VScoreNaked

VScoreNaked 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 sl_pct=0.3, vscore_lo=0.2 · Open LEAN report ↗

-0.805%

Net Profit

-0.564%

CAGR

-1.135

Sharpe

6.798%

PSR

9.000%

Max Drawdown

50%

Win Rate

Walk-forward OOS (2020→2024, stitched)

Cumulative stitched OOS return: 12.55% (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)

Deployment params

11.715%

Net Profit

7.629%

CAGR

-0.311

Sharpe

69.188%

PSR

5.100%

Max Drawdown

60%

Win Rate

Walk-forward folds — optimiser pick vs frozen spec

Frozen spec: vscore_lo=0.2, sl_pct=0.3 · optimiser matched it in 5/8 folds · grid 12 cells.

Fold	Test (OOS)	Optimiser winner	Opt Net%	Opt Sharpe	Opt PSR	Opt MaxDD	Opt Ord	Frz Net%	Frz Sharpe	Frz MaxDD	Params
0	20200701–20210101	`sl_pct=0.3, vscore_lo=0.2`	1.586%	-0.83	31.060%	3.100%	22	1.586%	-0.83	3.100%	✓ same
1	20210101–20210701	`sl_pct=0.3, vscore_lo=0.2`	4.720%	0.053	59.132%	2.100%	10	4.720%	0.053	2.100%	✓ same
2	20210701–20220101	`sl_pct=0.3, vscore_lo=0.2`	1.051%	-0.89	27.059%	3.600%	32	1.051%	-0.89	3.600%	✓ same
3	20220101–20220701	`sl_pct=1.2, vscore_lo=0.1`	-0.330%	-1.274	18.338%	6.100%	12	0.805%	-0.961	6.000%	✕ differ
4	20220701–20230101	`sl_pct=0.3, vscore_lo=0.2`	-3.284%	-1.436	7.599%	8.000%	22	-3.284%	-1.436	8.000%	✓ same
5	20230101–20230701	`sl_pct=0.9, vscore_lo=0.2`	0.228%	-2.701	23.812%	2.300%	10	0.445%	-3.911	1.000%	✕ differ
6	20230701–20240101	`sl_pct=0.6, vscore_lo=0.2`	6.702%	0.927	99.664%	0.500%	18	6.702%	0.927	0.500%	✕ differ
7	20240101–20240701	`sl_pct=0.3, vscore_lo=0.2`	1.558%	-1.654	44.741%	1.700%	24	1.558%	-1.654	1.700%	✓ same

Fold

Test (OOS)

