Glossary
An alphabetical reference of trading concepts, technical terms, and Stratifyre-specific vocabulary. For a shorter, more narrative introduction to the most important ideas, see Key Concepts.
Action
Section titled “Action”The instruction a rule executes when its condition is true. Common actions include placing a buy or sell order, closing a position, or cancelling pending orders.
ADX (Average Directional Index)
Section titled “ADX (Average Directional Index)”A technical indicator that measures the strength of a trend regardless of direction. ADX values above 25 typically indicate a strong trend; values below 20 suggest a range-bound market.
The return of a strategy above or below a benchmark. Positive alpha means the strategy outperformed; negative alpha means it underperformed. Alpha is the “edge” that makes a strategy worth trading.
Annualized Return
Section titled “Annualized Return”The average yearly return of a strategy, calculated as if the strategy’s total return were spread evenly across each year of the backtest period. Useful for comparing strategies tested over different durations.
The lowest price at which a seller is willing to sell an instrument. Also called the “offer.”
Asset Class
Section titled “Asset Class”A category of financial instruments that share similar characteristics. Stratifyre supports 10 asset classes: equities, crypto, futures, options, forex, ETFs, indices, ETNs, commodities, and mutual funds.
ATR (Average True Range)
Section titled “ATR (Average True Range)”A volatility indicator that measures the average range between the high and low prices over a given number of bars, accounting for gaps. Higher ATR means higher volatility.
Backtest
Section titled “Backtest”A simulation that applies a trading strategy to historical market data to evaluate how it would have performed. Backtests in Stratifyre model slippage, volume constraints, partial fills, commissions, and corporate actions for realistic results.
A single unit of price data representing a specific time period. Each bar contains four prices (open, high, low, close) and a volume figure. Also called a “candle” in candlestick charting.
Basket
Section titled “Basket”A group of instruments bundled together in Stratifyre. Baskets let you apply a strategy or scanner to many instruments at once without configuring each one individually.
A measure of how much an instrument or strategy moves relative to a benchmark (usually the overall market). A beta of 1.0 means it moves in line with the benchmark; above 1.0 means more volatile; below 1.0 means less volatile.
The highest price a buyer is willing to pay for an instrument.
Bollinger Bands
Section titled “Bollinger Bands”A volatility indicator consisting of a moving average (middle band) with an upper and lower band set a specified number of standard deviations away. Prices near the upper band suggest overbought conditions; prices near the lower band suggest oversold conditions.
CAGR (Compound Annual Growth Rate)
Section titled “CAGR (Compound Annual Growth Rate)”The smoothed annual rate of return that gets you from the starting portfolio value to the ending value over the backtest period. Unlike simple annualized return, CAGR accounts for compounding.
Calmar Ratio
Section titled “Calmar Ratio”A risk-adjusted return metric calculated as annualized return divided by maximum drawdown. Higher is better — it measures how much return you earned per unit of worst-case pain.
Candle
Section titled “Candle”See Bar.
CCI (Commodity Channel Index)
Section titled “CCI (Commodity Channel Index)”A momentum oscillator that measures how far the current price deviates from its historical average. Readings above +100 suggest overbought conditions; below -100 suggest oversold.
The last traded price of an instrument at the end of a bar period.
CMF (Chailin Money Flow)
Section titled “CMF (Chailin Money Flow)”A volume-weighted indicator that measures buying and selling pressure over a given period. Positive values suggest accumulation (buying); negative values suggest distribution (selling).
Commission
Section titled “Commission”A fee charged by a broker for executing a trade. Stratifyre models commissions in backtests so results account for real-world trading costs.
Condition
Section titled “Condition”The “if” part of a rule — a logical test that evaluates to true or false. A condition compares two expressions using an operator such as “crosses above,” “is greater than,” or “equals.”
Corporate Action
Section titled “Corporate Action”An event initiated by a company that affects its stock — such as a stock split, dividend, or merger. Stratifyre adjusts historical data for corporate actions so your backtests are not distorted by them.
