A  B  C  D  E  F  G  H  I  J  K  L  M  N  O  P  Q  R  S  T  U  V  W  X  Y  Z

A

Annual Perspective – These charts review the performance of the markets based on annual data. It provides perspective on whether the big moves, volatility, and reversals for a given market make it appropriate to trade. Also, see the Year-to-date perspective. [more]

Annual Rank – These charts rank year-to-date performance for the current year against the same time span for each of the previous 30 years.  The ranking determines just how strong or weak the current year’s performance is to previous years on a relative basis.  [more]

AWAL – This performance ratio compares how much you won to the amount you lost. The ratio Average Win / Average Loss (know as AWAL) is calculated by taking the Average Winning Trade divided by Average Losing Trade.  Image

B

 

C

Calendar Events – Lists performance numbers for global futures markets leading up to key holidays, events, and observances. [more]

CME – Chicago Mercantile Exchange

Contract Codes – January (F), February (G), March (H), April (J), May (K), June (M), July (N), August (Q), September (U), October (V), November (X), and December (Z). [more]

Contract Normalization – Calculations that find the number of contacts that need to be traded in any of our markets. Each market is normalized based on volatility and notional contract value of a single S&P 500 contract. Simply put if you trade the S&P 500 you now know an equivalent number of contracts to be traded in other futures markets. [more]

Correlation Comparison –  These charts review the correlations between current year performance and previous YTD performance over the past 30 years. The correlations will point out previous years that are similar to the current year.  These charts are updated each day to reflect new YTD data. [more]

Correlation Volatility – Reviews a single market against other futures markets spread across a diverse basket of sectors.  Markets that offer stable (low volatility) near-zero correlations against the vast majority of other markets will have a low volatility number.  While markets with correlations that are highly volatile and well away from near-zero levels on average will have a high volatility number. [more]

Current Drawdown – Open loss since last underwater equity high.  Also, see Maximum Drawdown [more]

Currency Sector –  Australian Dollar (AD), British Pound (BP), Canadian Dollar (CD), Euro Currency (EC), Dollar Index (DX), and  Japanese Yen (JY)

D

Depth Gauge – This slow-moving indicator focuses on one thing — the trend. It answers the question of whether the trend is moving higher or lower. The driving force behind this weekly indicator is not to generate buy/sell recommendations. Its true intent is to provide a historical perspective of bull/bear phases. [more]

Directional Comparison – Markets move up and markets move down … the key is to know how markets react to one another.  The monthly directional study looks at the S&P 500 Index and various markets, as it breaks down the markets across six positive/negative directional categories. [more]

Distribution Analysis – Our distribution analysis provides a two-part perspective on monthly/weekly returns. The first part reviews the characteristics of the market as it describes the distribution of returns using the skewness and kurtosis measures. This section is used to evaluate the personality of the market to help match it with the characteristics of an appropriate trading system. The second part quantifies various extreme levels of returns to determine current risk levels associated with the market. Historical measures, such as average monthly returns, standard deviation, and conditional value at risk (CVaR), provide perspective. [more]

Diversification Strength – This correlation analysis between markets is based, not on price action, but on risk. Our definition of risk begins with the Underwater Volume Index (UVI), which continually measures risk based on a market’s magnitude and duration of drawdown. We construct a rolling correlation between each market’s UVI, looking for periods of high or low correlation phases. Markets with high correlation levels typically experience drawdown periods in a similar manner. Not much diversification can be had between markets if their drawdowns are closely tracking one another. Markets with a low rolling UVI correlation phase might expect drawdown periods to move independently from one another. This non-correlated phase, when related to diversification, is the key to a well-balanced portfolio. [more]

Dollar Risk – measures a market’s potential upside and downside movements in terms of dollars. [more]

Drawdown Comparison – Provides a comparison between current drawdown percent retracement across markets within the same sector. [more]

E

Earthquake (EQ) Alert – This environmental alert will activate when a market is in extreme overbought or oversold territory.  It is so named because when the alert triggers the market is experiencing a major event that will change the environment going forward.  After the earthquake alert triggers a short-term period of consolidation typically follows as the market tries to evaluate the environment.  The brief pause presents an opportunity for a breakout into a trend extension OR a major reversal.  An Earthquake High alert suggests a trend extension to the upside or reversal down.  An Earthquake Low alert suggests a trend extension to the downside or reversal up.  The systems will provide clarity after the alert triggers.

EGO –  Trade without EGO … no Emotion, no Greed, and no Opinion. The motto that should be embraced by all traders.

