Monte Carlo forward projection
Ganet · Adaptive Efficiency archive export · forward window to sunset
2026-05-01
Freeze window: 21 calendar days from valuation_date (2026-04-10) to sunset_date (2026-05-01).
Model: correlated geometric Brownian motion with optional Poisson jump diffusion (quant_monitor/backtest/simulation.py), estimated on 16 holdings from the DuckDB EOD matrix.
Latest run (post matrix cleanup)
| Statistic | Value |
|---|---|
| Simulations | 10,000 |
| Median terminal return | +1.70% |
| Mean | +1.83% |
| P5 (VaR 95) | −6.40% |
| P95 | +10.63% |
| P(positive) | 63.1% |
| P(loss > 5%) | 9.0% |
Data hygiene
Legacy SPY proxy rows at the wrong price scale were removed via scripts/clean_duckdb_prices.py before this run. See mc-forward-results.json for machine-readable output.