Bk
ZenWave Book — Risk-Structured Portfolio Layer
LiveFully Automated0.50% Risk CapFrozen Parameters
| WR | PF | SR | R/DD | Calmar | DD | DD Ave | DD Max | DT | DT Ave | DT Max | N | ROI |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 13.8% | 1.14 | 0.76 | 0.79 | 1.25 | 3.69% | 4.66% | 9.18% | 9d | 35.5d | 124d | 348 | +7.22% |
The Book is not a separate engine — it is the risk-structured portfolio layer that combines all validated engines under a fixed 0.50% total risk cap per trade cycle. Parameters are frozen. No discretionary intervention.
Total risk cap
0.50%
Current (A + B)
0.25% each
Example (3 engines)
~0.166% each
Execution
Fully automated
Baseline (60/40)60/40 + ZW Book (10%)
Portfolio Impact
+67% Sharpe improvement
- Higher return efficiency per drawdown
- Lower capital drawdown across regimes
- Convex upside across dislocations
Baseline = 60% SPY / 40% AGG · monthly rebalance · 2014–2025 · walk-forward · out-of-sample.
View full portfolio impact analysis →Portfolio-level out-of-sample snapshots and methodology notes are maintained in the Book validation report. View Book validation →