Glossary

Terms are defined the way this course uses them, which is sometimes narrower than common usage and occasionally at odds with it. Where a word is genuinely ambiguous in the wider literature, the entry says so.

The glossary covers three kinds of vocabulary. The terms the course itself teaches, which link to their lesson. The language of the markets a reader will meet — stocks, options, futures and forex, order types and market structure — defined for someone who reads charts of those markets in AmiBroker. And the working vocabulary of professional traders, some of which is precise and some of which is slang; the entry says which, and where a word is more often used to sell something than to describe it, the entry says that too.

Important

A handful of distinctions carry most of the confusion in this subject, and each one has its own entry:

State versus event — true over a span of bars, or true on one bar. Almost every confusing scanner or backtest result comes from using one where the other belongs.
Timeframe versus interval — the conceptual horizon versus the concrete bar size.
Scan versus exploration — reporting where signals are true versus producing an arbitrary table.
Setup versus trigger — what makes something a candidate versus what turns a candidate into an entry.
RSI versus relative strength — a bounded momentum oscillator versus a cross-sectional comparison. Confusingly similar names, entirely different things.
Data snooping, curve fitting and overfitting — the process, the model, and the outcome.
Risk–reward ratio versus AmiBroker’s Risk-Reward Ratio report metric — a trade’s target distance over its stop distance versus a regression statistic about the whole equity curve. The report’s Standard Error and the statistician’s standard error are the same kind of collision.
Momentum the indicator versus the momentum strategy — a reading on one chart versus a ranking across a universe.
Implied volatility versus realised volatility — a price the options market charges versus a measurement of what the underlying did.
Contango versus backwardation — later futures months above or below nearer ones, which decides the sign of the roll yield.
Accumulation/distribution versus the advance/decline line — a volume indicator on one instrument versus a breadth measure across many, sharing an abbreviation.

Entries the course teaches link to the lesson. “See also” links and the links inside definitions resolve within this page, and the test suite fails if any of them points at a term that is not here. Use the filter below to narrow the list by category or by any word in a term or its definition.

597 terms in 17 categories.344 of them are taught in this course and link to the lesson; the rest are here because a reader of trading material will meet them, and a definition that is honest about what a word does and does not mean is worth having to hand.

Build warning: these references point at terms that are not in the glossary: Tape reading → [[time & sales]].

Symbols

_SECTION_BEGINalso: _SECTION_END, sectionsAFL

Markers that divide a formula into named sections, so that parameters are grouped in the Parameters window and so that several indicators can be dropped into one pane and edited separately. Drag-and-drop charting generates them. Everything between _SECTION_BEGIN("name") and _SECTION_END() belongs to that section.

_TRACEalso: _TRACEF, DebugViewAFL

Writes a string to the debug output through the Windows OutputDebugString call, so it lands both in AmiBroker's own Log window (Window → Log) and in an external viewer such as DebugView; _TRACEF() takes a format string, and _TRACE( "!CLEAR!" ) clears the Log window between runs. It is the way to see what a formula did in the Analysis window, where there is no chart to look at, and to count how often and on which thread it ran.

#pragmaAFL

A pre-processor directive that sets options before the formula runs: #pragma nocache forces included files to be re-read on every execution, #pragma maxthreads lowers the number of Analysis threads, #pragma enable_static_decl allows static declarations. Directives, like #include, are handled before AFL sees the code.

A

Accumulation/distributionalso: A/D line (Chaikin), Chaikin oscillatorIndicators

A cumulative volume measure that weights each bar's volume by where the close fell within its range; AccDist() in AFL, with the Chaikin() oscillator built on it. A refinement of OBV that avoids the all-or-nothing daily assignment. Not to be confused with the advance/decline line, a breadth measure with a similar abbreviation.

AddColumnalso: AddTextColumn, AddMultiTextColumnAFL

Adds a column to an Exploration's result table: AddColumn() for numbers, AddTextColumn() for strings, with formatting and colour arguments. Together with Filter, which chooses the rows, it is the whole of the Exploration interface — a table whose columns are any array you can compute.

AddCustomMetricAFL

Adds a row to the backtest report and to the optimization result list from custom backtester code, with separate values for all, long-only and short-only trades. It is how a metric AmiBroker does not report — Sortino, a trade-count penalty, anything — becomes available as an optimization target.

AddToCompositeAFL

Accumulates a value from every symbol in a scan into a composite ticker: AddToComposite( array, "~name", "field", flags ). Run across a universe, it builds breadth series, sector sums and custom indexes as ordinary symbols that any chart or backtest can read. The flags control resetting and where the composite is filed.

Adjusted dataalso: back-adjusted dataMarket data

Price history restated so that corporate actions — splits, dividends, consolidations — do not appear as price moves. Unadjusted data manufactures gaps, breakouts and volume spikes on the bars where the action occurred, which is exactly what many studies are looking for. Adjustment is done by the data vendor, and different vendors do it differently.

ADRalso: American depositary receipt, depositary receiptMarket structure

A US-listed certificate representing a fixed number of a foreign company's shares held by a bank. It trades in dollars during US hours while the underlying trades in its home market and currency, so an ADR carries currency exposure and can gap on news that arrived while the US was closed.

B

Back-adjusted contractalso: back-adjusted continuous contractFutures

A continuous contract in which prices before each roll are shifted by the roll gap, so the series has no artificial jumps. The cost is that historical price levels are false — they can even go negative — so any rule that uses absolute price, percentage moves or ratios must be checked against the adjustment method. Data vendors offer several methods, and the method changes the backtest.

BackfillReal-time

Historical bars supplied by a real-time plug-in when AmiBroker first touches a symbol. How far back it reaches is the single most consequential number in a vendor comparison, and the one vendors are vaguest about.

BacktestSystems

A simulation of trading a rule set over historical data. Not a measurement: a stack of assumptions with a number printed on top. A backtest result means nothing without the universe, period, costs, fill assumption, data source and sizing model attached.

Backtest reportalso: report, Statistics pageAmiBroker

The output of a backtest: a statistics page of metrics for all, long and short trades; charts of equity, drawdown and profit distribution; the Trades page listing every trade; and optionally the formula and settings used. AddCustomMetric() adds your own rows. Reading it in order — exposure, drawdown, trade count, then return — is the subject of a lesson.

BackwardationFutures

A futures curve in which nearer months trade above later ones, typically when the physical commodity is scarce now and expected to be less so. It rewards a long position at each roll and is often read as a sign of tight supply — a reading with more support than most curve folklore.

C

Calendar spreadalso: time spread, horizontal spreadOptions

Writing a near-dated option and buying a longer-dated one at the same strike, to harvest the faster decay of the near option. Its value depends on the term structure of implied volatility as much as on the underlying. In futures the same name means a position in two contract months of the same commodity.

Call optionalso: callOptions

The right to buy the underlying at the strike. A call gains value when the underlying rises, when implied volatility rises, and loses value as time passes. Buying a call caps the loss at the premium; writing one uncovered exposes the writer to an unbounded loss if the underlying rallies.

Candlestickalso: candle, Japanese candlestickChart reading

A bar drawn as a body from open to close, filled or coloured by direction, with thin wicks to the high and low. It shows the same four numbers as an OHLC bar with the open–close relationship made visible. The named patterns — doji, hammer, engulfing — are descriptions of one to three candles' shapes, each with a claimed meaning that can be tested.

Capitulationalso: washoutTrader jargon

A final wave of panic selling, on extreme volume and breadth, that exhausts the sellers and marks a low. The measurable signature — record down-volume, a breadth extreme, a volatility spike — is a real pattern in historical lows. It is also present in the middle of some declines, which is the problem.

CARalso: compound annual return, CAGR, annual return %Systems

The constant yearly rate that would have grown the starting equity to the ending equity over the test period, compounding. AmiBroker reports it as Annual Return %. It ignores the path taken, so it is always read with drawdown, and it can be inflated by a short test that happened to end at a peak.

CAR/MaxDDSystems

Compound annual return divided by maximum system drawdown. A single figure combining growth and pain, and like every single figure it discards information — two systems with the same ratio can have very different drawdown shapes.

Carry tradeForex

Borrowing in a low-interest currency to hold a high-interest one, earning the differential as long as the exchange rate does not move against you. It earns steadily in calm markets and loses violently when risk appetite reverses and the crowded position unwinds. The classic example of a return that is really a premium for bearing a tail risk.

