Value at risk calculator
The loss most days stay under.
Free risk tools
Return distribution calculator
How big are this market's moves, how often do the big ones come, and do they come up or down? Fat tails and skew against a bell curve.
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The closes
The shape
The usual move is ±0.52% a bar, and the tails are close to normal (excess kurtosis +0.21). 5.1% of the moves were beyond 2 standard deviations, against 4.6% on a bell curve.
- Up or down
- Skew -0.31. The big moves were about as often up as down.
- The extremes
- The biggest rise was +1.47% and the biggest fall -1.35%; 59% of the bars closed up.
- For the stop
- Moves beyond 3 standard deviations: 0.0% of bars, against 0.3% on a bell curve. A stop 3 times the usual move away, 1.55%, was never jumped in one bar in these 79 moves.
- Read it with care
- Risk models that assume a bell curve, such as a plain value at risk, understate fat tails. 79 moves is a small sample: one jump changes the shape.
How the 79 moves spread, in standard deviations from the average move, against a bell curve.
| Move | Bars | Share | Bell curve |
|---|---|---|---|
| Below −2 SD | 3 | 3.8% | 2.3% |
| −2 to −1 SD | 10 | 12.7% | 13.6% |
| −1 to 0 SD | 22 | 27.8% | 34.1% |
| 0 to +1 SD | 31 | 39.2% | 34.1% |
| +1 to +2 SD | 12 | 15.2% | 13.6% |
| Above +2 SD | 1 | 1.3% | 2.3% |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
Markets are not bell curves
Textbook risk assumes moves fall on a bell curve, where a 3-standard-deviation day comes about once a year and a 5-sigma day almost never. Real markets have fat tails: long calm spells and sudden jumps far bigger than the curve allows. Skew tells you which way the jumps come. This page measures both on your closes, so you can see how much room a stop really needs and how far a plain risk model misses.
Put a number on the loss with the value at risk calculator, see the usual move with the historical volatility calculator, plan for overnight jumps with the gap risk check, and size the trade with the position size calculator.
Not advice. Statistics on the closes you type; the biggest move ahead may be bigger than any in them.
Next tools
Historical volatility calculator
The real swing of a price from its closes.
Gap risk check
What a jump past your stop would cost, and the size that fits.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.