%
Sharpe Ratio-0.27
Sortino Ratio-0.123
Probabilistic Sharpe Ratio47.762%
Loss Rate50%
Win Rate50%
Profit-Loss Ratio1.38
Alpha0
Beta0
Annual Standard Deviation0.052
Annual Variance0.003
Information Ratio0.991
Tracking Error0.052
Treynor Ratio0
Total Fees₹1788.61
Estimated Strategy Capacity₹1800000000.00
Lowest Capacity AssetNIFTY 32SQ3EB4CYWK6|NIFTY UT
Portfolio Turnover0.81%
Drawdown Recovery13

Full deployment (in-sample) statistics

MetricValue
Total Orders193
Average Win1.07%
Average Loss-0.64%
Compounding Annual Return9.596%
Drawdown3.700%
Expectancy0.247
Start Equity75000
End Equity86104.60
Net Profit14.806%
Sharpe Ratio0.052
Sortino Ratio0.087
Probabilistic Sharpe Ratio22.881%
Loss Rate53%
Win Rate47%
Profit-Loss Ratio1.66
Alpha0
Beta0
Annual Standard Deviation0.095
Annual Variance0.009
Information Ratio0.735
Tracking Error0.095
Treynor Ratio0
Total Fees₹4999.15
Estimated Strategy Capacity₹490000000.00
Lowest Capacity AssetNIFTYW 32N67NLV4O9BQ|NIFTY UT
Portfolio Turnover1.08%
Drawdown Recovery70

Updated 2026-06-10 10:03 · auto-refreshes every 30s