Cash settlementalso: physical deliveryFutures

Closing an expiring contract by paying the difference between the contract price and the final settlement price, rather than delivering the underlying. Index futures, short-term interest-rate futures and index options settle in cash; many commodity futures, the deliverable bond futures and most single-stock options — all US-listed ones among them — settle by physical delivery. The distinction decides what happens if you are still holding at expiry.

Cash-secured putOptions

Writing a put while holding enough cash to buy the underlying if assigned. It is marketed as being paid to wait for a lower entry; it is also a full acceptance of the downside from the strike, since assignment arrives exactly when the stock has fallen through it.

Catching a falling knifeTrader jargon

Buying an instrument in a rapid decline in the hope that the fall is over. The proverb warns that declines continue further than they should; the counter-proverb, buy the dip, says the opposite. Both are true of some markets and some horizons, which is why neither is a rule.

Categoryalso: category systemAmiBroker

AmiBroker's classification of symbols: watch lists, groups, markets, sectors, industries, favourites and indexes. Categories are how the Analysis window's Apply to: Filter narrows a run to part of the database, and how a formula asks InWatchList() or SectorID() about the current symbol. Each symbol belongs to one group, one market and one industry, and to any number of watch lists.

CCIalso: commodity channel indexIndicators

The distance of the typical price from its moving average, scaled by mean deviation so that most values fall between −100 and +100; CCI() in AFL. An unbounded oscillator originally built for commodity cycles, now used generically for overbought and oversold readings. Its name is history, not a restriction.

Central bankalso: central bank interventionForex

The institution that sets a currency's policy interest rate and, occasionally, buys or sells the currency outright to move its price. Rate decisions, statements and intervention are the scheduled and unscheduled shocks of the forex calendar. A system tested only on quiet periods has not met one.

Chandelier exitSystems

A trailing stop placed a fixed number of ATRs below the highest high since entry. Implemented in AFL as a single ApplyStop( stopTypeTrailing, stopModePoint, mult * ATR( n ), style, True ) call, where the volatile argument is what lets the distance follow ATR during the trade.

Channelalso: price channel, trend channelChart reading

Two parallel lines containing a trend: a trendline and a second line through the opposite swings. Price near the lower line is read as an entry in an uptrend, near the upper line as a place to take profit. Indicator channels — Donchian, Keltner, Bollinger — replace the drawn lines with a formula.

Chart panealso: paneAmiBroker

One rectangular area of a chart window with its own Y axis, running one formula: the price pane, a volume pane, an RSI pane. Panes stack vertically in a chart sheet and share the X axis. A formula that calls Plot() draws into the pane it is dropped on, which is why an indicator can be placed on the price chart or under it.

Chart patternChart reading

A named shape in price data. The difficulty is not whether patterns exist but whether they can be defined objectively enough that two people identify the same instances — which is the precondition for testing any claim about them.

Chart sheetalso: sheetAmiBroker

A set of chart panes displayed together in one frame, selected by the tabs at the bottom of a chart window — one sheet for daily analysis, another for intraday, another for a study. The complete set of a window's sheets is a chart template.

Chart templatealso: templateAmiBroker

The complete set of chart sheets and panes in a chart window, saved as a file so it can be applied to any symbol or made the default for new windows. A template is what makes every chart open with your indicators already in place. It is not a layout, which records which windows are open rather than what is inside one.

Chart typesalso: line chart, bar chart, OHLC chartChart reading

The ways a price series can be drawn: a line through closes, OHLC bars, candlesticks, and constructions that abandon the time axis such as Renko and point and figure. Each hides something. A line chart hides the range; a bar chart hides the sequence within the bar; every chart hides the volume at each price unless a profile is added.

ChasingTrader jargon

Entering after the planned entry price has passed, paying up for a move already under way. A chased entry has a worse cost basis and a stop that no longer sits where the plan put it. The discipline against it is the limit order and the willingness to miss a trade.

D

Dark poolalso: dark venue, undisplayed liquidityMarket structure

A trading venue that does not display its order book. In US regulation a dark pool is one kind of alternative trading system (ATS); other ATSs display their quotes. Institutions use dark pools to work large orders without showing size; trades are reported to the tape after they happen. A meaningful share of equity volume executes this way, so the displayed book understates the interest at a price.

Data qualityMarket data

Whether the data says what happened. Missing bars, bad prints, zero volumes, unadjusted corporate actions and misaligned time stamps all produce confident and wrong conclusions, and a study is a very efficient machine for converting bad data into them.

Data snoopingalso: data dredgingResearch

A property of a whole research process: how many specifications were evaluated against one dataset in total, including every abandoned attempt, every universe swapped and every date range moved. Test enough ideas and something will look excellent whether or not anything is there.

DatabaseAmiBroker

AmiBroker's store of symbols and quotes, with a base time interval fixed at creation. The base interval determines what can be compressed from it: higher intervals are built upward from the base, never downward.

Database Settingsalso: Database Settings windowAmiBroker

The per-database dialog that sets the data source (a plugin or the local files), whether data is cached, the base interval and the number of bars to load. It opens automatically when a database is created. The base interval chosen here cannot be made finer later without rebuilding the database, which makes it the most consequential setting in the program.

DateTime and Nowalso: DateTime(), Now(), TimeNum(), DateNum()AFL

DateTime() returns each bar's timestamp as an array; Now() returns the computer's clock. TimeNum() and DateNum() give bar time and date as plain numbers such as 93000 for 9:30. The bar's clock is the exchange's and Now() is yours, and every session rule must say which it means.

Day tradingTrader jargon

Opening and closing positions within a single session, holding nothing overnight. It removes gap risk and adds everything else: the cost of many trades, the intraday noise of every instrument, and in US equities a regulatory minimum account size for frequent traders. The evidence on retail day-trading outcomes, where it has been studied, is not encouraging.

Dead cat bounceTrader jargon

A brief recovery after a steep fall, followed by further decline. The name is a judgement made afterwards: while the bounce is happening it is indistinguishable from a bottom, which is what makes the phrase useless as a forecast and popular as a description.

Dead moneyTrader jargon

Capital tied up in a position that is going nowhere, earning nothing and unavailable for anything else. The opportunity cost of holding, which a closed-trade profit-and-loss never shows. Time stops exist to convert dead money back into capital.

E

Early exerciseOptions

Exercising an American-style option before expiration. It forfeits any remaining time value, so it is rarely rational — the exceptions are a deep in-the-money put where the interest on the strike outweighs the time value, and a call on a stock about to pay a dividend larger than the call's time value.

Easy AlertsReal-time

AmiBroker's dialog for defining simple price-level alerts without writing a formula: pick a symbol and a price field, set a high and/or low trigger, and choose text, pop-up, e-mail or sound output. It works only on a live plugin feed, never in end-of-day mode, and an alert that has fired stays inactive until you press Reset. Anything conditional, multi-symbol or rate-limited is written with AlertIf() instead, whose output lands in the same Alert Output window.

ECN brokeralso: STP broker, no dealing desk, A-bookForex

A broker that routes customer orders to a network of liquidity providers and charges a commission rather than widening the spread. The broker's revenue comes from commission and turnover rather than from customer losses. In most retail forex and CFD accounts it remains the counterparty to your contract and hedges the exposure rather than keeping it, which is not the same as being an agent. The distinction from a dealing desk is real but often blurred in marketing; execution statistics say more than labels.

EdgeTrader jargon

A positive expected return after costs, from some persistent feature of a market or of other participants' behaviour. It is the thing every trader claims and few can demonstrate, since demonstrating it means a large out-of-sample sample and honest accounting. Where it exists it is usually small, and it decays as it is found.

Editionsalso: Standard edition, Professional editionAmiBroker

AmiBroker ships as Standard and Professional. The documented differences are few: Professional adds tick and sub-minute intervals, the 64-bit build, GetRTData(), more than ten symbols in the Real-Time Quote window, more than one Time & Sales window, more than two Analysis threads, the Wait-for-backfill option, and the MAE/MFE excursion distribution charts in the portfolio backtest report. One more, the QuickGFX render engine, is called Professional-only in the release notes but never appears in the edition table, so cite it carefully. Real-time plugins and one-minute charts work in both. This course badges only those documented items.

