Engine A — Validation

WFA-Validated2014–2025Frozen Parameters

Long-term USDJPY structural breakout engine (2014–2025). Walk-forward analysis across four rolling slices, validated on unseen out-of-sample data with parameters frozen for live deployment.

Walk-Forward Timeline

Four rolling slices spanning 2014 to 2025. Each row below shows the IS optimisation window and OOS validation period.

Slice	IS Period	OOS Period	OOS Result
A1	2014–2018	2019–2020	Profitable
A2	2016–2020	2021–2022	Profitable
A3	2018–2022	2023–2024	Profitable
A4	2019–2023	2024–2025	Profitable

All four slices profitable on unseen data. A4 uses an extended IS window for validation only. Live Engine A uses the full-window 2014–2025 parameter set, confirmed stable by all A1–A4 slices.

Engine A Walk-Forward Slices

In-Sample19/01/2014 - 01/01/2019

Out-of-Sample01/01/2019 - 01/01/2021

Sample (IS/OOS)	Win Rate	Profit Factor	Sharpe	DD max	Trades
In-Sample	16.6%	1.44	2.41	24.3%	1419
Out-of-Sample	14.4%	1.15	1.03	33.0%	541

Structural Diagnostics (IS / OOS)

Behavioral Structure

Runs Zi

-6.66

OOS

-3.76

Percent Time Below Highi

92.2%

OOS

96.3%

Drawdown Stress

Ulcer Indexi

9.45

OOS

12.32

Out-of-Sample Stability Summary

Performance Stability

Metric	Mean	StDev	CV	Min / Max
Profit Factor (OOS)	1.75	0.38	0.215	1.15 / 2.18
Sharpe (OOS)	2.58	0.95	0.368	1.03 / 3.52
Max DD % (OOS)	27.35%	4.51%	0.165	20.38% / 32.97%

Structural Stability

Metric	Mean	StDev	CV	Min / Max
Runs Z (OOS)	-3.93	0.63	0.161	-4.72 / -3.00
Ulcer Index (OOS)	10.02	2.04	0.204	6.95 / 12.32
Percent Time Below High (OOS)	91.83%	3.15%	0.034	88.27% / 96.32%

Validation Summary

Long-term USDJPY structural breakout engine (2014–2025). Fully automated, deterministic rules, fixed SL/TP.

Profit Factor

1.98

Max Balance DD

37.37%

WFA Slices

4/4 profitable

Walk-Forward Findings (A1–A4)

Fully profitable OOS behavior across all slices
No catastrophic regime failures
Stable profit factor
Controlled drawdowns
Natural parameter evolution
Structural consistency across 12 years

Independent Review Checks

Slicing boundaries were verified
No data leakage was detected
IS/OOS behavior was consistent across slices
Robustness was evaluated against internal WFA benchmarks
Procedure and reporting were reviewed for protocol adherence

Robustness Conclusion: Engine A passes validation. Its full-window parameters form the long-term backbone of the ZenWave portfolio.

Watch WFA validation →

Monte Carlo Stress Test

Simulations were generated via bootstrap resampling of historical trade returns (with replacement), producing 10,000 equity paths to estimate variability in cumulative returns and drawdown distribution.

Results reflect resampled historical trade returns under the same position sizing model and are not forecasts of future performance.

Equity Path Simulation

10,000 paths · 3,288 trades resampled

FPT Live BT Full BT Median 25th–75th 5th–95th

Median Max Drawdown

34.1%

95th pctl: 47.5%

Original Max DD

34.9%

Backtest (single path)

Median Final Multiple

×59,977

5th–95th: ×4,189 – ×967,804

Original Final Multiple

×62,390

Backtest (single path)

Drawdown Probability

>20%

100.0%

>30%

77.1%

>40%

20.5%

>50%

2.8%

3,288 trades · 10,000 paths · bootstrap with replacement · seeded PRNG for reproducibility