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Glossary

This glossary provides definitions for technical terms, indicators, and concepts used throughout the TradeAnon platform. Terms are organized alphabetically.

A​

ATR (Average True Range)​

A volatility indicator that measures the average range between high and low prices over a specified period, accounting for gaps.

Calculation:

  1. True Range = max(High - Low, |High - Prior Close|, |Low - Prior Close|)
  2. ATR = Exponential Moving Average of True Range over N periods (typically 14)

Usage: Position sizing, stop-loss placement, volatility assessment. Higher ATR indicates more volatile price action.

See Also: Volatility Intelligence

B​

Backwardation​

A futures market condition where front-month contracts trade at a premium to deferred contracts. The futures curve slopes downward over time.

Context: In VIX futures, backwardation typically occurs during market stress when near-term volatility exceeds expectations for future volatility.

Opposite: Contango

See Also: Volatility Intelligence

Beta​

A measure of an asset's sensitivity to market movements. Calculated as the covariance of asset returns with market returns, divided by market variance.

Interpretation:

  • Beta = 1.0: Moves with the market
  • Beta > 1.0: More volatile than market
  • Beta < 1.0: Less volatile than market
  • Beta < 0: Moves opposite to market

See Also: Portfolio Risk

Breach (Webster Power Trend)​

The condition when a power trend fails. Defined as two consecutive daily closes below the 21-day EMA.

See Also: Webster Power Trend

C​

Catalyst Event​

A fundamental news event that drives significant price movement. Common catalysts include earnings reports, FDA decisions, M&A announcements, analyst actions, and contract wins.

See Also: Episodic Pivots

Commercial Hedgers​

In COT data, commercial participants are producers, merchants, and processors who use futures to hedge business exposure. Often considered "smart money" as they have fundamental knowledge of their markets.

See Also: COT Analysis

Conditional Value at Risk (CVaR)​

Also called Expected Shortfall. The average loss in scenarios exceeding the VaR threshold. A more conservative risk measure than VaR as it considers tail risk.

Example: 95% CVaR of $10,000 means in the worst 5% of scenarios, the average loss is $10,000.

See Also: Portfolio Risk, Value at Risk

Contango​

A futures market condition where front-month contracts trade at a discount to deferred contracts. The futures curve slopes upward over time.

Context: VIX futures are typically in contango (~85% of time), reflecting the expectation that current low volatility will eventually increase.

Opposite: Backwardation

See Also: Volatility Intelligence

Contrarian Signal​

A trading signal that takes the opposite position to prevailing sentiment or positioning. Based on the premise that extreme crowd positioning often precedes reversals.

See Also: COT Analysis

Correlation​

A statistical measure of how two assets move relative to each other, ranging from -1 to +1.

  • +1: Perfect positive correlation (move together)
  • 0: No correlation (independent)
  • -1: Perfect negative correlation (move opposite)

See Also: Portfolio Risk

Credit Spread​

The yield difference between corporate bonds and risk-free government bonds. Measures the premium investors demand for credit risk.

Interpretation: Widening spreads indicate increasing risk aversion; tightening spreads indicate risk appetite.

See Also: Macro Dashboard

D​

Dark Pools​

Private trading venues where institutional investors execute large orders without displaying their intentions to public markets. Also called Alternative Trading Systems (ATS).

See Also: Dark Pool Analytics

Dark Pool Index (DPI)​

A normalized score combining short ratio and volume characteristics to measure institutional activity. Positive values indicate above-average selling pressure.

See Also: Dark Pool Analytics

E​

EMA (Exponential Moving Average)​

A moving average that gives more weight to recent prices. More responsive to price changes than simple moving average.

Calculation: EMA = (Price × α) + (Prior EMA × (1 - α)), where α = 2 / (Period + 1)

Common Periods: 9, 21, 50

See Also: Technical Indicators, Webster Power Trend

F​

Federal Funds Rate​

The target interest rate set by the Federal Reserve for overnight lending between banks. The primary tool of monetary policy.

See Also: Macro Dashboard

Float​

The number of shares available for public trading, excluding restricted shares held by insiders, governments, and controlling interests.

See Also: Episodic Pivots

Float Rotation​

Volume divided by float shares. Measures how many times the tradeable float has "turned over" in a given period.

Interpretation: High float rotation (>30%) indicates significant turnover and potential squeeze dynamics.

See Also: Episodic Pivots

G​

Gap-Up​

When a stock opens significantly higher than its prior close. The opposite (opening lower) is a gap-down.

Measurement: Gap % = (Open - Prior Close) / Prior Close × 100

See Also: Real-Time Scanner, Episodic Pivots

GDP (Gross Domestic Product)​

The total value of goods and services produced in an economy. The primary measure of economic output.

See Also: Macro Dashboard

I​

Implied Volatility​

The market's expectation of future price volatility, derived from option prices. Higher implied volatility means higher option premiums.

See Also: VIX, Volatility Intelligence

L​

Leveraged Funds​

In COT TFF reports, hedge funds and CTAs that typically take speculative positions. Their positioning tends to be extreme at market turning points.

See Also: COT Analysis

M​

Market Cap (Market Capitalization)​

The total market value of a company's outstanding shares.

Calculation: Market Cap = Share Price × Shares Outstanding

Categories:

  • Mega-cap: >$200B
  • Large-cap: $10B-$200B
  • Mid-cap: $2B-$10B
  • Small-cap: $300M-$2B
  • Micro-cap: <$300M

See Also: Episodic Pivots

Maximum Drawdown​

The largest peak-to-trough decline in portfolio or asset value over a specified period.

Calculation: Max Drawdown = (Peak - Trough) / Peak × 100

See Also: Portfolio Risk

Moving Average​

A smoothed price series calculated by averaging prices over a specified lookback period. Types include Simple (SMA), Exponential (EMA), and Weighted (WMA).

