Portfolio Structure
ZenWave currently runs three accounts: ZenWave A (Engine A) at 1% risk per trade, ZenWave B (Engine B) at 1% risk per trade, and ZenWave Book as the combined portfolio. ZenWave Book runs validated engines under a shared 0.50% total risk cap per trade cycle, split equally across active engines.
Engine A
Long-term breakout
Full-window 2014–2025
Engine B
Medium-term drift
B5 slice
Combined, they produce a multi-horizon portfolio with reduced drawdown correlation and broader regime coverage.
Book Validation Snapshot (B5 OOS Window)
Trade-level compounded Book built from A+B at 0.25% each, compared against standalone A/B at 0.50%.
Portfolio Validation Snapshot (B5 OOS Window)
Book compounded from A+B shown alongside standalone A and B curves.
| WR | PF | SR | R/DD | Calmar | DD Ave | DD Max | DT Ave | DT Max | N | ROI | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Book (A+B @0.25%) | 17.0% | 1.89 | 2.42 | 190.76 | 9.55 | 2.54% | 13.28% | 10.2d | 167d | 2,202 | +2524.62% |
| A (0.50%) | 17.3% | 1.82 | 2.85 | 137.22 | 7.55 | 3.64% | 15.56% | 13.4d | 237d | 1,114 | +2135.13% |
| B (0.50%) | 16.8% | 1.82 | 2.88 | 209.35 | 9.18 | 3.25% | 15.17% | 10.6d | 182d | 1,088 | +3175.78% |
Note: Comparison holds total risk constant at 0.50%. Standalone engines are modeled at 0.50%. The Book splits the same risk across A and B (0.25% each).
A separate research view extends this Book analysis beyond the validation window by comparing the compounded Book path against SPY and testing a fixed 10% ZW Book sleeve inside a baseline 60% SPY / 40% AGG allocation. View portfolio impact →