Monte Carlo Expected Move Distribution
By LuxAlgoFeb 19, 2026
Monte Carlo Expected Move Distribution is an indicator on Vela, our next-generation charting platform, written in Pine Script®.
The Monte Carlo Expected Move Distribution swaps the single forecast line for an ensemble of Monte Carlo price paths: up to 500 Geometric Brownian Motion simulations, seeded by historical log-volatility and an optional drift component, condensed into a vertical histogram at the end of your projection horizon. The result is an options-style expected move drawn on the chart: median, one-standard-deviation range, and improbable tails.
How to Trade the Monte Carlo Expected Move Distribution?
- Median outcome (50th percentile): the statistically balanced reference given current volatility and drift.
- Colored 1-SD zone (16th–84th percentile): roughly 68% of simulated outcomes land here, home turf for conservative targets.
- Gray tails: aggressive objectives with correspondingly low odds inside the window.
- Early ±1 SD touches: reaching a dashed expected-move line early flags statistical overextension, context for mean reversion and trade management.
- Volatility-aware stops: the lower expected move can guide long-trade stops, while the upper line serves shorts as an invalidation level.
Match Projection Length to your holding period (a few bars for scalps, tens for swings) and enable drift only when you expect momentum to persist. The construction shares its geometry with probability cones, rendered as a full distribution.
Monte Carlo Expected Move Distribution Settings
- Simulations (50–500): more paths produce smoother, more stable distributions.
- Projection Length: forward bars used to compute the expected move.
- Volatility Lookback: window for measuring historical log-return volatility.
- Include Trend (Drift): adds directional bias; disable for a mean-neutral random walk.
- Price Bins / Max Distribution Width: vertical resolution and on-chart footprint of the histogram.
Frequently Asked Questions
Free to use
Run it on Vela. Go further with a paid plan.
- Up to 500 strategy alerts, with webhook automation
- Up to 10× the chart history of Free
- Orderflow lookback up to full history
- More Quant usage to customize it, plus extra usage when you need it
- Futures data alongside crypto, stocks, forex and commodities
Also works on
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