ZenCreditSpread

ZenCreditSpread 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=4.0, sl_pct=0.0, spread_width_pts=600.0 · Open LEAN report ↗

36.183%

Net Profit

24.155%

CAGR

0.788

Sharpe

60.297%

PSR

12.400%

Max Drawdown

33%

Win Rate

Walk-forward OOS (2020→2024, stitched)

Cumulative stitched OOS return: 126.15% (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

62.246%

Net Profit

37.873%

CAGR

1.777

Sharpe

95.026%

PSR

13.100%

Max Drawdown

36%

Win Rate

Walk-forward folds — optimiser pick vs frozen spec

Frozen spec: spread_width_pts=400, dte_max=8, sl_pct=0.3 · optimiser matched it in 0/8 folds · grid 18 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	`dte_max=8.0, sl_pct=0.5, spread_width_pts=600.0`	25.350%	1.443	65.430%	8.900%	124	19.367%	1.182	7.800%	✕ differ
1	20210101–20210701	`dte_max=8.0, sl_pct=0.25, spread_width_pts=600.0`	-0.793%	0.041	25.466%	38.900%	76	7.186%	0.288	26.600%	✕ differ
2	20210701–20220101	`dte_max=4.0, sl_pct=0.25, spread_width_pts=600.0`	-5.665%	-0.84	11.375%	13.200%	100	2.080%	-0.113	13.200%	✕ differ
3	20220101–20220701	`dte_max=4.0, sl_pct=0.25, spread_width_pts=600.0`	12.088%	0.82	55.272%	7.700%	68	-9.742%	-0.771	14.300%	✕ differ
4	20220701–20230101	`dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0`	25.860%	1.865	77.290%	7.000%	90	13.477%	0.714	12.100%	✕ differ
5	20230101–20230701	`dte_max=4.0, sl_pct=0.0, spread_width_pts=600.0`	-14.686%	-2.334	0.261%	18.500%	72	-4.524%	-1.059	10.900%	✕ differ
6	20230701–20240101	`dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0`	29.921%	3.273	95.749%	6.400%	85	35.410%	3.761	5.200%	✕ differ
7	20240101–20240701	`dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0`	23.284%	3.006	98.283%	4.800%	72	13.804%	1.305	10.500%	✕ differ

Fold

Test (OOS)

Optimiser winner

Opt Net%

Opt Sharpe

Opt PSR

Opt MaxDD

Opt Ord

Frz Net%

Frz Sharpe

Frz MaxDD

Params

20200701–20210101

dte_max=8.0, sl_pct=0.5, spread_width_pts=600.0

25.350%

1.443

65.430%

8.900%

124

19.367%

1.182

7.800%

✕ differ

20210101–20210701

dte_max=8.0, sl_pct=0.25, spread_width_pts=600.0

-0.793%

0.041

25.466%

38.900%

7.186%

0.288

26.600%

✕ differ

20210701–20220101

dte_max=4.0, sl_pct=0.25, spread_width_pts=600.0

-5.665%

-0.84

11.375%

13.200%

100

2.080%

-0.113

13.200%

✕ differ

20220101–20220701

dte_max=4.0, sl_pct=0.25, spread_width_pts=600.0

12.088%

0.82

55.272%

7.700%

-9.742%

-0.771

14.300%

✕ differ

20220701–20230101

dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0

25.860%

1.865

77.290%

7.000%

13.477%

0.714

12.100%

✕ differ

20230101–20230701

dte_max=4.0, sl_pct=0.0, spread_width_pts=600.0

-14.686%

-2.334

0.261%

18.500%

-4.524%

-1.059

10.900%

✕ differ

20230701–20240101

dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0

29.921%

3.273

95.749%

6.400%

35.410%

3.761

5.200%

✕ differ

20240101–20240701

dte_max=4.0, sl_pct=0.5, spread_width_pts=600.0

23.284%

3.006

98.283%

4.800%

13.804%

1.305

10.500%

✕ differ

Full holdout statistics

Metric	Value
Total Orders	177
Average Win	2.67%
Average Loss	-0.75%
Compounding Annual Return	24.155%
Drawdown	12.400%
Expectancy	0.508
Start Equity	75000
End Equity	102137.23
Net Profit	36.183%
Sharpe Ratio	0.788
Sortino Ratio	0.558
Probabilistic Sharpe Ratio	60.297%
Loss Rate	67%
Win Rate	33%
Profit-Loss Ratio	3.57
Alpha	0
Beta	0
Annual Standard Deviation	0.136
Annual Variance	0.018
Information Ratio	1.267
Tracking Error	0.136
Treynor Ratio	0
Total Fees	₹4911.77
Estimated Strategy Capacity	₹3700000000.00
Lowest Capacity Asset	NIFTYW 331O2KUPCGG3A\|NIFTY UT
Portfolio Turnover	1.52%
Drawdown Recovery	210

Metric

Value

Total Orders

177

Average Win

2.67%

Average Loss

-0.75%

Compounding Annual Return

24.155%

Drawdown

12.400%

Expectancy

0.508

Start Equity

75000

End Equity

102137.23

Net Profit

36.183%

Sharpe Ratio

0.788

Sortino Ratio

0.558

Probabilistic Sharpe Ratio

60.297%

Loss Rate

67%

Win Rate

33%

Profit-Loss Ratio

3.57

Alpha

Beta

Annual Standard Deviation

0.136

Annual Variance

0.018

Information Ratio

1.267

Tracking Error

0.136

Treynor Ratio

Total Fees

₹4911.77

Estimated Strategy Capacity

₹3700000000.00

Lowest Capacity Asset

NIFTYW 331O2KUPCGG3A|NIFTY UT

Portfolio Turnover

1.52%

Drawdown Recovery

210

Full deployment (in-sample) statistics

Metric	Value
Total Orders	323
Average Win	1.55%
Average Loss	-0.39%
Compounding Annual Return	37.873%
Drawdown	13.100%
Expectancy	0.800
Start Equity	75000
End Equity	121684.48
Net Profit	62.246%
Sharpe Ratio	1.777
Sortino Ratio	1.159
Probabilistic Sharpe Ratio	95.026%
Loss Rate	64%
Win Rate	36%
Profit-Loss Ratio	3.96
Alpha	0
Beta	0
Annual Standard Deviation	0.107
Annual Variance	0.012
Information Ratio	2.383
Tracking Error	0.107
Treynor Ratio	0
Total Fees	₹8148.02
Estimated Strategy Capacity	₹420000000.00
Lowest Capacity Asset	NIFTYW 32NXS5Y10D6MU\|NIFTY UT
Portfolio Turnover	0.94%
Drawdown Recovery	29

Metric

Value

Total Orders

323

Average Win

1.55%

Average Loss

-0.39%

Compounding Annual Return

37.873%

Drawdown

13.100%

Expectancy

0.800

Start Equity

75000

End Equity

121684.48

Net Profit

62.246%

Sharpe Ratio

1.777

Sortino Ratio

1.159

Probabilistic Sharpe Ratio

95.026%

Loss Rate

64%

Win Rate

36%

Profit-Loss Ratio

3.96

Alpha

Beta

Annual Standard Deviation

0.107

Annual Variance

0.012

Information Ratio

2.383

Tracking Error

0.107

Treynor Ratio

Total Fees

₹8148.02

Estimated Strategy Capacity

₹420000000.00

Lowest Capacity Asset

NIFTYW 32NXS5Y10D6MU|NIFTY UT

Portfolio Turnover

0.94%

Drawdown Recovery

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