Elastic Level –  This indicator is designed to pinpoint over-bought (OB) and oversold (OS) territory. Like a rubber band, a market can reverse at varying degrees. The Elastic indicator, therefore, has three different definitions for short-term OB and OS levels: Modest, Strong, and Extreme. [more]

Energy Level – The more energy built up during a consolidation phase the more energy the market has to push itself into the next short-term bull or bear trend. An energy level reading less than -45, suggest that a market is in some form of a consolidation phase and should be closely monitored for an explosive move. On the flip side … a market that has recently rallied or fallen is in an expansion phase. An energy level reading greater than +45, suggests that a market is in some form of an expansion phase and should be closely watched for reversals. [more]

Energy Sector – Markets include Crude Oil (CL), RBOB Gasoline (RB), Heating Oil (HO), London Gas Oil (LGO), and Natural Gas (NG)

Environmental Alert –  These types of alerts provide perspective surrounding the market.  They look for long-drawn-out periods of consolidation, possible trend extensions, or flirting with major support/resistance.  When an environment alert triggers it’s suggested that you take a closer look at the market … opportunity is knocking.

Equity Sector – Eurex DAX (FDX), Hang Seng (HSI),  Paris CAC-40 (FCH),  NASDAQ (NQ), S&P 500 Index (ES), and Dow Jones (YM)

F

Forcast – The Market forecast chart examines the same 45-day timeframe across time, scanning the last 30 years to identify any periods with strong correlations with current conditions.  It then extrapolates the historic performance of the index thirty days forward providing a forecast for potential price moves for the market. [more]

Futures Market Madness – An NCAA March Madness-style bracket that pits futures markets against each other to see who will be named champion for the month.  Forty futures markets, across eight diversified sectors, are available for the tournament, but only 16 will make the cut. The top eight performers and the bottom eight performers from the previous month will make the big dance. [more]

G

Grain Sector –  Corn (C),  Soybeans (S), Soybean Meal (SM), Bean Oil (BO), KC Wheat (KW), and Wheat (W).

Guarantee – This word does not apply to anything in the realm of trading.

H

Hedged – When a market portfolio has systems that are both long and short simultaneously. As we have a wide variety of systems that trade different trading styles and time horizons, it is not uncommon to have systems hedge themselves.  At times they might have a perfect hedge with offsetting systems fully protecting the portfolio.  More frequently the portfolio might have a directional hedge.  As an example, we could have three systems long and one short.  Typically we see hedging within a portfolio at market turning points.

Holy Grail of Trading Systems – It does NOT exist … move on.

I

Interest Rate Sector – Five Year Notes (FV),  Ten Year Notes (TY)

J

K

Kurtosis – It measures the peakedness of a distribution. In other words, it measures if outcomes produce a “tall and skinny with thin tails” or “short and squat with fat tails” curve. In trader talk … a high kurtosis suggests that more standard deviation risk is coming from the extremes (fat tail). [more]

L

LME – London Metal Exchange

Luck – A trade that turns profitable despite a trader’s total lack of preparation.  If you purposely looked up the definition of “Luck” … then your homework is to read and fully understand this glossary.  Knowledge, not luck gets the job done.

M

MAR – A ratio that compares Reward, defined as Compounded Annual Growth Rate (CAGR) to Risk, defined as Maximum Drawdown. [more]

Market Commentary – Every trading day we post 20 – 30 comments on the markets.  On the weekends, when we do our homework, we post additional comments as we prepare for the week ahead.  Market comments can be found in two Twitter feeds @David_Stendahl and @SignalTG. [more]

Market Grades – A process that evaluates how receptive a market is too systematic trading.  Markets are graded based on its performance over various trading styles (trend, momentum, and pattern) and time frames (30/45/60/90/120/daily/weekly bars). Markets have been judged on profitability, performance consistency, and various risk metrics, resulting in a trading grade of A, B, C, D, or F.  [more]

Market Perspective – A summary chart that shows the year-to-date performance ranking for 30+ global futures markets spanning 30 years. [more]

Maximum Drawdown –  Largest peak-to-valley loss.  Also, see the Current Drawdown. [more]

Meat Sector – Lean Hogs (LH), and Live Cattle (LC)

Metal Sector – Gold (GC), Silver (SI), Copper (HG), LME Aluminum (MHA), LME Copper (MCU), LME Lead (MPB), and  LME Zinc (MZS)

N

O

Outlook – The market outlook chart focuses only on those years that have a high correlation against the current year.  This selective, high correlation data is then normalized, weighted, and combined together to form an index for the underlying market.  The index then provides a market outlook pointing out major trends and key turning points, for the remainder of the year. [more]

P

Percent Profitable – This metric calculates the percentage of completed trades that were profitable, during the specified period.  Percent Profitable = Winning Trades divided by Total Number of Trades.

Periodic Market Table – lists popular global futures markets to guide traders to alternative markets worth considering when building a diversified trading portfolio. [more]

Philosophy – Long-term trading success begins with a well-designed trading plan. Signal Trading Group offers its clients a disciplined approach to trading in the global markets. Our trading plan provides an analytical, non-emotional approach to trading, strictly following systems designed to reduce risk while maximizing profit. Our disciplined approach does not attempt to predict market direction; we simply analyze current conditions and react as necessary to the markets.

Profit Factor – This metric is defined as the gross profit divided by the gross loss for a trading period.  A value greater than 1 means the system has a positive expectation.