Crossover
Section titled “Crossover”When one value crosses above or below another. For example, a “golden cross” occurs when the 50-day moving average crosses above the 200-day moving average.
Crypto
Section titled “Crypto”Short for cryptocurrency. Digital assets traded on exchanges like Binance. Stratifyre supports crypto data via Binance feeds.
Databento
Section titled “Databento”An institutional market data provider. Stratifyre sources historical and real-time data for traditional asset classes (equities, futures, forex, options, and more) from Databento.
Drawdown
Section titled “Drawdown”The decline in portfolio value from a peak to a subsequent trough. Maximum drawdown is the largest such decline during a backtest — it measures the worst loss you would have experienced. Lower is better.
EMA (Exponential Moving Average)
Section titled “EMA (Exponential Moving Average)”A type of moving average that gives more weight to recent prices, making it more responsive to new information than a simple moving average (SMA).
The act of opening a new position. An entry rule defines the conditions under which a strategy buys or sells to establish a position.
Equity
Section titled “Equity”In the context of asset classes, equity refers to stocks (ownership shares in a company). In the context of a backtest, equity refers to the total value of the portfolio at a given point in time.
Equity Curve
Section titled “Equity Curve”A chart plotting the total portfolio value over time during a backtest. It is the primary visual for assessing strategy performance at a glance.
The act of closing an existing position. An exit rule defines the conditions under which a strategy sells a long position or covers a short position.
Expression
Section titled “Expression”A formula that produces a numeric value. Expressions are the building blocks of conditions in Stratifyre and can reference indicators, price data, account information, or custom calculations.
Extended Trading Hours
Section titled “Extended Trading Hours”Trading that occurs outside of regular market hours — typically before the market opens (pre-market) and after it closes (after-hours).
The execution of an order — when a buy or sell order is matched with a counterparty and the trade completes. In backtesting, the fill model determines when and at what price orders are considered executed.
Fill Mode
Section titled “Fill Mode”A backtest setting that controls how orders are simulated. Options include Pessimistic (fill at the worst price in the bar), Optimistic (fill at the best price in the bar), Close (fill at the bar’s closing price), and Average (fill at the average of high and low). Each mode represents a different level of execution realism.
Futures
Section titled “Futures”Standardized contracts to buy or sell an asset at a predetermined price on a specific future date. Traded on exchanges like the CME.
A price discontinuity where the open of a bar is significantly different from the close of the previous bar. Gaps often occur overnight or over weekends.
The highest price traded during a bar period.
Indicator
Section titled “Indicator”A mathematical calculation applied to price, volume, or other market data to reveal trends, momentum, volatility, structure, or other characteristics.
Fibonacci Extension
Section titled “Fibonacci Extension”A projected price level beyond the anchor swing, commonly derived from ratios such as 127.2%, 161.8%, 200%, or 261.8%. In Stratifyre, FIB_LEVELS exposes extension fields like extension1618 for use in rules and scanner criteria.
Fibonacci Pattern
Section titled “Fibonacci Pattern”A multi-leg price structure whose swing relationships line up with Fibonacci ratios. In Stratifyre, FIB_PATTERN exposes rule-usable fields such as matched, confidence, completionPrice, stopPrice, target1, and target2.
Fibonacci Retracement
Section titled “Fibonacci Retracement”A pullback level measured against an anchor swing, commonly using ratios such as 23.6%, 38.2%, 50%, 61.8%, and 78.6%. In Stratifyre, FIB_LEVELS exposes retracement fields like retracement618.
Instrument
Section titled “Instrument”A tradable financial asset identified in Stratifyre by the format {AssetClass}:{Source}:{Symbol} — for example, EQ:NYSE:AAPL or CRYPTO:BINANCE:BTCUSDT.