Efficient market hypothesisalso: EMHResearch

The proposition that prices already reflect available information, so that no method using that information can earn excess returns after costs. In its weak form it says past prices are useless — a direct challenge to technical analysis. The evidence is mixed and the hypothesis is best treated as a strong prior: an edge must be demonstrated against it, not assumed.

End-of-day dataalso: EOD dataMarket data

One bar per trading day. Sufficient for every part of this course except live intraday work, available free from several sources, and the basis of the Level A path.

Engulfing patternalso: bullish engulfing, bearish engulfingChart reading

A two-candle pattern in which the second body completely covers the first, in the opposite direction. A bullish engulfing after a decline is read as buyers overwhelming sellers. It is one of the few candlestick patterns with an unambiguous definition, which makes it one of the few that can be tested cleanly.

Entryalso: entry rule, entry signalSystems

The rule that opens a position: a setup that qualifies the instrument and a trigger that fires on one bar, together with the price and delay at which the fill is assumed. Entries get most of the attention and, in most systems tested honestly, explain the least of the result. Exits and sizing do the rest.

Envelopealso: moving average envelope, percentage bandsIndicators

Bands a fixed percentage above and below a moving average. The ancestor of Bollinger Bands, with a constant width that ignores changes in volatility. Its simplicity is the argument for it; its blindness to volatility is the argument against.

Equity curveSystems

Account value over time in a simulation. A smoothly exponential equity curve is usually a warning rather than a triumph: real portfolio equity is lumpy, and the smooth version often means positions grew into instruments that could not have absorbed them.

Equity()AFL

The old single-symbol backtester, kept for compatibility: it computes an equity array for the current symbol from the signal arrays, without a portfolio. New work uses the portfolio backtester and reads its equity through Foreign( "~~~EQUITY", "C" ). Equity() ignores scaling signals and portfolio limits, so its numbers and the report's disagree.

Error 32also: syntax error, missing semicolonAFL

The parser's syntax error, most often a missing semicolon. It is reported on the line after the fault, because that is where the parser noticed, so the habit to build is looking up one line. Errors 701 and 702 are the Analysis window's complaints that Buy/Sell or Short/Cover were never assigned.

Error 42AmiBroker

AmiBroker's error when an #include fails: wrong path, unset standard include path, or a different extension. The correct response is to fix the path, never to paste the file's contents in — which creates a second copy that will silently diverge.

ETFalso: exchange-traded fundMarket structure

A fund whose shares trade on an exchange like a stock. Most track an index; authorised participants create and redeem shares against the underlying basket, which keeps the price close to net asset value. An ETF is a convenient single-symbol proxy for a universe or a sector, and its own price history is much shorter than the index it follows.

EventAFL

Something that is true on one bar — the bar on which a condition first became true. Cross() produces events. The counterpart of a state.

Ex-dividend datealso: ex-date, ex-dividendMarket structure

The first day a share trades without the right to a declared dividend. The price drops by roughly the dividend at the open, mechanically, because the cash is leaving the company. Unadjusted data shows that drop as a price move; an adjusted series removes it. A short position pays the dividend rather than receiving it.

ExchangeMarket structure

An organised marketplace with published rules: who may trade, what is listed, how orders are matched and how trades are reported. A listed instrument has one primary exchange and may trade on many venues; the tape you see is usually consolidated across them. Contrast over-the-counter markets, where dealers quote prices bilaterally and there is no central book.

Execution algorithmalso: VWAP algo, TWAP, POVExecution

A broker-provided program that slices a large order into small pieces and feeds them to the market to a schedule: matching the day's volume profile (VWAP), spreading evenly over time (TWAP), or keeping to a set share of traded volume (percentage of volume). Institutions trade this way, which is why intraday volume patterns are partly the footprint of other people's algorithms.

ExerciseOptions

Using the right an option confers: buying the underlying at the strike for a call, selling it for a put. Cash-settled options pay the intrinsic value instead. Brokers exercise in-the-money options automatically at expiration unless instructed otherwise, which has surprised holders who expected a small option to simply expire.

Exitalso: exit rule, exit signalSystems

The rule that closes a position: a signal in the opposite direction, a stop, a profit target, a time limit, or a change in rank in a rotational system. A system with several exits fires whichever comes first, and AmiBroker's report records which one it was. Changing the exit changes the distribution of trade outcomes more than changing the entry usually does.

ExitAtStopSystems

The fourth argument of ApplyStop(), and the setting that most often makes a backtest fiction. Value 0 checks the trade price only; value 1 checks the bar's high–low range and fills at exactly the stop level, including on bars that gapped straight past it; value 2 checks the range but exits on the next bar at the regular trade price. On daily data, 2 is the defensible default.

Exotic pairsalso: exoticsForex

Pairs involving a currency from a smaller or emerging economy — USD/TRY, USD/ZAR, EUR/PLN. Wide spreads, thin liquidity, large rollover charges and exposure to capital controls and policy shocks. The gaps in an exotic's history are often data gaps rather than market gaps.

expandLastAFL

The default and causally safe expansion mode: a compressed value appears on the last bar of its period, which is when it exists. expandFirst publishes it on the first bar — a weekly high on Monday — and is the mode that can look into the future. expandPoint writes only the last bar and leaves the rest Null.

Expectancyalso: expected value per tradeSystems

The average profit per trade: win rate times average win minus loss rate times average loss, in currency or in R. It is the number that says whether a system has an edge at all, before anything about risk or return is discussed. A positive expectancy over a small sample is an estimate with wide error bars, not a fact.

Expirationalso: expiry, expiration dateOptions

The date after which an option no longer exists. Standard US equity options expire on the third Friday of the month; many liquid names also list weekly and, for a few, daily expiries. Time value goes to zero at expiration, and an option that is in the money is usually exercised automatically.

ExplorationAmiBroker

An Analysis mode that produces a table defined by Filter and AddColumn(). Distinct from a Scan, which reports where signal arrays are true. Explorations are how this course measures things.

Exponential moving averagealso: EMAIndicators

A moving average that weights recent prices more heavily, each value being a blend of today's price and yesterday's average; EMA( Close, N ) in AFL. It responds faster than a simple average of the same length and never quite forgets any past price. The N is a conventional label for the weighting, not a window.

ExposureSystems

The fraction of the test period during which capital was actually at work. Two systems with different exposures cannot be compared on return alone — which is what Risk Adjusted Return exists to correct. Read it before any return figure.

ExRemalso: ExRemSpanAFL

Removes excessive signals: ExRem( Buy, Sell ) keeps the first Buy and drops the rest until a Sell occurs, then the reverse. It cleans a state into a sequence of alternating events for plotting and alerting. The backtester does its own signal handling, so ExRem() is for charts and scans rather than a substitute for correct logic.

Extended hoursalso: pre-market, after-hours, ETHMarket structure

Trading outside the main session, on electronic venues only. Volume is thin, spreads are wide and a few trades can print far from where the regular session will open. Earnings releases and macro news land in these hours, so the extended-hours range is where a gap is formed before the regular session shows it.

Extrinsic valuealso: time valueOptions

The part of an option's premium above its intrinsic value — the price of the possibility that the option becomes worth more before expiration. It rises with implied volatility and with time to expiry, and it decays to zero at expiration. At-the-money options are almost entirely extrinsic value.

F

Fadealso: fading a moveTrader jargon

Trading against a move — selling a rally, buying a sell-off — on the expectation that it will reverse. A fade is a mean-reversion trade and a bet that the crowd is wrong. It is the natural instinct of market makers and the expensive habit of many discretionary traders.

Fair valueFutures

The theoretical price of an index future given the spot index, interest rates, dividends and time to expiry — spot plus cost of carry. Financial television quotes futures relative to fair value before the open to suggest the opening direction. The word is a model output, not an appraisal of what the index is worth.

Feedalso: data feed, market data feedReal-time

A vendor's delivery of market data — quotes, trades, bars — into AmiBroker through a plugin. Feeds differ in latency, in whether they are consolidated across venues, in whether they include extended hours, in how far back they backfill, and in what they cost. The course's data-provider appendices are dated comparisons of exactly those properties.

Fibonacci retracementalso: Fibonacci levels, fib levelsChart reading

Horizontal levels at fixed fractions of a prior swing — 38.2%, 50%, 61.8% — where a pullback is expected to stop. The fractions come from the Fibonacci sequence; nothing in the market does. Careful tests find pullbacks stop at those levels about as often as at any other, which makes them a good subject for a reality check and a poor rule.

