Daily return correlation with ZenWave A is low, indicating limited co-movement.
Correlation
+0.181
Pearson correlation of overlapping daily returns with ZenWave A
C
Engine C — Research
Initial CandidateResearch Archive
Historical record of the original combined C candidate: its backtest path, exploratory Book impact, stress behavior and co-movement with Engines A and B.
ZenWave C 1
Historical record of Engine C’s original combined candidate. The overlay benchmarks its return path against ZenWave A and ZenWave B; the sections below document the exploratory portfolio, stress and co-movement analyses that informed later research.
ROI figures represent mechanically compounded research simulations at the stated validation sizing across the full historical period. They are not representative of expected deployment returns.
Full-backtest relative overlay (C vs A/B).
| Series | Win % / Year | Median Year | Worst Year | Worst 12M | % Below High |
|---|---|---|---|---|---|
| ZenWave C 1 | 100%(12/12) | +41.24% | +5.06% | -10.84% | 88.8% |
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | Trades | ROI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ZenWave A | 17.0% | 1.98 | 2.18 | 147627.55 | 3.72 | 0.36% | 7.51% | 37.37% | 21.5d | 498d | 3,330 | +5516841.64% |
| ZenWave B | 16.3% | 1.86 | 2.08 | 80141.43 | 3.07 | 0.35% | 7.73% | 42.34% | 20.0d | 289d | 3,245 | +3393188.22% |
| ZenWave C 1 | 39.5% | 1.52 | 2.25 | 274.12 | 1.63 | 0.24% | 4.30% | 24.66% | 20.7d | 323d | 1,886 | +6759.72% |
DD Duration FilterShowing 28 DD episodes of exactly 1d (1/99)
Book Simulation
Trade-level compounded exploratory simulation. The A+B book (each at 0.25%) is shown alongside a hypothetical A+B+C book using the same 0.25% per-engine sizing; it is not a current deployment recommendation.
| Book | Win % / Year | Median Year | Worst Year | Worst 12M | % Below High |
|---|---|---|---|---|---|
| Book (A+B @0.25%) | 100%(13/13) | +44.43% | +7.07% | -3.63% | 90.2% |
| Book + ZenWave C 1 (A+B+C @0.25%) | 100%(13/13) | +54.61% | +10.97% | -3.63% | 89.5% |
| WR | PF | SR | R/DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | N | ROI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Book (A+B @0.25%) | 16.4% | 1.70 | 1.28 | 3799.29 | 3.62 | 0.10% | 3.22% | 19.15% | 17.1d | 289d | 6,905 | +72494.19% |
| Book + ZenWave C 1 (A+B+C @0.25%) | 21.4% | 1.66 | 1.26 | 10023.87 | 3.87 | 0.09% | 3.11% | 21.96% | 14.5d | 289d | 8,861 | +219771.83% |
Monte Carlo Stress Distribution
Synthetic paths generated from the original candidate’s historical trade distribution.
Equity Path Simulation
10,000 paths · 1,886 trades resampled Full BT Median 25th–75th 5th–95th
Median Max Drawdown
24.2%
95th pctl: 35.7%
Original Max DD
24.7%
Backtest (single path)
Median Final Multiple
×69.4
5th–95th: ×19.3 – ×253
Original Final Multiple
×68.6
Backtest (single path)
Drawdown Probability
>20%
83.3%
>30%
17.4%
>40%
1.8%
>50%
0.1%
1,886 trades · 10,000 paths · bootstrap with replacement · seeded PRNG for reproducibility
Drawdown Comparison
Each series rebased against its own running peak. Shows how the candidate’s drawdown profile lines up with ZenWave A and ZenWave B over the same period.
ZenWave A DDZenWave B DDZenWave C 1 DD
Co-movement vs ZenWave A
Correlation, sensitivity, and stress-regime co-movement of the candidate relative to ZenWave A.
Sensitivity to ZenWave A is near zero, indicating very limited directional dependence.
Beta
+0.078
Sensitivity of returns to ZenWave A returns
Stress-regime correlation with ZenWave A remains low, suggesting limited co-movement during ZenWave A drawdowns.
Drawdown Correlation
+0.174
Correlation during periods when ZenWave A is below its rolling max
Tail-event relationship with ZenWave A turns positive, indicating some sensitivity on the worst ZenWave A days.
Worst 10% ZenWave A Days
+0.085
Correlation on the most negative decile of ZenWave A daily returns
Co-movement vs ZenWave B
Correlation, sensitivity, and stress-regime co-movement of the candidate relative to ZenWave B.
Daily return correlation with ZenWave B is low, indicating limited co-movement.
Correlation
+0.180
Pearson correlation of overlapping daily returns with ZenWave B
Sensitivity to ZenWave B is near zero, indicating very limited directional dependence.
Beta
+0.075
Sensitivity of returns to ZenWave B returns
Stress-regime correlation with ZenWave B remains low, suggesting limited co-movement during ZenWave B drawdowns.
Drawdown Correlation
+0.189
Correlation during periods when ZenWave B is below its rolling max
Tail-event relationship with ZenWave B turns positive, indicating some sensitivity on the worst ZenWave B days.
Worst 10% ZenWave B Days
+0.061
Correlation on the most negative decile of ZenWave B daily returns