Limit Order
Section titled “Limit Order”An order to buy or sell at a specified price or better. A buy limit order executes at the limit price or lower; a sell limit order executes at the limit price or higher.
Liquidity
Section titled “Liquidity”How easily an instrument can be bought or sold without significantly affecting its price. High-volume instruments like AAPL are highly liquid; thinly traded penny stocks are not.
The lowest price traded during a bar period.
MACD (Moving Average Convergence Divergence)
Section titled “MACD (Moving Average Convergence Divergence)”A trend-following momentum indicator that shows the relationship between two moving averages (typically the 12- and 26-period EMAs). It includes a MACD line, a signal line, and a histogram.
Market Order
Section titled “Market Order”An order to buy or sell immediately at the best available current price. Market orders guarantee execution but not price.
Maximum Drawdown
Section titled “Maximum Drawdown”The largest peak-to-trough decline in portfolio value during a backtest. It represents the worst-case loss scenario and is one of the most important risk metrics.
Mean Reversion
Section titled “Mean Reversion”A trading approach based on the idea that prices tend to return to their historical average over time. Mean reversion strategies buy when prices are unusually low and sell when they are unusually high.
Monte Carlo Simulation
Section titled “Monte Carlo Simulation”A technique that runs thousands of randomized variations of your trade sequence to estimate the range of possible outcomes and the probability of different levels of drawdown, return, or other metrics. Available on the Wrinkled and Galaxy Brain plans.
Moving Average
Section titled “Moving Average”A smoothed average of price data over a specified number of bars. Common types include Simple Moving Average (SMA), Exponential Moving Average (EMA), and Weighted Moving Average (WMA).
OBV (On-Balance Volume)
Section titled “OBV (On-Balance Volume)”A volume indicator that adds volume on up days and subtracts it on down days to create a running total. Rising OBV suggests accumulation; falling OBV suggests distribution.
An acronym for Open, High, Low, Close, and Volume — the five standard data points in a price bar.
The first traded price of an instrument at the start of a bar period.
Operator
Section titled “Operator”A comparison function used in conditions. Stratifyre provides 15 operators including crosses above, crosses below, is greater than, is less than, equals, is between, and more.
An instruction to buy or sell an instrument. Order types in Stratifyre include market, limit, stop, and OCO (one-cancels-other).
Partial Fill
Section titled “Partial Fill”When only a portion of an order is executed because there is not enough volume available at the desired price. Stratifyre’s backtesting engine simulates partial fills for more realistic results.
Position
Section titled “Position”An active trade — the quantity of an instrument you currently hold (long or short) as a result of executed orders.
Profit Factor
Section titled “Profit Factor”Gross profits divided by gross losses. A profit factor above 1.0 means the strategy is profitable overall. Above 2.0 is generally considered strong.
Resolution
Section titled “Resolution”See Timeframe.
Risk-Adjusted Return
Section titled “Risk-Adjusted Return”A measure of return that accounts for the amount of risk taken to achieve it. Common risk-adjusted metrics include the Sharpe ratio, Sortino ratio, and Calmar ratio.
ROC (Rate of Change)
Section titled “ROC (Rate of Change)”A momentum indicator that measures the percentage change in price over a specified number of bars.
RSI (Relative Strength Index)
Section titled “RSI (Relative Strength Index)”A momentum oscillator ranging from 0 to 100 that measures the speed and magnitude of recent price changes. Readings above 70 are often considered overbought; below 30 is considered oversold.
A single instruction in a strategy consisting of a condition (when to act) and an action (what to do). Strategies are composed of one or more rules.
Scanner
Section titled “Scanner”A Stratifyre feature that monitors a set of instruments in real time and alerts you when your specified conditions are met. Scanners are observational — they identify opportunities but do not place trades.
Sharpe Ratio
Section titled “Sharpe Ratio”A measure of risk-adjusted return calculated as the average return divided by the standard deviation of returns. A Sharpe ratio above 1.0 is generally considered good; above 2.0 is very good.