Fillalso: executionExecution

The completion of an order, in whole or in part, at a price. An order can fill in several pieces at different prices; the average fill price is what the position actually cost. Every backtest is a claim about fills, and the fill assumption is where that claim should be written down.

Fill assumptionExecution

The statement of at what price and with what delay a backtest assumes each signal became a trade: next bar's open, this bar's close, a limit at a level, with or without slippage. It belongs in the formula and in the report, because the same rules with two different fill assumptions are two different systems, and one of them may not be tradable at all.

FilterAFL

The reserved AFL variable that decides which bars an Exploration reports. Filter = Status( "lastbarinrange" ) gives one row per symbol; Filter = Condition gives one row per qualifying bar.

First notice dayalso: FNDFutures

The first date on which the holder of a long position in a physically delivered contract can be notified that delivery is coming. Speculators exit or roll before it. In grains, metals and Treasury futures it falls before the last trading day; in several energy contracts, crude oil among them, trading terminates first and notices follow. Which way round it is belongs in the contract specifications you read before trading a new market.

Fixed fractional sizingalso: percent risk sizing, fixed fractionRisk

Risking a constant fraction of current equity on each trade — one percent, say — so that the position size is the risk amount divided by the stop distance. Size falls as equity falls, which slows the approach to ruin, and rises as it rises. It is the default sizing model in this course and the one SetPositionSize() expresses most naturally.

Fixingalso: the fix, London 4 p.m. fixForex

A benchmark exchange rate set once a day from trading in a short window, most famously at 4 p.m. London time. Funds that value themselves at the fix trade into it, producing a burst of volume and, on month-ends, sharp moves. It is one of the few forex events with a known clock.

G

GammaOptions

The rate at which delta changes as the underlying moves. It is largest for at-the-money options close to expiration, which is why such positions can swing from worthless to deep in the money in an afternoon. Market makers who are short gamma must buy as prices rise and sell as they fall, a mechanical flow that can amplify moves.

Gamma squeezeOptions

A rally amplified by option market makers hedging short call positions: as the stock rises, their delta exposure grows and they must buy more of it, pushing it higher. Named after gamma, which measures how fast that hedge requirement changes. A real mechanism, and also a phrase used far more often than the mechanism is demonstrably at work.

GapMarket data

An opening price away from the previous close, with no trading in between. Gaps are why a stop is not a guarantee: an order resting at a level that the market opened beyond was never available at that level.

Gap fillalso: gap and go, filling the gapTrader jargon

Price returning to the level from which it gapped, closing the empty space on the chart. Gap and go is the opposite: the gap holds and the move continues. Whether gaps tend to fill is one of the most testable claims in technical analysis, and the answer depends heavily on the gap's size, direction and cause.

Gap typesalso: breakaway gap, runaway gap, exhaustion gap, common gapChart reading

Traditional classification of gaps by where they occur: a breakaway gap leaves a consolidation, a runaway gap appears mid-trend, an exhaustion gap ends one, and a common gap is noise. The categories are assigned in hindsight, which limits their use in real time; the gap's size relative to normal range is the measurable part.

GetRTDataalso: GetRTDataForeignReal-time

Returns a live quote field — last, bid, ask, sizes, day high and low, change — for the current symbol, or for another symbol with GetRTDataForeign(), as it stood at the moment the formula ran. Both are documented as Professional-only and return Null in Standard. The values are refreshed with the chart, not with the tick, so they lag the Real-Time Quote window.

GlobalAFL

AFL's default scope. A variable assigned inside a function is visible outside it unless declared local, which is the source of the most confusing bugs in reusable AFL.

Golden crossChart reading

A shorter moving average crossing above a longer one — conventionally 50 and 200 days. Widely reported as marking the start of a major uptrend, a claim that is untestable as stated and becomes testable only once the universe, holding period, costs and benchmark are specified.

GreeksOptions

The sensitivities of an option's price to its inputs, named with Greek letters: Delta to the underlying price, gamma to delta itself, theta to time, vega to implied volatility, rho to interest rates. They are partial derivatives of a pricing model, so they are as good as the model, and they change constantly.

H

Hammer and shooting staralso: hammer, shooting star, pin barChart reading

Single candles with a small body at one end and a long wick at the other: a hammer has the wick below after a decline, a shooting star has it above after a rise. Both record a rejection of the extreme. Traders call the same shape a pin bar. Its record as a reversal signal depends heavily on context and on what follows it.

Head and shouldersChart reading

Three peaks with the middle one highest, over a neckline through the two intervening lows; a break below the neckline completes the pattern. The most famous reversal pattern and, in rigorous studies, one whose recognition is so subjective that two analysts rarely mark the same instances. Any test of it begins by defining it in rules.

Hedgingalso: hedgeRisk

Taking a position whose gains offset the losses of another: a put against a holding, a short index future against a portfolio of longs, a currency forward against foreign exposure. A hedge reduces risk and return together, costs something to hold, and has its own basis risk. It is not the same as diversification, which relies on things not moving together.

Heikin-AshiChart reading

Candles computed from averages of the current and previous bars rather than from raw prices, which smooths the chart and makes trends look cleaner. The smoothing is a lag: a Heikin-Ashi candle's close is not a price anything traded at, and a backtest that uses it as an exit price is using a number that did not exist.

HHV and LLValso: HHV, LLV, HHVBars, LLVBarsAFL

Highest high value and lowest low value over the last N bars, including the current one; HHVBars() and LLVBars() return how many bars ago the extreme occurred. They are the arithmetic of Donchian channels, breakouts and trailing stops. Because the current bar is included, a breakout test compares against Ref( HHV( H, N ), -1 ), yesterday's value.

High-frequency tradingalso: HFTMarket structure

Automated trading at horizons of microseconds to seconds, mostly market making and cross-venue arbitrage, competing on speed and co-location. It supplies much of the displayed liquidity in liquid markets and withdraws it fastest when volatility jumps. For a reader of daily and intraday bars it is part of the environment, not a competitor at the same game.

Histogramalso: MACD histogramIndicators

The difference between an indicator and its signal line, drawn as bars around zero. The MACD histogram turns before the MACD line does, because it measures the gap closing rather than the cross itself, and it is read for divergence against price. It is a derivative of a derivative, and correspondingly noisy.

See also:MACD Signal line DivergenceTaught in:Part 6 — MACD

Holding periodSystems

How long a position is held, from entry to exit, in bars or days. A system's average holding period sets its turnover, its cost sensitivity and how many trades a history can supply. Very short holding periods on daily bars mean the fill assumption is doing most of the work.

Holy grailTrader jargon

The mythical system that wins consistently in every market. Traders use the phrase with irony, sellers of systems without it. It does not exist, for the reason this course spends thirty parts on: any rule that works is a claim about a particular market in a particular regime, and regimes change.

HypothesisResearch

A claim stated so that it could be false, naming the population, the event and the measurable consequence. "Momentum works" is not one. The recurring spine of this course is hypothesis → rules → test → evidence → risk → decision.

I

Iceberg orderalso: hidden size, reserve orderExecution

A large limit order that displays only a fraction of its size, replenishing the visible portion as it fills. It exists so that size can rest in the book without advertising itself, and it is one of several reasons that displayed depth understates what will actually trade at a price.

Ichimokualso: Ichimoku Kinko Hyo, the cloudIndicators

A system of five lines built from midpoints of recent ranges over three lookbacks, two of them shifted forward to form a shaded cloud. It packages trend, support and momentum readings into one display. The forward shift is display only: the cloud drawn ahead of today is computed from today, and a rule that reads it as a forecast has misread a plotting offset.

IIfAFL

The array conditional: IIf( condition, valueIfTrue, valueIfFalse ) evaluates all three arguments over every bar and picks per bar. It is a function, not a statement — both branches are always computed — and it is the way to write a condition that differs bar by bar. The if statement, by contrast, tests a single value once.

Implied volatilityalso: IVOptions

The volatility figure that makes an option pricing model reproduce the option's market price. It is the market's price for uncertainty over the option's life, not a forecast that has been shown to be accurate, and it rises before scheduled events and falls after them. Compared with realised volatility it says whether options are expensive relative to how the underlying has actually moved.

