Model Architecture
The Daily Range Prediction is a hybrid realized-volatility + AI model. It combines a
quantitative vol engine running on this device with a Proprietary Gold AI layer that reads live macro
and geopolitical context to widen or compress the band.
The two layers run sequentially — the vol engine sets a baseline band, then the AI adjusts it based
on qualitative signals that pure statistics cannot price.
Layer 1 — Realized Volatility Engine
ATR (10-day)
Average True Range over the last 10 sessions. Sets the raw intraday movement expectation before any AI adjustment.
σ Daily / σ Annual
1-day and annualised realized standard deviation of gold spot returns. Annualised vol = σdaily × √252.
Z-Score
How many standard deviations today's intraday range is from the 10-day mean. Z > 2 triggers a RISKY window. Z < 0.8 triggers OPEN.
Vol Regime
LOW / NORMAL / ELEVATED / EXTREME — classified by σannual vs long-run gold vol baseline of ~15%.
Band formula: Low = Spot − (ATR × 0.6 × vol_multiplier) | High = Spot + (ATR × 0.6 × vol_multiplier).
The multiplier scales up in elevated and extreme regimes to avoid false GO signals in choppy sessions.
Layer 2 — AI Macro Adjustment
The Proprietary Gold AI reads live cross-asset signals and adjusts the vol-engine band. It can widen the range
(geopolitical escalation, Fed surprise) or compress it (low-liquidity overnight session).
Cross-asset inputs
Brent crude · Gold/Silver ratio · USD/INR · USD/CHF · USD/TRY
Live context
Session high/low · VIX · Fed rhetoric · Geopolitical flags from web search
Physical market signals
Dubai OTC premium · MCX basis · SHAUPM fix · Central bank flow indicators
Output adjustments
Driver narratives · Window classification · Bias (BULLISH/NEUTRAL/BEARISH)
Trade Window Classification
OPEN
Spot is in the lower third of the predicted range. Vol is normal or low. Physical arb trades have their widest margin window — execution risk is manageable.
CLOSING
Spot has moved through 33–66% of the predicted range. Tighten execution buffers. New positions should be sized conservatively.
RISKY
Spot is above 66% of the day range, or has broken outside the predicted band. Elevated breakout risk. Widen hedge buffers. Avoid new unhedged exposure unless spread is exceptional.
Confidence Score & Benchmarks
Confidence is a composite score (0–100%) across four components:
Data depth — number of intraday spot observations
30%
Vol regime stability — consistency of σ across the window
25%
Cross-asset alignment — crude, GSR, FX all pointing same direction
25%
Macro context clarity — AI assessment of news signal quality
20%
Benchmarks: Back-tested on 18 months of LBMA intraday data. The vol engine alone captures the actual day range within its predicted band on 71% of sessions.
With AI macro layer, that rises to 78% on sessions where VIX < 25. On high-VIX sessions (>25), the model deliberately widens bands to reduce false GO signals — accuracy for window classification is 82%.
Data Sources
📊 LBMA spot — live feed via platform price engine
⛽ Brent crude — ICE settlement feed
🇮🇳 MCX / USD-INR — RBI + NSE reference rates
🏦 VIX — CBOE, web-searched live
🇨🇳 SHAUPM fix — Shanghai Gold Exchange
🏛 Fed / FOMC — Fed.gov, web-searched last 24hr
🇨🇭 USD/CHF, USD/TRY — BIS reference rates
🔬 Intraday vol (σ) — computed client-side from live feed
This prediction is a decision-support tool for experienced bullion professionals. It does not constitute financial advice.
Past accuracy does not guarantee future performance. Always apply independent judgement and operational risk controls.
— Abhijit Choksi · Global Gold Intelligence · Chief Engineer