Optimiser winner

Opt Net%

Opt Sharpe

Opt PSR

Opt MaxDD

Opt Ord

Frz Net%

Frz Sharpe

Frz MaxDD

Params

20200701–20210101

sl_pct=0.3, vscore_lo=0.2

1.586%

-0.83

31.060%

3.100%

1.586%

-0.83

3.100%

✓ same

20210101–20210701

sl_pct=0.3, vscore_lo=0.2

4.720%

0.053

59.132%

2.100%

4.720%

0.053

2.100%

✓ same

20210701–20220101

sl_pct=0.3, vscore_lo=0.2

1.051%

-0.89

27.059%

3.600%

1.051%

-0.89

3.600%

✓ same

20220101–20220701

sl_pct=1.2, vscore_lo=0.1

-0.330%

-1.274

18.338%

6.100%

0.805%

-0.961

6.000%

✕ differ

20220701–20230101

sl_pct=0.3, vscore_lo=0.2

-3.284%

-1.436

7.599%

8.000%

-3.284%

-1.436

8.000%

✓ same

20230101–20230701

sl_pct=0.9, vscore_lo=0.2

0.228%

-2.701

23.812%

2.300%

0.445%

-3.911

1.000%

✕ differ

20230701–20240101

sl_pct=0.6, vscore_lo=0.2

6.702%

0.927

99.664%

0.500%

6.702%

0.927

0.500%

✕ differ

20240101–20240701

sl_pct=0.3, vscore_lo=0.2

1.558%

-1.654

44.741%

1.700%

1.558%

-1.654

1.700%

✓ same

Full holdout statistics

Metric	Value
Total Orders	62
Average Win	1.71%
Average Loss	-1.76%
Compounding Annual Return	-0.564%
Drawdown	9.000%
Expectancy	-0.013
Start Equity	225000
End Equity	223189.33
Net Profit	-0.805%
Sharpe Ratio	-1.135
Sortino Ratio	-0.327
Probabilistic Sharpe Ratio	6.798%
Loss Rate	50%
Win Rate	50%
Profit-Loss Ratio	0.97
Alpha	0
Beta	0
Annual Standard Deviation	0.059
Annual Variance	0.004
Information Ratio	-0.036
Tracking Error	0.059
Treynor Ratio	0
Total Fees	₹1153.17
Estimated Strategy Capacity	₹860000000.00
Lowest Capacity Asset	NIFTYW Z2K2FPE5NJ1Y\|NIFTY UT
Portfolio Turnover	0.29%
Drawdown Recovery	54

Metric

Value

Total Orders

Average Win

1.71%

Average Loss

-1.76%

Compounding Annual Return

-0.564%

Drawdown

9.000%

Expectancy

-0.013

Start Equity

225000

End Equity

223189.33

Net Profit

-0.805%

Sharpe Ratio

-1.135

Sortino Ratio

-0.327

Probabilistic Sharpe Ratio

6.798%

Loss Rate

50%

Win Rate

50%

Profit-Loss Ratio

0.97

Alpha

Beta

Annual Standard Deviation

0.059

Annual Variance

0.004

Information Ratio

-0.036

Tracking Error

0.059

Treynor Ratio

Total Fees

₹1153.17

Estimated Strategy Capacity

₹860000000.00

Lowest Capacity Asset

NIFTYW Z2K2FPE5NJ1Y|NIFTY UT

Portfolio Turnover

0.29%

Drawdown Recovery

Full deployment (in-sample) statistics

Metric	Value
Total Orders	102
Average Win	0.77%
Average Loss	-0.59%
Compounding Annual Return	7.629%
Drawdown	5.100%
Expectancy	0.383
Start Equity	225000
End Equity	251359.56
Net Profit	11.715%
Sharpe Ratio	-0.311
Sortino Ratio	-0.18
Probabilistic Sharpe Ratio	69.188%
Loss Rate	40%
Win Rate	60%
Profit-Loss Ratio	1.31
Alpha	0
Beta	0
Annual Standard Deviation	0.039
Annual Variance	0.001
Information Ratio	1.368
Tracking Error	0.039
Treynor Ratio	0
Total Fees	₹2810.44
Estimated Strategy Capacity	₹210000000.00
Lowest Capacity Asset	NIFTYW YO27I5QYSEGM\|NIFTY UT
Portfolio Turnover	0.34%
Drawdown Recovery	46

Metric

Value

Total Orders

102

Average Win

0.77%

Average Loss

-0.59%

Compounding Annual Return

7.629%

Drawdown

5.100%

Expectancy

0.383

Start Equity

225000

End Equity

251359.56

Net Profit

11.715%

Sharpe Ratio

-0.311

Sortino Ratio

-0.18

Probabilistic Sharpe Ratio

69.188%

Loss Rate

40%

Win Rate

60%

Profit-Loss Ratio

1.31

Alpha

Beta

Annual Standard Deviation

0.039

Annual Variance

0.001

Information Ratio

1.368

Tracking Error

0.039

Treynor Ratio

Total Fees

₹2810.44

Estimated Strategy Capacity

₹210000000.00

Lowest Capacity Asset

NIFTYW YO27I5QYSEGM|NIFTY UT

Portfolio Turnover

0.34%

Drawdown Recovery

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