In-samplealso: IS, training periodSystems

The data on which a system's rules and parameters were chosen. Performance on it is not evidence, because the rules were shaped to fit it; the more choices were made, the less it means. Everything a backtest on in-sample data can tell you is that the system is not obviously broken.

Include fileAFL

A file of AFL brought into another formula by #include or #include_once. The one place in AFL where a path takes single backslashes. A failed include reports Error 42, and the correct response is to fix the path rather than paste the contents in.

Indexalso: market index, benchmark indexMarket structure

A rule-based basket of instruments summarised as one number. Weighting by market capitalisation is the norm; price-weighting and equal-weighting produce different indexes from the same members. Membership changes over time, and using today's members to study the past is how survivorship bias gets into a backtest.

Index futuresalso: equity index futures, E-mini, micro E-miniFutures

Cash-settled futures on a stock index. The E-mini S&P 500 (ES) is worth 50 US dollars per index point; the micro version (MES) is one tenth of that. They trade almost around the clock, so their overnight moves are the most watched forecast of the cash open, and a system trading them must decide which session it lives in.

Index rebalancingalso: reconstitution, index rebalanceMarket structure

The scheduled revision of an index's membership and weights. Funds that track the index must trade on the effective date, so additions and deletions see unusual volume and price pressure around it. It is a known, dated, mechanical flow — one of the few market events with a clear cause.

IndicatorIndicators

A transformation of past market data into another series. Not a prediction machine, not a signal, and not independent evidence when several indicators are computed from the same price series.

Indicator redundancyalso: indicator collinearityIndicators

The fact that most indicators are transformations of the same close series and therefore move together. RSI, stochastics, CCI and MFI agreeing is one piece of evidence, not four. Confirmation from a redundant indicator adds lag and filters signals without adding information — which a correlation between the indicators will show.

Individual OptimizeAmiBroker

An optimization mode that runs each symbol separately and reports the best parameters per symbol, using multiple threads. It supports only the exhaustive search, not the smart engines. Its results are the purest form of curve fitting available in the program — one parameter set per instrument, chosen on that instrument's history — and they are useful mainly as a demonstration of that.

Initial marginalso: performance bondFutures

The deposit the clearing house requires to open a futures position, set per contract and revised with volatility. It is not a down payment on the contract's value; it is collateral against one day's likely move. The ratio of contract value to initial margin is the leverage a futures position carries, typically ten to thirty times.

Inside bar and outside baralso: inside bar, outside bar, haramiChart reading

An inside bar's range lies entirely within the previous bar's; an outside bar's range exceeds it on both sides. The candlestick harami is the same idea applied to the bodies rather than the ranges — the second body inside the first — so it does not mark the same bars as an inside bar. Inside bars mark contraction and are traded as breakout setups; outside bars mark expansion. Both are exact definitions, and both are easy to write in AFL.

Interbank marketForex

The top tier of the forex market, where large banks trade with one another directly and through electronic platforms. Interbank prices are the reference that brokers mark up for their customers. A retail trader never trades there; the phrase in a broker's advertising means their prices are derived from it.

Interest-rate differentialForex

The gap between the policy or market interest rates of a pair's two currencies. It determines rollover and drives the carry trade. Whether it also explains exchange rates over months and years is contested: uncovered interest parity says the high-yielding currency should fall by roughly the differential, and it does not reliably do so — which is exactly why the carry trade pays.

IntervalMarket data

The concrete bar size — inDaily, five-minute, weekly. Distinct from timeframe, which is the conceptual horizon. Interval() returns it in seconds; Interval( 2 ) returns its name.

Intraday dataMarket data

Bars finer than daily. Storage grows quickly as the base interval shrinks, and history depth from any vendor is far shorter than for end-of-day data. Historical intraday data needs no live feed and supports the Level A path for most real-time topics.

Intraday Settingsalso: Intraday Settings windowAmiBroker

The per-database dialog controlling how intraday bars are filtered and compressed: the session filter, weekend filtering, the trading-hours start and end, the time-zone shift, which clock the daily bar is built from, and whether the database may mix end-of-day and intraday bars. Bar timestamping is a separate control, in Tools → Preferences → Intraday. Two of these settings silently change every backtest on the database, which is why the course spends a lesson on them.

Intrinsic valueOptions

The amount by which an option is in the money: for a call, the underlying price minus the strike; for a put, the strike minus the underlying; never less than zero. It is what the option would be worth if exercised this instant. Everything the option is worth above that is extrinsic value.

IPOalso: initial public offering, new issueMarket structure

A company's first sale of shares to the public, after which the stock begins trading. A new listing has no price history, so it is invisible to any study with a lookback longer than its age, and its early months include a lock-up expiry when insiders become free to sell.

K

K-RatioSystems

A measure of the consistency of an equity curve: the slope of its linear regression, scaled by the slope's standard error and the number of bars. A straight, steadily rising curve scores high. AmiBroker implements a specific published version and other packages compute it differently, so K-Ratios from different software are not comparable.

Kelly criterionRisk

The bet size that maximises the long-run growth rate of capital for a known edge: for a simple bet, the win probability minus the loss probability divided by the payoff ratio — p − q/b, not (p − q)/b. It assumes the edge is known exactly, which it never is, and full Kelly produces drawdowns few can tolerate. Practitioners who use it use a fraction of it.

Keltner channelIndicators

A moving average with bands a multiple of ATR above and below it. Like Bollinger Bands but using average true range rather than standard deviation, which makes the width smoother and less sensitive to single large bars. Built in a few lines of AFL from EMA() and ATR().

Kurtosisalso: fat tails, heavy tailsResearch

The weight of a distribution's tails relative to a normal distribution. Market returns have fat tails: moves of five or more standard deviations, which a normal model says should happen once in millennia, happen every few years. Any risk measure that assumes normality understates the extremes by a lot.

L

LagIndicators

The delay between a change in price and its appearance in an indicator computed from past prices. All smoothing lags; a longer lookback lags more. Lag is the price paid for noise reduction, and the search for an indicator with less lag and no more noise is the search for something that does not exist.

Largest lossalso: largest losing tradeSystems

The single worst trade in a backtest. It tests the stop rules against the data: a largest loss much bigger than the intended risk per trade means gaps, halts or a bug got past the stop. Its size relative to the average trade is a check on whether the result depends on a few outliers.

Last pricealso: last, print, last tradeMarket structure

The price of the most recent trade. On a thin instrument it can be minutes old and well away from the current quote, so a chart built from last prices can look active when nothing is tradable at those levels. Traders say a trade printed when it appears on the tape.

Last trading dayalso: expiration (futures)Futures

The final day a futures month can be traded, after which open positions are settled in cash or go to delivery. For physically delivered contracts, first notice day is usually the date that matters, and in many products it comes earlier than the last trading day. A system that holds a futures position through these dates has a data problem, a delivery problem, or both.

LastValueAFL

Returns the last element of an array as a scalar. The usual way to reduce an array to a number so that an if can use it — and choosing which reduction to apply is choosing what the test means.

LatencyMarket structure

The delay between an event and your observation of it, or between your decision and its arrival at the market. A retail real-time feed is hundreds of milliseconds to seconds behind the exchange; a chart refresh adds more. Any intraday strategy whose edge lives inside that window does not exist for you.

Layeralso: chart layerAmiBroker

A named group of hand-drawn studies — trendlines, text, shapes — that can be shown or hidden together, like sheets of transparent plastic over the chart. Layers organise drawings; they have nothing to do with the panes or formulas beneath them, and a drawing on a hidden layer is still there.

Layoutalso: window layoutAmiBroker

A saved arrangement of open windows — which charts, on which symbols and intervals, docked or floating, on which monitor — restored from the Layouts pane. A trading screen is a layout. Multi-monitor setups are saved in it, so the arrangement comes back after a restart.

Leading and lagging indicatorsIndicators

A distinction from the sales literature: lagging indicators (moving averages) confirm a move after it starts, leading indicators (oscillators) are said to anticipate it. Every indicator computed from past prices lags. An oscillator gives earlier signals because it reacts to smaller moves, and it pays for that with more false ones.

LEAPSalso: long-dated optionsOptions

Options with more than a year to expiration. They behave more like the underlying than short-dated options do — higher delta for a given moneyness, slower decay — and are used as a leveraged, defined-loss substitute for holding stock.

