← all strategies

QuietShortStraddle 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 fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.8 · Open LEAN report ↗
8.092%
Net Profit
5.603%
CAGR
-0.495
Sharpe
39.575%
PSR
6.100%
Max Drawdown
55%
Win Rate

Walk-forward OOS (2020→2024, stitched)

Cumulative stitched OOS return: 7.32% (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)

500,223445,740450,000

Deployment params

DEPLOYMENT · in-sample fit (not validation) 20230701–20241231 · Open LEAN report ↗
-6.106%
Net Profit
-4.095%
CAGR
-3.641
Sharpe
0.024%
PSR
7.000%
Max Drawdown
57%
Win Rate

Walk-forward folds — optimiser pick vs frozen spec

Frozen spec: sl_pct=0.6, iv_hi=0.85, skew_max=0.03, fly_max=0.015 · optimiser matched it in 0/8 folds · grid 81 cells.

FoldTest (OOS)Optimiser winnerOpt Net%Opt SharpeOpt PSROpt MaxDDOpt OrdFrz Net%Frz SharpeFrz MaxDDParams
020200701–20210101fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.42.626%-1.60479.210%1.400%800.733%-3.0261.700%✕ differ
120210101–20210701fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.6-1.631%-2.1128.341%5.200%140-0.509%-2.0963.500%✕ differ
220210701–20220101fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.42.454%-1.31464.859%1.100%2282.665%-2.1080.500%✕ differ
320220101–20220701fly_max=0.025, iv_hi=0.85, skew_max=0.05, sl_pct=0.81.821%-0.57632.717%5.000%920.038%-1.3963.600%✕ differ
420220701–20230101fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.44.180%-0.21180.620%0.900%1001.191%-2.3441.500%✕ differ
520230101–20230701fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.41.256%-5.57985.955%0.400%401.256%-5.5790.400%✕ differ
620230701–20240101fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.4-3.835%-4.7370.073%4.300%204-2.334%-4.6042.800%✕ differ
720240101–20240701fly_max=0.025, iv_hi=1.0, skew_max=0.05, sl_pct=0.40.452%-3.36130.123%0.900%1081.406%-4.6880.500%✕ differ

Full holdout statistics

MetricValue
Total Orders156
Average Win1.02%
Average Loss-1.00%
Compounding Annual Return5.603%
Drawdown6.100%
Expectancy0.114
Start Equity450000
End Equity486413.50
Net Profit8.092%
Sharpe Ratio-0.495
Sortino Ratio-0.13
Probabilistic Sharpe Ratio39.575%
Loss Rate45%
Win Rate55%
Profit-Loss Ratio1.02
Alpha0
Beta0
Annual Standard Deviation0.051
Annual Variance0.003
Information Ratio0.782
Tracking Error0.051
Treynor Ratio0
Total Fees₹5719.00
Estimated Strategy Capacity₹7300000000.00
Lowest Capacity AssetNIFTY Z2QYKD1N9I5Y|NIFTY UT
Portfolio Turnover0.70%
Drawdown Recovery216

Full deployment (in-sample) statistics

MetricValue
Total Orders456
Average Win0.39%
Average Loss-0.56%
Compounding Annual Return-4.095%
Drawdown7.000%
Expectancy-0.045
Start Equity450000
End Equity422523.52
Net Profit-6.106%
Sharpe Ratio-3.641
Sortino Ratio-2.05
Probabilistic Sharpe Ratio0.024%
Loss Rate43%
Win Rate57%
Profit-Loss Ratio0.69
Alpha0
Beta0
Annual Standard Deviation0.026
Annual Variance0.001
Information Ratio-1.101
Tracking Error0.026
Treynor Ratio0
Total Fees₹12718.98
Estimated Strategy Capacity₹1300000000.00
Lowest Capacity AssetNIFTYW YNAMZJLJPYYE|NIFTY UT
Portfolio Turnover0.90%
Drawdown Recovery56

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