Inputs
Closed cross-venue 5m bars of the instrument (open, high, low, close), loaded by the server from ArcDelta.
TreVmS Labs · v2.0
What range will the price cover, and how likely is it to touch a given level?
Outputs
Price fan, terminal distribution, touch and close-beyond probabilities for levels, maximum run-up and drawdown, indicator distributions.
Evidence
Horizons longer than one day run engine 2.0: a daily volatility level (HAR with the last 4h and 1h), 5m steps for the first day, then 1h and 4h steps. Out of sample on 30 perpetuals, January 2025 to October 2026, with the 27 days of history ArcDelta holds: CRPS 0.9% better than 1.1 at 7 days and 0.4% at 3 days, the 7-day upper 1% tail breached 1.4% of the time (1.1: 1.9%), and the run is about four times faster. Up to one day and for indicator distributions engine 1.1 runs. Reviewed every 14 days.
Limits
The model assumes no trend, so tail breaches follow the month's trend. On one day the 1% tail is conservative and is breached less often than nominal. Engine 2.0 needs three days of history and its far fan is drawn between 1h and 4h steps.
API
POST /labs/monte-carlo {symbol, source: "arcdelta", horizon_steps, paths, levels}
GET /labs/calibration?symbol=BTCUSDTMinimum data: Two days of 5m bars; the hour-of-day profile needs three.
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