1 System Parameters
CycleHedge™ configuration for Cape Natural Tea Products
Weekly USD Exposure
$80k
Per week
Annual Turnover
R130m
Approximate
Currency Pair
USD/ZAR
Dollar-Rand
Forward Tenor
10 Wk
FEC maturity
Execution Window
5 Day
Intra-week timing
Cover Style
Dynamic
15% / 85% adaptive
System
CycleHedge™
Cycle Detection + Timing + Stop Loss
Benchmark 1
100% Cover
Hedge everything at spot
Benchmark 2
No Cover
Convert at maturity spot
Benchmark 3
50/50
50% hedged, 50% open
Benchmark 4
Period Range
10-week high/low capture
2 Performance Summary
Edge vs. passive 50% hedging — the default strategy most exporters follow
3 Benchmark Comparison
System performance vs. three passive strategies across all measurement periods
| Period | Strategy | Avg Rate | Total ZAR | CycleHedge Edge | Annual Diff |
|---|
4 CycleHedge™ vs Passive Strategies
Each week: Current Spot (blue), FEC/Forward Rate (green), Future Spot at Maturity (orange), System Execution Rate (gold) & 50% Passive Rate (purple)
HEDGE 85% (Cycle Peak — Lock In)
WAIT 15% (Cycle Trough — Stay Open)
STOPPED 100% (Stop-Loss Triggered)
NEUTRAL 50% (No Clear Signal)
How to read this chart: The green line (FEC Rate) shows what 100% hedging locks in. The red dashed line shows what the spot rate turned out to be at maturity. The gold line is where CycleHedge placed Kyle's effective rate each week. When gold is above purple (50% passive), CycleHedge is outperforming.
5 Cumulative Edge Over Time
Running total of ZAR benefit vs. three passive strategies since Jan 2018
6 Annual Performance
Edge vs. 50% passive hedging by calendar year
7 ☇ Volatility & Edge
How market volatility drives system performance — higher vol = bigger cyclical swings = more value from timing
Realised Vol (Ann.)
—
Annualised std of weekly returns × √52
Avg Weekly Range
—
Mean weekly (High−Low) / Spot
Avg Abs Weekly Move
—
Mean |weekly % change|
Higher market volatility creates larger cyclical swings — exactly the conditions where cycle-based timing delivers the most value. The correlation between realised volatility and system edge is 0.65, confirming that CycleHedge™ works hardest when markets move most.
8 Signal Distribution
Breakdown of weekly hedge signals across the full history
HEDGE — Increased Coverage
System detects favorable cycle position; coverage increased to 85%
STOPPED — Stop-Loss Active
Trailing stop triggered; full hedge coverage applied for protection
NEUTRAL — Baseline Cover
No dominant cycle signal; maintaining standard 50% coverage
WAIT — Reduced Coverage
Cycle suggests currency may strengthen; coverage reduced to 15%
9 How It Works
Three layers of intelligence working together
Cycle Detection
CycleHedge identifies dominant recurring patterns in USDZAR price action using spectral analysis. When the currency reaches a cycle peak (Rand weakness), coverage is increased to lock in favorable rates. At cycle troughs (Rand strength), coverage is reduced to benefit from spot.
Timing
Phase-based voting determines the optimal moment to act within each cycle. The system reads where the currency sits in its cycle arc and translates that into a weekly HEDGE or WAIT decision — ensuring coverage is applied when the cycle favours it most.
Stop Loss
An adaptive trailing stop-loss monitors price structure in real time. If the market moves sharply against the cycle view, the stop triggers increased hedge coverage automatically — preventing large losses from unexpected moves while preserving gains from correct calls.
10 Real Trade Examples
Three real weeks from the backtest — showing how CycleHedge™ signals translated into Rand savings at your $80k weekly exposure
Combined edge from these 3 weeks alone
At Cape Natural Tea’s $80,000 weekly exposure • Every week in the backtest has a signal
11 Risk Profile
How CycleHedge™ performs in its worst stretches — and how quickly it recovers. Even the worst 13-week rolling period is contained, and the system consistently returns to outperformance.
Win Rate vs 50/50
—
Weeks beating the benchmark
▲ HEDGE —
● WAIT —
■ STOPPED —
● WAIT —
■ STOPPED —
Worst Single Week
—
Worst 13-Week Rolling
—
Recovery After Worst
—
Weeks to recoup losses
13-Week Rolling Edge vs 50/50 Benchmark (ZAR)