Daily return relationship with ZenWave A is near zero, indicating independence.
Correlation
+0.168
Pearson correlation of overlapping daily returns with ZenWave A
First candidate readout for Engine C. The overlay benchmarks its return path against ZenWave A and ZenWave B, then the sections below test portfolio impact, stress behavior, and independence before any deployment decision.
Full-backtest relative overlay (C vs A/B).
| Series | Win % / Year | Median Year | Worst Year | Worst 12M | % Below High |
|---|---|---|---|---|---|
| ZenWave C 1 | 92%(12/13) | +33.06% | -0.75% | -8.97% | 89.1% |
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | Trades | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| ZenWave A | 17.0% | 1.98 | 2.18 | 134578.09 | 3.72 | 0.36% | 7.55% | 37.37% | 21.8d | 498d | 3,330 |
| ZenWave B | 16.3% | 1.86 | 2.06 | 70827.43 | 3.05 | 0.35% | 7.77% | 42.34% | 20.2d | 289d | 3,245 |
| ZenWave C 1 | 39.0% | 1.52 | 2.23 | 338.16 | 1.78 | 0.24% | 4.35% | 23.84% | 20.0d | 392d | 1,956 |
Trade-level compounded portfolio simulation. The current A+B book (each at 0.25%) is shown alongside a hypothetical A+B+C book using the same 0.25% per-engine sizing.
| Book | Win % / Year | Median Year | Worst Year | Worst 12M | % Below High |
|---|---|---|---|---|---|
| Book (A+B @0.25%) | 100%(13/13) | +44.43% | +1.09% | -3.63% | 90.2% |
| Book + ZenWave C 1 (A+B+C @0.25%) | 100%(13/13) | +54.61% | +7.29% | -3.63% | 89.5% |
| WR | PF | SR | R/DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | N | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Book (A+B @0.25%) | 16.4% | 1.69 | 1.25 | 3586.86 | 3.62 | 0.10% | 3.23% | 19.15% | 17.1d | 289d | 6,863 |
| Book + ZenWave C 1 (A+B+C @0.25%) | 21.4% | 1.64 | 1.24 | 9463.91 | 3.87 | 0.09% | 3.12% | 21.96% | 14.5d | 289d | 8,819 |
Synthetic forward paths generated from the candidate’s historical trade distribution.
Median Max Drawdown
24.8%
95th pctl: 37.1%
Original Max DD
26.8%
Backtest (single path)
Median Final Multiple
×29.2
5th–95th: ×8.69 – ×99.8
Original Final Multiple
×29.1
Backtest (single path)
>20%
83.8%
>30%
21.2%
>40%
2.4%
>50%
0.1%
1,224 trades · 10,000 paths · bootstrap with replacement · seeded PRNG for reproducibility
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.
Correlation, sensitivity, and stress-regime co-movement of the candidate relative to ZenWave A.
Daily return relationship with ZenWave A is near zero, indicating independence.
Correlation
+0.168
Pearson correlation of overlapping daily returns with ZenWave A
Sensitivity to ZenWave A is near zero, indicating very limited directional dependence.
Beta
+0.073
Sensitivity of returns to ZenWave A returns
Stress-regime relationship with ZenWave A remains limited, indicating independence during ZenWave A drawdowns.
Drawdown Correlation
+0.156
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
+0.056
Correlation on the most negative decile of ZenWave A daily returns
Correlation, sensitivity, and stress-regime co-movement of the candidate relative to ZenWave B.
Daily return relationship with ZenWave B is near zero, indicating independence.
Correlation
+0.164
Pearson correlation of overlapping daily returns with ZenWave B
Sensitivity to ZenWave B is near zero, indicating very limited directional dependence.
Beta
+0.070
Sensitivity of returns to ZenWave B returns
Stress-regime relationship with ZenWave B remains limited, indicating independence during ZenWave B drawdowns.
Drawdown Correlation
+0.133
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
+0.014
Correlation on the most negative decile of ZenWave B daily returns
Exploration of multiple optimization profiles derived from the same underlying signal (Engine A), evaluating how different objectives shape return, drawdown, and consistency for future deployment.
Current work: deep optimization of the Consistency Profile. Other profiles will follow.
Engine A V2 Profile Exploration vs Live Baseline (Frozen Reference)
All profiles shown here are derived from the same core signal (Engine A). Entries and signal generation remain unchanged. Each profile represents a different optimization objective applied to trade management - including return maximization, drawdown control, and consistency improvement.
Initial results shown here are based on early-stage parameter exploration. Current work is focused on further developing the Consistency Profile, with similar depth of optimization planned for the other profiles.
| Profile | Win % / Year | Median Year | Worst Year | Worst 12M | % Below High |
|---|---|---|---|---|---|
| A V1 – Live Baseline (Frozen Reference)Live Reference | 92%(11/12) | +51.43% | -8.00% | -19.52% | 91.5% |
| A V2 – Consistency ProfileWin Stability FocusIN ACTIVE RESEARCH | 100%(12/12) | +77.97% | +5.10% | -19.42% | 91.9% |
| A V2 – Return ProfileGrowth Focus | 100%(12/12) | +57.86% | +4.78% | -23.25% | 91.2% |
| A V2 – Risk ProfileDrawdown Control | 100%(12/12) | +73.36% | +13.03% | -11.66% | 90.9% |
Profiles currently reflect early optimization passes (e.g. limited parameter sets). Each profile will undergo further refinement before any deployment decisions are made.
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | Trades | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| A V1 – Live Baseline (Frozen Reference) | 17.0% | 1.98 | 2.23 | 124767.59 | 3.90 | 0.37% | 7.43% | 37.37% | 18.5d | 498d | 3,330 |
| A V2 – Consistency Profile | 19.2% | 2.15 | 2.19 | 95356.13 | 4.63 | 0.34% | 6.84% | 29.29% | 17.8d | 430d | 3,379 |
| A V2 – Return Profile | 17.4% | 2.08 | 2.30 | 161430.09 | 3.99 | 0.38% | 6.86% | 37.98% | 17.0d | 370d | 3,325 |
| A V2 – Risk Profile | 18.3% | 2.13 | 2.34 | 83664.97 | 4.79 | 0.35% | 6.54% | 27.49% | 16.5d | 339d | 3,256 |
Profiles are optimized under different objective functions. Results reflect how trade management affects outcome distribution, not changes to the underlying signal.
All profiles are part of ongoing research. Current focus reflects development sequence, not final preference.