See Also: EMA, SMA

Moving Average Crossover​

When a shorter-period moving average crosses above or below a longer-period moving average. Often used as trend signals.

Golden Cross: Short-term MA crosses above long-term MA (bullish) Death Cross: Short-term MA crosses below long-term MA (bearish)

O​

Open Interest​

The total number of outstanding derivative contracts (futures or options) that have not been settled. Measures market participation.

See Also: COT Analysis

P​

Pre-Market Trading​

Trading that occurs before the regular market session (4:00 AM - 9:30 AM Eastern for US equities).

See Also: Real-Time Scanner

R​

Rate of Change (ROC)​

Percentage price change over a specified period.

Calculation: ROC = (Price_today - Price_N_ago) / Price_N_ago × 100

See Also: Sector Rotation

Realized Volatility (RV)​

Actual historical price volatility calculated from past price movements, typically using standard deviation of log returns annualized.

Calculation: RV = StdDev(Log Returns) × √252

See Also: Volatility Risk Premium, Volatility Intelligence

Relative Strength (RS)​

A measure of how an asset performs relative to a benchmark (typically SPY or S&P 500).

Calculation: RS = Asset Price / Benchmark Price

Interpretation: Rising RS indicates outperformance; falling RS indicates underperformance.

See Also: Sector Rotation

Relative Volume (RVOL)​

Current volume compared to average volume over a historical period.

Calculation: RVOL = Current Volume / Average Volume

Interpretation:

  • RVOL > 2x: Elevated interest
  • RVOL > 5x: Significant institutional activity
  • RVOL > 10x: Major event

See Also: Real-Time Scanner, Episodic Pivots

RSI (Relative Strength Index)​

A momentum oscillator measuring speed and magnitude of price changes, bounded between 0 and 100.

Interpretation:

  • Above 70: Overbought conditions
  • Below 30: Oversold conditions

See Also: Technical Indicators

S​

Sharpe Ratio​

Risk-adjusted return measure comparing excess return to volatility.

Calculation: Sharpe = (Return - Risk-Free Rate) / Volatility

Interpretation:

  • Above 1.0: Good risk-adjusted returns
  • Above 2.0: Excellent risk-adjusted returns

See Also: Portfolio Risk

Short Ratio​

Short volume as a percentage of total volume.

Calculation: Short Ratio = Short Volume / Total Volume × 100

See Also: Dark Pool Analytics

Short Volume​

The number of shares sold short in a given period. Reported by FINRA for off-exchange venues.

See Also: Dark Pool Analytics

SMA (Simple Moving Average)​

A moving average calculated as the arithmetic mean of prices over a specified period.

Calculation: SMA = Sum of last N prices / N

Common Periods: 20, 50, 100, 200

See Also: Technical Indicators, Webster Power Trend

Speculator Positioning​

In COT data, positions held by non-commercial traders (hedge funds, CTAs, speculators) who trade for profit rather than hedging.

See Also: COT Analysis

T​

Term Structure​

The relationship between futures prices across different expiration dates. Applied to VIX futures to assess volatility expectations.

See Also: Contango, Backwardation, Volatility Intelligence

U​

Unemployment Rate​

The percentage of the labor force that is unemployed and actively seeking work.

See Also: Macro Dashboard

V​

Value at Risk (VaR)​

The maximum expected loss over a specified time horizon at a given confidence level.

Example: 95% 1-day VaR of $5,000 means 95% confident that one-day loss won't exceed $5,000.

See Also: Portfolio Risk

VIX​

The CBOE Volatility Index, measuring expected 30-day S&P 500 volatility derived from option prices. Often called the "fear gauge."

Interpretation:

  • 10-15: Low volatility
  • 15-20: Normal volatility
  • 20-30: Elevated volatility
  • 30+: High volatility/market stress

See Also: Volatility Intelligence

VIX3M​

The CBOE 3-Month Volatility Index, measuring expected 3-month S&P 500 volatility.

Usage: VIX3M/VIX ratio indicates term structure (>1 = contango, <1 = backwardation).

See Also: Volatility Intelligence

Volatility Risk Premium (VRP)​

The difference between implied volatility (VIX) and realized volatility. Represents the premium option sellers receive for bearing volatility risk.

Calculation: VRP = VIX - Realized Volatility

Interpretation:

  • Positive VRP (typical): Implied > Realized
  • Negative VRP (rare): Realized > Implied

See Also: Volatility Intelligence

VVIX​

The CBOE VIX of VIX, measuring expected volatility of the VIX Index itself.

Interpretation:

  • 80-100: Normal range
  • Above 120: High uncertainty about future VIX
  • Above 150: Extreme readings

See Also: Volatility Intelligence

VWAP (Volume-Weighted Average Price)​

The average price weighted by volume traded at each price level.

Calculation: VWAP = Σ(Price × Volume) / Σ(Volume)

Usage: Benchmark for institutional execution; support/resistance level.

See Also: Real-Time Scanner

Y​

Yield Curve​

The relationship between Treasury yields across different maturities. Typically plots yield on Y-axis against maturity on X-axis.

Shapes:

  • Normal: Upward sloping (longer maturities = higher yields)
  • Flat: Similar yields across maturities
  • Inverted: Downward sloping (shorter maturities = higher yields)

See Also: Macro Dashboard

Z​

Z-Score​

A statistical measure indicating how many standard deviations an observation is from the mean.

Calculation: Z = (Value - Mean) / Standard Deviation

Interpretation:

  • Z > +2: Significantly above average
  • Z < -2: Significantly below average
  • Z between ±1: Normal range

See Also: COT Analysis