Simulation
Monte Carlo portfolio simulator a fan of paths
The engine draws multivariate normal returns from your sample, then Thrive compounds your weights into a fan: 5th, 50th, and 95th percentile wealth.
BTC / ETH / SOL
Median wealth 1.06x
Starting at 1. After 21 bars and 60 draws, the 5th percentile ends at 1.06x and the 95th at 1.06x. This is a normal model. Crash tails are fatter than the fan.
- 5th percentile
- 1.06x
- Median
- 1.06x
- 95th percentile
- 1.06x
- Paths
- 60
A bad run, not the worst case
Middle of the fan
A strong run
21 bars
- 5th
- 50th
- 95th
| Percentile | Wealth |
|---|---|
| 5th | 1.06 |
| 50th | 1.06 |
| 95th | 1.06 |
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
- Multivariate normal draws from Thrive's portfolio engine. Wealth is compounded on this page from those returns.
A fan, not a forecast
Each path is a draw from a multivariate normal fitted to your returns. Correlation is preserved, so the assets crash together when the sample says they do. The 5th percentile is a bad run, not a worst case. Real crashes have fatter tails than this model.
Use it to see whether the mix survives a dull year, not to pick a price target. If the 5th percentile of a 21-day book is a 25% hole, that is a sizing fact.
How this page runs it
Thrive's portfolio engine draws multivariate normal returns from your sample. You choose the number of paths and the horizon. Both are capped so one click stays quick.
Thrive compounds the simulated asset returns with your weights into portfolio wealth, starting at 1. The chart shows three percentile paths. The table lists terminal wealth.
How to run it
- Paste closes and set weights. Leave weights blank for an equal mix.
- Keep the horizon short, around a month of bars, unless the sample is long.
- Read the 5th percentile as the run you should be able to sit through.
- Do not treat the median as an expected return you are owed.
FAQ
People also ask
It is a multivariate normal draw from Thrive's portfolio engine, and it keeps the correlation structure. It understates crash days. Pair it with the empirical CVaR on this site before you size.
Up to 80 paths and 30 periods per click. That is enough to draw a stable fan without a long wait.
Yes. The page normalizes if you are within a percent, and rejects the run if you are not.
No. It replays the volatility and correlation in your sample. A regime change makes the fan stale the day it happens.
Related
VaR and CVaR calculator
Empirical value at risk and conditional value at risk from the closes you paste. VaR is the loss you only breach on the bad days. CVaR is the average loss on those days.
Crypto portfolio optimizer
Max Sharpe, minimum variance, most diversified, and hierarchical risk parity. Same closes, four weight vectors, so you can see which method is just chasing the last winner.
Efficient frontier calculator
Two or more close series. The engine estimates means and covariance, then lays out the mean-variance frontier: the mixes that take the least vol for each return.
Trading journal
The ratio on a pasted series is a lab result. The journal is the book you actually traded.
VaR and CVaR
The historical tail, next to the simulated one.
Bitcoin volatility
The live 90-close vol print for the BTC sample.
Ethereum volatility
Simulate the book. Then check the one you held.
A fan chart is a possibility set. The journal is the path that happened. Thrive is where those two meet.