Tried using the "connect-retry-max" option also but didn't work.
Please have a look at my configuration.
client
dev tap
resolv-retry infinite
nobind
persist-key
comp-lzo
verb 6
reneg-sec 0
<connection>
remote 11.11.11.11 1194
proto udp
</connection>
<connection>
remote 11.11.11.11 1195
proto udp
</connection>
<ca>
-----BEGIN CERTIFICATE-----
---------------------------
-----END CERTIFICATE-----
</ca>
dev-node "DevAdapter"
auth-user-pass
connect-retry-max 1