M

MACDalso: moving average convergence divergenceIndicators

The difference between two exponential moving averages, conventionally 12 and 26 periods, plotted with a 9-period signal line and a histogram; MACD() and Signal() in AFL. It is a trend-following momentum measure in price units, so its level is not comparable across instruments or across time in a rising market.

MAE and MFEalso: maximum adverse excursion, maximum favourable excursionSystems

For each trade, the worst point it reached while open (maximum adverse excursion) and the best (maximum favourable excursion). Plotting them against final outcome shows how far winners went underwater before winning and how much of their peak they gave back — the empirical basis for setting stops and targets rather than guessing. AmiBroker's report includes them.

Maintenance marginFutures

The minimum balance a futures account must hold per position after opening it, below the initial margin. If daily losses take the account under it, a margin call demands a top-up to the initial level. Exchanges raise both margins during volatile periods, which forces sales exactly when prices are already moving.

Major pairsalso: majorsForex

The most traded pairs, each with the US dollar on one side: EUR/USD, USD/JPY, GBP/USD, USD/CHF, and usually AUD/USD, USD/CAD and NZD/USD. They carry the tightest spreads and the deepest liquidity, which is why a course's forex examples are almost always drawn from them.

Maker and takeralso: maker-taker, adding and removing liquidityMarket structure

An order that rests in the book makes liquidity; an order that crosses the spread and executes against a resting order takes it. Many venues charge takers and rebate makers. The distinction matters for costs, and it explains why a limit order that fills was cheaper than a market order in the same spot — and why it may never fill at all.

Marginalso: margin account, buying powerRisk

Borrowed funds from the broker to hold positions larger than cash, secured on the account. In equities it is a loan with interest; in futures the word means the collateral deposit instead. Both create the possibility of a margin call. AmiBroker's backtester has a margin setting that lets equity exceed cash by a stated ratio.

Margin callFutures

The broker's demand for additional funds when an account falls below its required margin, with liquidation of positions if the funds do not arrive. It is the mechanism that turns a leveraged drawdown into a forced exit at the worst moment. Position sizing that never contemplates a margin call is sizing for a market that does not gap.

Mark-to-marketalso: marking, open equityExecution

Valuing an open position at the current market price rather than at cost, so that unrealised gains and losses appear in equity as they occur. Futures accounts settle this way every day. An equity curve marked to market shows drawdowns that a closed-trade curve hides until the trade ends — and the marked version is the one you would have lived through.

Market capitalisationalso: market capMarket structure

Share price multiplied by shares outstanding: what the market values the whole company at. Size buckets — large, mid, small, micro — are cap ranges, and they behave differently enough that a universe defined by cap is a research decision rather than a detail.

N

NBBOalso: National Best Bid and OfferMarket structure

In US equities, the highest bid and lowest offer across all lit venues at a moment. Brokers are obliged to route market orders so that they do not execute at a worse price than the NBBO. It says nothing about size at those prices, which is where execution cost actually lives for anyone trading more than a round lot.

Net asset valuealso: NAVMarket structure

The value of a fund's holdings per share. An ETF's market price can trade at a premium or discount to it, briefly for liquid funds and persistently for funds holding illiquid or foreign assets. The gap is information about the fund's plumbing, not about the assets.

O

OBValso: on-balance volumeIndicators

A running total that adds the bar's volume on up days and subtracts it on down days; OBV() in AFL. Its level is arbitrary; its direction and its divergence from price are what is read. The assignment of a whole day's volume to one side on the basis of the close is the crude part.

OHLCVMarket data

Open, high, low, close and volume — the five fields that summarise a bar. What they omit is the sequence of prices inside the bar, which is why a daily backtest cannot know whether the high or the low came first.

Open interestOptions

The number of contracts outstanding — opened and not yet closed, exercised or expired — for an option strike or a futures month. Unlike volume it is a stock, not a flow: a trade between a new buyer and a new seller raises it, a trade that closes both sides lowers it. High open interest means a liquid strike; reading it for direction is folklore.

Opening rangealso: opening range breakout, ORBTrader jargon

The high and low of the first minutes of a session — five, fifteen or thirty, by taste. An opening range breakout enters when price leaves that range. It is a well-defined intraday setup, which makes it testable, and its dependence on the exact session start time makes it the classic victim of a time-zone error.

OptimizationSystems

Repeated backtests across a parameter range, driven by Optimize(). Legitimate as a way to understand a parameter surface; a route to overfitting when the best cell of hundreds is reported as though it were the only specification tried.

Optimization targetalso: objective functionAmiBroker

The metric an optimization maximises, set on the Walk-Forward settings tab and used by the smart engines and by walk-forward runs; the default is CAR/MaxDD. Net profit rewards leverage and long tests; CAR/MaxDD rewards smoothness; a custom metric rewards whatever you wrote. The target is a statement of what you want, and optimisers deliver exactly that.

OptimizeAFL

Optimize( name, default, min, max, step ) declares a parameter the optimizer will sweep and returns the default everywhere else. The number of combinations across all Optimize() calls is the size of the exhaustive search, and it is the number of comparisons being made against one history — the count that decides how much the best result means.

Optionalso: option contractOptions

A contract giving its holder the right, but not the obligation, to buy (Call option) or sell (Put option) an underlying at a set strike price on or before an expiration date, in exchange for a premium paid to the writer. This course does not trade options; these entries exist so that their vocabulary, which pervades market commentary, is not a barrier.

Option chainalso: chainOptions

The table of every listed option on an underlying: each expiration, each strike, calls on one side and puts on the other, with bid, ask, volume, open interest and implied volatility. It is the options market's order book at a glance, and reading it is the first skill in the subject.

Option pricing modelalso: Black–Scholes, binomial modelOptions

A formula relating an option's price to the underlying price, strike, time to expiry, interest rate, dividends and volatility. Black–Scholes is the reference model; binomial trees handle early exercise. The models are used backwards more than forwards — given the price, find the implied volatility — and their assumptions, constant volatility above all, are known to be false in ways the volatility skew records.

Order bookalso: limit order book, the bookMarket structure

The list of resting limit orders at each price, bids on one side and offers on the other. The best bid and best offer are the quote; everything behind them is depth. An order book is a picture of stated intentions, not commitments: a resting order can be cancelled in microseconds, so displayed size is weak evidence of what will actually trade.

Order flowTrader jargon

The stream of orders arriving at a market, and the analysis of trades by whether they hit the bid or lifted the offer. Cumulative delta, footprint charts and volume profile are its instruments. The underlying quantity is real; the predictive claims made for reading it are of very mixed quality, and the good ones concern the next minutes, not the next month.

Order imbalancealso: MOC imbalance, closing imbalanceMarket structure

The excess of buy over sell orders, or the reverse, submitted to an auction before it runs. Exchanges publish closing imbalances in the minutes before the close, and offsetting orders arrive in response. Strategies built on the published figure exist; their edge, if any, is small, fast and crowded.

Order routingalso: smart order routingMarket structure

The broker's decision about which venue receives an order. Retail orders are often routed to a wholesaler rather than an exchange; larger orders may be split across venues by a smart order router. Routing shapes fill quality in ways a customer rarely sees, which is why execution-quality reports exist and why they are worth reading.

OscillatorIndicators

An indicator bounded within a fixed range, such as RSI between 0 and 100. Boundedness makes readings comparable across instruments; it says nothing about whether an extreme reading means anything.

Out-of-samplealso: OOS, hold-outResearch

Data deliberately not used to develop a model, tested on once. The moment you look at the result and change the model, that data has joined the training set and cannot be recovered — which is how walk-forward analysis quietly becomes in-sample fitting.

OutlierResearch

An observation far from the rest. In a trade list, the one or two results that made the year. Removing outliers to see the typical behaviour is legitimate analysis; removing them to improve the backtest is curve fitting. The test is whether the rule that excludes them was written before you saw them.

Over-the-counteralso: OTCMarket structure

Trading that happens between dealers and their customers rather than on a central exchange. Spot forex and most bonds trade this way. There is no single order book, no official last price and no consolidated volume, which is why forex volume in a chart is only ever one broker's view.

Overbought and oversoldalso: overbought, oversoldIndicators

Labels for an oscillator above or below conventional thresholds — RSI over 70 or under 30 — carrying the implication that a reversal is due. The implication is the claim; the reading is a fact. The course's reality check on RSI above 70 exists because the claim, tested, does not say what the label says.

