Validation

A structured summary of the Walk-Forward Analysis validation, engine timelines, and risk framework powering the ZenWave portfolio.

Walk-Forward Analysis Overview

Walk-Forward Analysis (WFA) is a sequential validation protocol: optimise on in-sample (IS) data, then test on unseen out-of-sample (OOS) segments. Each slice reports performance on data not used by the optimiser.

For ZenWave, WFA is not optional. It is the only accepted validation standard. Published equity curves are stitched from OOS segments.

Validation includes:

Slicing boundaries verified
IS/OOS partitions checked for leakage
Equity shape and structural consistency evaluated
PF/DD stability and regime alignment
Parameter drift reviewed
Procedure and reporting reviewed for protocol adherence

This reduces overfitting risk and false robustness.

Engine A — 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	0.528
Sharpe (OOS)	2.58	0.95	0.368	0.293
Max DD % (OOS)	27.35%	4.51%	0.165	0.618

Structural Stability

Metric	Mean	StDev	CV	Min / Max
Runs Z (OOS)	-3.93	0.63	0.161	0.636
Ulcer Index (OOS)	10.02	2.04	0.204	0.564
Percent Time Below High (OOS)	91.83%	3.15%	0.034	0.916

Engine A — 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 →

Engine A — 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

Engine B — Walk-Forward Timeline

Five rolling slices spanning July 2018 to 2025.

Slice	IS Period	OOS Period	OOS Result
B1	07/2018–2020	2021	Profitable
B2	2019–2021	2022	Profitable
B3	2020–2022	2023	Profitable
B4	2021–2023	2024	Profitable
B5	2022–2023	2024–2025	Profitable

All five slices profitable OOS. B5 selected for production — best IS/OOS alignment, lowest fragility.

Engine B Walk-Forward Slices

In-Sample01/07/2018 - 01/01/2021

Out-of-Sample01/01/2021 - 01/01/2022

Sample (IS/OOS)	Win Rate	Profit Factor	Sharpe	DD max	Trades
In-Sample	16.4%	1.37	1.99	30.3%	584
Out-of-Sample	21.3%	1.60	3.28	18.3%	277

Structural Diagnostics (IS / OOS)

Behavioral Structure

Runs Zi

-3.99

OOS

-2.67

Percent Time Below Highi

93.7%

OOS

89.6%

Drawdown Stress

Ulcer Indexi

10.65

OOS

7.10

Out-of-Sample Stability Summary

Performance Stability

Metric	Mean	StDev	CV	Min / Max
Profit Factor (OOS)	1.78	0.39	0.219	0.530
Sharpe (OOS)	2.99	1.11	0.372	0.237
Max DD % (OOS)	20.24%	5.59%	0.276	0.504

Structural Stability

Metric	Mean	StDev	CV	Min / Max
Runs Z (OOS)	-2.32	1.37	0.592	0.040
Ulcer Index (OOS)	8.00	2.94	0.368	0.372
Percent Time Below High (OOS)	90.52%	2.96%	0.033	0.910

Engine B — Validation Summary

Medium-term USDJPY breakout engine (2018–2025). Adaptive structural logic, deterministic execution.

WFA Slices

5/5 profitable

Selected

Period

2018–2025

Walk-Forward Findings (B1–B5)

B1 — Moderate stability
B2 — Strong and balanced
B3 — Weakest slice but profitable
B4 — Excellent stability
B5 — Best alignment with modern volatility

Parameter Behavior

Controlled drift across slices
No chaotic jumps
Stable PF/DD characteristics

Independent Review Checks

Slicing integrity was verified
No overfitting indicators were detected
Behavior matches expectations for a medium-horizon structural engine

Robustness Conclusion: Engine B passes WFA with stable OOS results. B5 is selected for live deployment due to regime alignment and low fragility.

Watch WFA validation →

Engine B — Monte Carlo Stress Test

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 · 1,088 trades resampled

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

Median Max Drawdown

26.1%

95th pctl: 38.0%

Original Max DD

28.5%

Backtest (single path)

Median Final Multiple

×606

5th–95th: ×85.2 – ×4,788

Original Final Multiple

×614

Backtest (single path)

Drawdown Probability

>20%

90.3%

>30%

26.5%

>40%

3.5%

>50%

0.2%

1,088 trades · 10,000 paths · bootstrap with replacement · seeded PRNG for reproducibility

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 engines modeled at 0.50%.

Portfolio Validation Snapshot (B5 OOS Window)

Book compounded from A+B at 0.25% each, compared vs standalone engines at 0.50%.

	WR	PF	SR	DD Ave	DD Max	DT Ave	DT Max	N
Book (A+B @0.25%)	17.0%	1.89	2.42	2.54%	13.28%	10.2d	167d	2,202
A (0.50%)	17.3%	1.82	2.85	3.64%	15.56%	13.4d	237d	1,114
B (0.50%)	16.8%	1.82	2.88	3.25%	15.17%	10.6d	182d	1,088

Note: Comparison holds total risk constant at 0.50%. Standalone engines are modeled at 0.50%. The Book splits the same risk across engines (0.25% each).

2025 Year-End Baseline

Engine Status (as of 31 Dec 2025)

Engine	Status	Window	Params
Engine A	Live	Full-window (2014–2025)	Frozen
Engine B	Live	B5 slice	Frozen

As of 31 Dec 2025, Engine A and B parameters are frozen. No parameter, risk, or logic changes are permitted outside a formal retirement or replacement decision.

The live deployment matches expectations set by the combined out-of-sample equity curves:

Operates within the predicted drawdown bands
Shows no signs of parameter decay or regime misalignment
Continues to trade strictly within the WFA-validated framework

Research and optimisation are complete. The current phase is observation — tracking live behavior against validated benchmarks.

Forward Performance Tracking →

Methodology →Forward Performance Tracking →