Average ROI
Balance ROI
-5.51%
-4.97%
Equal-weighted across live accounts
Multi-engine trading systems for long-term probabilistic compounding. Initial focus: USDJPY.
Portfolio Impact
+67% Sharpe improvement
Baseline = 60% SPY / 40% AGG · monthly rebalance · 2014–2025 · walk-forward · out-of-sample.
Validate the result set →Real-time equity curves · all engines combined
Third-party verifiable via cTrader Community profile.
Combined + individual engines vs SPY benchmarks
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Drawdown | Trades | |
|---|---|---|---|---|---|---|---|
| ZenWave A | 14.6% | 0.93 | -0.33 | -0.20 | — | 5.89% / 43d | 137 |
| ZenWave B | 10.6% | 0.76 | -1.57 | -0.68 | — | 13.00% / 138d | 123 |
| ZenWave Book | 13.2% | 1.06 | 0.48 | 0.24 | 1.01 | 5.19% / 51d | 144 |
Average ROI
Balance ROI
-5.51%
-4.97%
Equal-weighted across live accounts
Portfolio ROI
Balance ROI
-4.27%
-3.75%
Capital-weighted across the portfolio
Lots
0.02
Slippage
0.00p
Target Risk
-1.00%
Live Risk
-1.10%
Lots
0.02
Slippage
-0.08p
Target Risk
-1.00%
Live Risk
-1.13%
Lots
0.01
Slippage
0.00p
Target Risk
-0.25%
Live Risk
-0.29%
Lots
0.01
Slippage
0.00p
Target Risk
-0.25%
Live Risk
-0.31%
Risk is calculated from stop-loss distance relative to account equity. Due to minimum lot size (0.01 lots), broker rounding, and execution effects, actual exposure may differ slightly from the target. Methodology: Risk Controls.
Long-Horizon Structural Engine
12-year Walk-Forward backbone (2014–2025). Captures rare regime expansions.
Medium-Horizon Adaptive Engine
Multi-regime volatility alignment. Stabilizes portfolio behavior across mixed regimes.
In Research
Next engine slot in the research pipeline. Strategy and timeline will be published after validation.
Separate generation from verification. Internal tooling generates candidates; independent review tooling checks procedures and boundaries.
Multi-slice WFA with zero data leakage. Stability across time, not peak returns.
No martingale, no grid, no hedge stacking. Mandatory SL/TP. Server-side execution only.
USDJPY-first by design. Start with deep liquidity and clean execution, then expand to additional markets as validation compounds.
How long can you stay underwater?
Backtest · USDJPY · 11y 11m 13d (19/01/2014 - 01/01/2026)
Profile Annual Summary
Win % by Year: 92%
11 / 12 years
+51.43%
-7.69%
-19.52%
91.7%
Based on Balance.
| Win Rate | Profit Factor | Sharpe | Return / DD | Calmar | Exp/Trade | DD Ave | DD Max | DT Ave | DT Max | Trades |
|---|---|---|---|---|---|---|---|---|---|---|
| 17.0% | 1.98 | 2.23 | 124767.59 | 3.90 | 0.37% | 7.43% | 37.37% | 16.6d | 498d | 3,330 |
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 →ZenWave A and B are structurally convex systems. They are 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.
ZenWave Capital is an independent systematic capital platform operating fully automated multi-engine trading systems with strict governance and live transparency.