OverfittingResearch

The outcome: a model that performs well on the data it was built from and poorly on data it has not seen. Data snooping is about the process and curve fitting is about the model; overfitting is what they produce.

Overnight riskalso: gap riskTrader jargon

The exposure of a position to whatever happens while the market is closed: earnings, news, a foreign session, a weekend. It is unmanageable by stops, since nothing can fill, and it is the reason day traders go flat and swing traders size for a gap rather than for their stop distance.

OvertradingTrader jargon

Trading more often than the method calls for — from boredom, from the wish to recover a loss, or because the screen is on. Its cost is measurable: every unplanned trade pays the spread and the commission for an expected return of roughly zero. A trading journal is the instrument that makes it visible.

P

p-valueResearch

The probability of seeing a result at least as extreme as the one observed if the null model were true. It is not the probability that the strategy works. A small p-value from one test on one sample is weak evidence, and a small p-value after searching a thousand rules is no evidence at all.

Pairs tradingalso: spread trading, relative-value tradeSystems

Going long one instrument and short a related one when the gap between them is unusually wide, expecting it to close. A mean-reversion strategy on a spread rather than a price, which removes market direction and adds the risk that the relationship breaks. It is the simplest case of statistical arbitrage, which more generally means the same idea run across many instruments at once. In AmiBroker it is built with Foreign() and a spread series.

Paper tradingalso: simulated trading, demo accountExecution

Running a strategy on live data with simulated orders and no money at risk. It tests the plumbing — data, signals, timing, your ability to follow the rules — and it is a genuine out-of-sample period. It does not test fills, because a simulated order always fills, and it does not test you, because nothing is at stake.

Parabolic SARalso: SAR, stop and reverseIndicators

A trailing stop that accelerates towards price as a trend continues, drawn as dots below an uptrend and above a downtrend; SAR() in AFL. It is always in the market, flipping direction when hit, which makes it a complete system and a poor one in ranges. The acceleration factor is its parameter.

Paramalso: ParamToggle, ParamList, ParamColor, ParamStrAFL

The family of functions that declare a formula's inputs — a number with a range, a toggle, a list, a colour, a string — and expose them in the Parameters window. On a chart the values are edited live; in Analysis they are set for the run. Optimize() has the same shape and is the version the optimizer sweeps.

Parameter stabilityalso: robust region, plateauSystems

The property that neighbouring parameter values perform similarly, so that the chosen value sits on a plateau of the parameter surface rather than on a spike. A spike is a fit to noise. Choosing the centre of a plateau over the single best value gives up in-sample return for a better chance that the out-of-sample result resembles it.

Parameter surfaceSystems

How a performance metric varies across a parameter grid. A broad plateau suggests a property of the idea; a single spike surrounded by mediocrity is what curve fitting looks like from outside; a flat surface is a result too.

Parameters windowalso: Param windowAmiBroker

The dialog that lets you change a formula's inputs without editing it, populated by the Param() family of functions. On a chart the values are live and per pane; in the Analysis window they are set once for the run. Anything worth tuning by eye belongs in a parameter, and anything in a parameter is something you might later be tempted to over-tune.

Partial fillExecution

An order that executes for less than its full size, the remainder either resting or cancelling depending on its time in force. Common for limit orders on thin instruments and for any order larger than the displayed size. A backtest with a fixed position size has assumed there are no partial fills.

ParticipationSystems

How large an intended position is relative to what actually traded — as a share of the entry bar's volume or of median turnover. A backtest whose positions are a large fraction of daily turnover is reporting profits from trades that could not have been established.

Payment for order flowalso: PFOFMarket structure

A wholesaler paying a broker for the right to execute the broker's retail orders. The wholesaler profits from the spread and often fills the order slightly inside the NBBO; whether the customer is better or worse off than on an exchange is contested and depends on the order. It is one of the mechanisms behind zero-commission trading, and it is prohibited in some jurisdictions.

Payoff ratioalso: average win to average lossSystems

The average winning trade divided by the average losing trade, one of AmiBroker's standard report metrics. With the win rate it determines expectancy. A system can survive a low win rate with a high payoff ratio or the reverse; it cannot survive both being low, and it cannot have both high for long.

Percentage above moving averageBreadth

The share of a universe's members trading above a given moving average, typically the 50- or 200-day. It is bounded, comparable across time, and one of the cleanest measures of how broadly a trend is shared. Extremes near 0 and 100 are rare and are among the more robust breadth readings.

Percentilealso: PercentRankResearch

Where a value sits within its own recent history, on a 0–100 scale. PercentRank( array, range ) answers "unusual for this instrument" rather than "large in absolute terms", which is what makes readings comparable across instruments and across time.

Pin riskOptions

The uncertainty an option writer faces at expiration when the underlying settles very close to the strike: whether the option will be exercised, and therefore what position will exist on Monday morning, is not known until after the close. Related to the observation that prices sometimes cluster near large strikes into expiry, a pattern called pinning.

Q

Queue positionMarket structure

Where a resting limit order sits among the others at the same price. Under price-time priority, orders ahead of yours must fill before yours does. A price can trade without your order filling — the classic reason a backtested limit entry at the bar's low did not happen in real life.

QuickAFLAFL

The engine's optimisation of calculating only the bars a chart shows or an Analysis range covers, plus whatever lookback the formula appears to need. It makes charts fast and it changes results: Cum(), BarCount and long lookbacks see a different number of bars on a zoomed chart than in a backtest. SetBarsRequired() is the control.

Quotealso: bid/ask quote, Level 1Market structure

The current best bid and best ask, each with a size, at one instant. A quote is not a trade: the last price may sit anywhere relative to it, and nothing has changed hands until an order crosses the spread. AmiBroker's Real-Time Quote window shows these fields for the symbols in a watch list.

Quote currencyalso: counter currency, terms currencyForex

The second currency in a pair, in which the price is expressed. EUR/USD at 1.0850 means one euro costs 1.0850 US dollars. A pip is a fixed fraction of the quote currency, which is why pip value in account terms depends on which currency the account is kept in.

R

R-multiplealso: RRisk

A trade's result expressed in units of its initial risk: a trade that risked 500 and made 1,000 is +2R, one stopped out at the planned level is −1R. Measuring in R makes trades comparable across instruments and account sizes, and it makes the expectancy a number in R per trade. A largest loss below −1R means the stop did not hold.

Random walkResearch

A series whose next change is independent of its past, so that no pattern in the history says anything about the future. It is the null model every technical claim must beat, and it is very hard to distinguish from a real market by eye. Random walks produce trends, ranges, heads and shoulders and support levels in abundance.

Rangealso: trading range, sideways marketChart reading

A period in which price oscillates between a rough ceiling and floor without making new extremes. Ranges are where trend rules lose and mean-reversion rules win, and their edges are the levels a later breakout is measured from. Most of any long price history is range, not trend.

RankingSystems

Ordering a universe by a score, as opposed to filtering it by a threshold. A filter answers "is this eligible"; a rank answers "which is preferred". A ranking rule is a strategy and should be tested like one.

Rate of changealso: ROCIndicators

The percentage change in price over N bars; ROC( Close, N ) in AFL. The simplest momentum measure and, because it is a percentage, comparable across instruments — which is why it is the usual basis for ranking a universe by relative strength.

Real body and wickalso: body, wick, shadow, tailChart reading

The parts of a candlestick: the real body spans open to close, the wicks (or shadows) extend to the high and low. A long wick shows that price travelled somewhere and came back within the bar. In AFL these are arithmetic on O, H, L and C, which is how a pattern becomes a rule.

Real-time dataReal-time

Streaming market data pushed by a vendor as it arrives.Both editions can connect to a real-time data source. Standard is restricted to one-minute-and-up intervals, ten streaming symbols, one Time & Sales window, no GetRTData() and no Wait for backfill; GetRTData() returns Null for every field on Standard. Every real-time topic in this course also has a Level A path.

Real-Time Quote windowalso: RT Quote windowReal-time

AmiBroker's streaming quote table for the symbols in a watch list, refreshed many times a second directly from the plugin, independent of any chart formula. Standard edition shows up to ten symbols, Professional any number. It is the fastest view of the market the program offers, and the one a formula cannot read directly.