Slippage
Section titled “Slippage”The difference between the expected price of a trade and the actual execution price. Slippage typically increases in fast-moving or illiquid markets. Stratifyre models slippage in backtests for realistic results.
SMA (Simple Moving Average)
Section titled “SMA (Simple Moving Average)”The arithmetic mean of prices over a specified number of bars. The 20-day SMA, for example, is the average closing price of the last 20 days.
Sortino Ratio
Section titled “Sortino Ratio”Similar to the Sharpe ratio but only penalizes downside volatility (losses), not upside volatility (gains). This makes it a more targeted measure of risk-adjusted performance.
Spread
Section titled “Spread”The difference between the bid price and the ask price of an instrument. Tighter spreads indicate higher liquidity.
Stochastic Oscillator
Section titled “Stochastic Oscillator”A momentum indicator that compares a closing price to a range of prices over a given period. Readings above 80 suggest overbought conditions; below 20 suggests oversold.
Stop Order
Section titled “Stop Order”An order that becomes a market order when a specified price is reached. Stop orders are commonly used for stop-losses (to limit downside) and stop-entries (to enter on breakouts).
Strategy
Section titled “Strategy”A complete set of rules in Stratifyre that defines when to enter and exit trades, how much to invest, and how to manage risk.
Strategy Replay
Section titled “Strategy Replay”A Stratifyre feature that lets you step through a backtest bar by bar, seeing the chart, indicator values, rule evaluations, and trade executions in sequence. It functions as a visual time-travel debugger for understanding exactly why your strategy made each decision.
Survivorship Bias
Section titled “Survivorship Bias”A form of data bias that occurs when backtests only include instruments that still exist today, ignoring those that were delisted or went bankrupt. This can make historical results look better than they actually would have been.
Tax Analysis
Section titled “Tax Analysis”A Stratifyre feature (available on the Wrinkled and Galaxy Brain plans) that estimates the tax impact of a strategy’s trades, including short-term versus long-term capital gains classification.
The smallest possible price movement for an instrument, or a single trade event. Tick-level data is the most granular resolution available in Stratifyre.
Timeframe
Section titled “Timeframe”The duration each bar represents — from tick-level to yearly. Also called “resolution.” Stratifyre supports 11+ timeframes including tick, second, minute, hourly, daily, weekly, monthly, and yearly.
Trailing Stop
Section titled “Trailing Stop”A stop order that moves with the price — it follows the position upward (for a long trade) and triggers a sell if the price drops by a specified amount from the highest point reached.
Trend Following
Section titled “Trend Following”A trading approach that identifies the prevailing market direction and trades in alignment with it, using indicators like moving averages, MACD, and ADX.
Volume
Section titled “Volume”The total number of shares, contracts, or units traded during a bar period. Volume is a key measure of market activity and liquidity.
VWAP (Volume-Weighted Average Price)
Section titled “VWAP (Volume-Weighted Average Price)”The average price of an instrument weighted by the volume traded at each price level. VWAP is commonly used as a benchmark for intraday trading.
Walk-Forward Analysis
Section titled “Walk-Forward Analysis”A validation technique where a strategy is optimized on one period of data (in-sample) and then tested on the subsequent period (out-of-sample), repeating across rolling windows. It helps detect overfitting.
Webhook
Section titled “Webhook”An HTTP callback — a URL that receives an automated POST request when an event occurs. In Stratifyre, webhooks can deliver scanner alerts to external services or custom integrations.
Williams %R
Section titled “Williams %R”A momentum oscillator similar to the Stochastic that ranges from -100 to 0. Readings above -20 suggest overbought conditions; below -80 suggests oversold.
Win Rate
Section titled “Win Rate”The percentage of trades that are profitable. A win rate of 60% means 6 out of every 10 trades made money. Win rate alone does not determine profitability — it must be considered alongside the average win size and average loss size.