Q

 

R

Return Calendar –  Daily returns based on calendar days provide a shorter-term perspective on seasonal strength or weakness. Return Calendars span different time periods across 30+ years of data.   These 1/2/4/6-day return calendars allow for a close inspection of market returns, each fixed on a specific day or date range. [more]

RINA index – This performance metric combines profitability, time in the market, and drawdown into a single reward/risk ratio, that can be used to compare strategies.  The larger the number the more efficient the system.

Risk/Reward Bubble Charts – These Risk Reward profiles compare markets against the S&P 500 Index.   Risk (bubble size) is defined as monthly return deviation or volatility … the larger the bubble the greater the risk.  Reward (vertical axis) is defined as Compounded Annual Growth Rate or CAGR … the higher the return the greater the reward.  Correlation (horizontal axis) is defined as the correlation for each market against the S&P 500 index over various time periods. [more]

Rolling Correlation – The relationship between markets continually changes, at times they can be strong while at other times very weak. For this reason, we need to continually adjust our interpretation by watching correlations over time.  We view correlations using 24-month and 24-week rolling correlations to provide a clear perspective on where market relationships have been and where they are now. [more]

S

Seasonal Accuracy – These seasonal charts provide a quick comparison between current year data and the market’s historical 5/10/15/20-year seasonal study. Vertical gray area (if shown) indicates when and for how long the current year data correlates with the seasonal study. The bottom line, if a market is in a seasonally accurate phase it’s worth a closer look.  [more]

Seasonal Depth – Seasonal tendencies change over time for every market.  The question is do they change dramatically or subtly?  The seasonal depth analysis looks to answer this question by comparing the correlations of various seasonal time frames.  Markets with low correlations between time frames can change dramatically and offer little stability, while markets with high correlations change subtly and offer greater consistency over time. [more]

Seasonal Opportunity – These charts clearly outline the months that offer the greatest trading conditions for a market. This analysis does not focus on the biggest movers, instead, it looks for consistent seasonal opportunities over time. [more]

Seasonal Projection – These charts combine four historic seasonally accurate averages to form a single seasonal line. This seasonal weighted line is then used to form a 21 calendar day projection.  Remember the trend is your friend … but a seasonal trend is your best friend. [more]

Seasonal Top Ten – This study reviews top markets that are accurately tracking any of four separate seasonal time frames. Specifically, the market’s current annual performance is compared against the market’s 5/10/15/20 seasonal charts. Markets that are closely tracking 3 or more seasonal time frames are displayed. [more]

Skew – The skewness measure indicates the level of non-symmetry. If the distribution of the data is symmetric, then skewness will be close to zero. The further from zero, the more skewed the data. A negative value indicates returns are skewed to the left, while a positive value indicates returns are skewed to the right. In trader talk … a high skew suggests that a return surprise is more likely to occur on the upside rather than from the downside. [more]

Soft Sector – Coffee (KC), Cocoa (CC), Cotton (CT), Lumber (LB), Sugar (SB)

Stendahl – The other famous author.

Systematic Advantage – A series of 30-second videos that detail the full benefits of systematic trading. [more]

T

Market Tendencies – Review the percent of time spent in different phases of the market based on various indicators. These indicators include Elastic Level for overbought and oversold territory, Trend Level for positive/negative momentum surge, Depth Guage for strong bullish bearish trends, and Energy Level for expansion and contraction phases. [more]

Trading System – An algorithm that specifically provides a clear entry AND exit to a trade.  Anything less is purely discretionary.

Trend Level – To evaluate the strength of a market’s trend we use the Trend Level indicator to quantify the true power behind the trend. In general, Trend Level values greater than +5 indicate the presence of a noteworthy up move, and Trend Level values less than -5 indicate the presence of a noteworthy down move.  Any number beyond +/- 5 is simple a stronger trend. [more]

U

Underwater Volume Index (UVI) – Accumulation of all drawdown periods.  Basically, it’s a risk metric that measures both the magnitude and duration of drawdown risk [more]

V

VADI – Value Added Daily Index is defined as the growth in value of an average $1000 investment. VADI is calculated by multiplying (1 + current monthly ROR) X (previous monthly VADI). VADI assumes the reinvestment of all profits. The same calculation can be used for both weekly and monthly data. Based on the data the name will change to VAWI (Value Added Weely Index) or VAMI (Value Added Monthly Index).

Volatility Analysis – Markets continually cycle through high and low volatility phases as they transition between sideways and trending stages. Volatility is a part of everyday trading, but when it’s excessive or extremely quiet, traders may need to adjust their trading style. Knowing which phase a market is in can help both in selecting specialty trading systems as well as influence the aggressiveness of position sizing algorithms. [more]

W

 

Y

Year-to-date Perspective – Gain a broader perspective on how the markets have performed over time. These charts provide insight into how the markets are currently performing measured against 30 years of year-to-date data.  [more]

Z