Dynamic Outcomes CycleHedge™ — SRCC | South African Raisin Co-operative Corporation

1 System Parameters

CycleHedge™ configuration for SRCC

Currency Pair

USD/ZAR

Dollar-Rand

Forward Tenor

10 Wk

FEC maturity

Execution Day

Tuesday

Weekly signal

Execution Window

5 Day

Intra-week timing

Cover Style

85 / 15

HEDGE=85%, WAIT=15%

Exposure

$2M/wk

≈ R1.5bn/year

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

2 Performance Summary

Edge vs. passive 50/50 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 Annual Performance

Year-by-year edge percentage — positive bars show outperformance vs. 50/50 benchmark

⚡ Volatility & Edge

How market volatility drives system outperformance — realised vol vs. annual edge

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 confirms that CycleHedge™ works hardest when markets move most.

5 Rates & Signals

Weekly rates with signal backgrounds — Spot, Forward, Spot at Maturity, System Rate, and 50/50 Benchmark

HEDGE

WAIT

STOPPED

NEUTRAL

6 Cumulative Edge (ZAR)

Running total of Rand benefit vs. 50/50 benchmark over time

7 Signal Distribution

Breakdown of weekly signals across the analysis period

8 How It Works

Three components that generate the edge

◑
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. Intra-week execution timing adds an estimated 0.5–0.8% annual improvement.

⚠
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.

9 Real Trade Examples

Three real weeks from the backtest — showing how CycleHedge™ signals translated into Rand savings at SRCC’s $2m weekly exposure

Combined edge from these 3 weeks alone

At SRCC’s $2,000,000 weekly exposure (~R1.5bn annual) • Every week in the backtest has a signal

10 Risk Profile

How CycleHedge™ performs in its worst stretches — and how quickly it recovers

Win Rate vs 50/50

—

Weeks beating the benchmark

▲ HEDGE —
● 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)

◑ Cycle Detection

⏱ Timing

⚠ Stop Loss

◑
Cycle Detection

⏱
Timing

⚠
Stop Loss