QUANT INTELLIGENCE
Regime-Adaptive Monte Carlo • Fractal Analysis • CVaR
v5.0 (Institutional)
Regime-Adaptive Forecast
Mean Path
95% Cone
Regime-Switching Model: Forecasts are generated by bootstrapping returns specifically from historical periods with volatility characteristics similar to the current market environment.
Risk-Adjusted Alpha
Awaiting Execution…
Optimal Sizing (Kelly)
Calculates theoretical optimal position size based on historical win rate and payoff ratio.
Expected Shortfall (CVaR)
Unlike simple VaR, CVaR measures the average loss when the limit is breached (Black Swan magnitude).
Pain Index (Underwater Equity)
Duration and depth of capital impairment.
Monthly Seasonality Matrix
Fractal Dimension & Trend
Hurst Exponent analysis to determine market efficiency.
Awaiting analysis…