Monte Carlo
Simulates thousands of price paths that follow current volatility and the time of day, and shows how likely a chosen level is to be touched.
Inputs
Closed five-minute bars of the instrument from ArcDelta (open, high, low, close).
Outputs
Price fan, outcome quantiles, touch and close-beyond probabilities, largest rise and fall inside the horizon.
How it is reviewed
Out-of-sample check on 30 perpetual contracts: touch probabilities 2–5% more accurate than the previous version, the 90% band covered 89.7% of one-hour outcomes. Live calibration per instrument is shown in the model. Reviewed every 14 days.
Limits
The model assumes no trend. In the falling market of October 2026 the one-day loss tail was breached more often than nominal: 8% against 5%.
Versions
- v1.0
Filtered historical simulation with GARCH volatility and an hour-of-day profile, touch probabilities, live calibration.
- v0.5
Money PnL and loss budget.