The Cost of Convexity
How long can you stay underwater?
Backtest · USDJPY · 11y 11m 13d (19/01/2014 - 01/01/2026)
Profile Annual Summary
Win % by Year: 100%
4 / 4 years
+300.88%
+122.83%
+60.57%
87.0%
Based on B5 · Conservative.
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | Trades | ROI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ZW-A | 17.8% | 1.99 | 2.83 | 955.19 | 11.12 | 0.55% | 5.72% | 27.13% | 14.3d | 237d | 1,117 | +25914.39% |
| B5 · Conservative | 16.8% | 1.69 | 2.74 | 2149.24 | 13.95 | 0.66% | 6.44% | 28.50% | 10.7d | 182d | 1,088 | +61253.25% |
| B5 · Optimistic | 17.2% | 1.71 | 2.78 | 2398.24 | 14.76 | 0.67% | 6.37% | 27.60% | 10.9d | 182d | 1,085 | +66191.31% |
Each slider stop lands on a duration with at least one observed episode — no empty positions to skip over.
Drawdown Duration
This slider shows how long equity historically stayed below prior highs.
Depth measures capital risk.
Duration measures time risk.
Convex systems lose small and win large. Most trades are losses. Gains cluster in expansion phases.
The cost is time. Equity can remain below prior highs for extended periods before recovery.
Drawdown duration — not depth — is the primary behavioral stressor.
The slider above lets you inspect those episodes directly.
If historical time under water exceeds your tolerance, the system may not be suitable.
Tested out-of-sample.
View WFA slices (B5) →ZenWave B is a structurally convex system. It is designed to lose small and win big — capturing asymmetric upside during macro dislocations while keeping drawdowns mechanically bounded in flat or adverse regimes.
That design has a cost. Convexity is not free. The price you pay is time: extended stretches where the equity curve drifts sideways or grinds lower before a sharp recovery restores new highs. These drawdown durations — not drawdown depths — are the real psychological stress test of any convex strategy.
The slider above lets you explore that tradeoff directly. As you move it to the right, you reveal progressively longer drawdown episodes — periods where the system was underwater for at least that many days. The highlighted regions on the chart show exactly when those episodes occurred and how long they lasted.
It is easy to underestimate how difficult it is to sit through a 90-day drawdown even when the system is behaving exactly as designed. The urge to intervene — to reduce size, switch strategies, or stop trading entirely — is strongest precisely when discipline matters most.
Convex systems reward patience disproportionately. The largest gains tend to cluster in brief windows that follow the deepest troughs. Miss those windows — because you stepped aside during the drawdown — and you convert a positively skewed return stream into a negatively skewed one.
This section exists so you can confront that cost honestly before committing capital. If the highlighted episodes feel intolerable, the system is not a fit — and that is a perfectly valid conclusion. The goal is not to convince you to invest. The goal is to make the cost legible so the decision is yours. Understanding that cost is part of the framework.