Realised volatilityalso: historical volatility, statistical volatilityOptions

The volatility the underlying actually exhibited over a past window, usually the annualised standard deviation of daily log returns. It is measured, where implied volatility is priced. StDev() of returns in AFL gives the unannualised version; ATR is a different, price-unit measure of the same idea.

Reality checkCourse

This course's recurring exercise: take a popular market claim, replace every undefined word with a number, define the outcome and the comparison, measure it, and describe the result without deciding in advance what you wanted it to be. The usual finding is that the difference is small relative to the noise.

RebalancingSystems

Returning a portfolio to its target weights or holdings on a schedule or when it drifts past a threshold. Every rebalance is a set of trades with costs, and the schedule is a parameter: monthly and quarterly versions of the same system can differ materially. Index funds rebalance on announced dates, which is where index-rebalancing flows come from.

Recovery factorSystems

Net profit divided by maximum drawdown: how many times over the system earned back its worst loss. A crude cousin of CAR/MaxDD that does not annualise, so it grows with the length of the test. It is in AmiBroker's report.

RefAFL

Shifts an array in time. A negative period references the past; a positive period references the future. A positive shift is legitimate in a study measuring what followed an event, and is look-ahead bias the moment it reaches a signal array.

Refreshalso: chart refresh, refresh interval, RequestTimedRefreshReal-time

The re-execution of a chart formula so that its display catches up with new data. On a live feed, charts refresh at the interval set in Preferences; RequestTimedRefresh( seconds ) asks for more frequent refreshes for one pane, at the cost of running the whole formula each time. Data arriving and the chart redrawing are separate events, and the gap between them is where a real-time formula reads stale values.

Refutation criterionResearch

The result that would make you abandon an idea, written down and dated before the test is run. If no result would have changed your mind, the study was decorative.

Regime dependenceResearch

A result that holds in one kind of market and not others. A fifteen-year backtest of a largely rising market is one observation of a market, however many bars and trades it contains.

Regressionalso: linear regression, regression lineResearch

Fitting a line, or a more complex function, to data so as to minimise the squared errors. A regression line through prices is a trend estimate — LinearReg() and LinRegSlope() in AFL — and a regression of returns on a factor is how alpha and beta are estimated. More parameters fit better and generalise worse, which is the whole of overfitting in one sentence.

S

Safe-haven currencyForex

A currency that tends to rise when markets are frightened — traditionally the US dollar, Japanese yen and Swiss franc — because capital flows into it as risk positions are unwound. The tendency is statistical, not mechanical, and it has failed in particular episodes.

Sample sizealso: number of trades, nResearch

The number of independent observations a conclusion rests on — for a system, roughly the number of trades, and fewer than that if they overlap or cluster in one period. Thirty trades cannot distinguish a good system from a lucky one. Neither can three hundred if they all happened in one regime.

ScalarAFL

A single number, as opposed to an array. BarCount is a scalar; BarIndex() is an array. if, while and for require scalars, which is why passing an array to one raises Error 6.

Scaling in and outalso: scale in, scale out, pyramidingTrader jargon

Building a position in pieces rather than at once (scaling in), or reducing it in pieces (scaling out). Adding to a winning position as it moves in your favour is pyramiding; adding to a losing one is averaging down. Each changes the cost basis and the risk profile, and AmiBroker's backtester can model both through scale-in and scale-out signals.

ScalpingTrader jargon

Trading for very small profits over seconds to minutes, many times a day, relying on the spread, the queue and speed. It is the style most exposed to costs and latency and the one in which a retail trader competes most directly with automated market makers. It cannot be evaluated on daily bars, and this course does not attempt it.

ScanAmiBroker

An Analysis mode that reports the symbols and bars where Buy, Sell, Short or Cover are true. Distinct from an Exploration, which produces an arbitrary table.Trade delays are documented as being applied by the backtester, after your formula has run; the guide says nothing about their effect in a Scan, so verify it in the application before relying on a Scan's timestamps as fill dates.

Seasonalityalso: calendar effects, sell in May, January effectSystems

Return patterns tied to the calendar: month of the year, day of the week, turn of the month, holidays. Some are documented and small; many popular ones are the product of searching many calendars for patterns that fit one history. Any seasonal claim is a multiple-comparisons problem first and a trading idea second.

Sectoralso: industry groupRisk

A grouping of companies by business — technology, energy, financials — with industries as the finer level beneath. Stocks in a sector move together enough that sector exposure is a risk in its own right and sector relative strength is an analysis in its own right. AmiBroker's category system has sector and industry fields for every symbol.

SelectedValueAFL

Returns the value of an array at the bar under the chart crosshair, or the last bar if nothing is selected. Display only: it reads one bar, so it must never be used to build a signal.

Selection biasResearch

Any systematic difference between the sample tested and the population the conclusion is about. A personal watch list assembled after the period is worse than an index list, because it was curated by somebody who already knew how those names performed.

Sensitivity analysisSystems

Varying one input at a time — a parameter, a cost assumption, the fill delay, the universe — and watching how much the result moves. A system whose profit vanishes when slippage doubles or the lookback shifts by two bars has told you what it really depends on. It is cheap, and it is the first robustness test worth running.

Sentimentalso: market sentimentTrader jargon

The prevailing mood of participants, inferred from surveys, positioning, options activity, fund flows or the tone of commentary. Sentiment measures are real data with a genuine but weak and unstable relationship to subsequent returns, strongest at extremes. Anything marketed as the sentiment indicator has been selected after the fact.

Sequence riskalso: path dependence, order of returnsSystems

The fact that the same set of trades in a different order produces a different equity path, a different maximum drawdown and, with compounding, a different final equity. The historical order is one draw. Monte Carlo resampling shows the range of drawdowns other orders would have produced, which is the number to size against.

SessionMarket structure

A defined trading period for a market, expressed in the exchange's own local time. Futures and forex run nearly around the clock in a sequence of sessions; equities have one main session plus extended hours. Every intraday alignment problem in this course — daylight saving, a bar that starts at the wrong minute — comes from a session boundary being described in the wrong clock.

Session overlapalso: London–New York overlap, forex sessionsForex

The hours in which two major forex centres are open at once, most importantly the London–New York overlap in the early afternoon in Europe. Liquidity, volume and range are highest then, and quietest during the Asian session for European and American pairs. Any intraday forex rule is implicitly a rule about which hours it runs in.

SetBarsRequiredAFL

Tells QuickAFL how many bars before and after the visible or in-range bars the formula needs: SetBarsRequired( 1000, 0 ) adds a thousand bars of history, SetBarsRequired( sbrAll, sbrAll ) turns QuickAFL off. Place it at the top of the formula. It is the fix for an indicator whose values change when you scroll.

SetForeignAFL

Replaces the current symbol's price arrays with another symbol's, so that subsequent calculations operate on that symbol. RestorePriceArrays() puts them back — and forgetting it means everything afterwards silently describes the wrong instrument.

SetOptionAFL

SetOption( name, value ) sets a backtester setting from the formula — initial equity, commission mode, MaxOpenPositions, margin, whether same-bar exits are allowed — overriding the Analysis settings dialog. Putting settings in the formula is what makes a backtest reproducible: the file is the whole specification.

SetPositionSizealso: PositionSizeAFL

Sets how large each trade is: SetPositionSize( value, method ), where the method constant says whether the value is a dollar amount, a percentage of portfolio equity, a share or contract count, or a percentage of the currently open position (that last one for scaling in and out only). It replaces the older PositionSize reserved variable. Risk-based sizing is not a built-in method: you compute the share count yourself from the stop distance and pass it with spsShares.

Settlementalso: T+1, T+2Market structure

The transfer of cash and securities that completes a trade, one or two business days after it in most equity markets and expressed as T+1 or T+2. Buying power, dividend entitlement and the ability to withdraw proceeds all follow the settlement date rather than the trade date. Futures settle daily instead, through variation margin.

Settlement pricealso: daily settlement priceFutures

The official end-of-day price the exchange assigns to each futures month, used to mark accounts and compute margin. It is calculated by a published procedure — often from trading in a closing window — and can differ from the last traded price. A daily bar's close in futures data may be the settlement or the last trade, and vendors differ.

SetTradeDelaysAFL

SetTradeDelays( buy, sell, short, cover ) sets, in bars, how long after each signal its trade is executed, overriding the Analysis settings. Zero means the same bar; one means the next. With BuyPrice = Open and a delay of one, the fill is next bar's open — the honest default for a system that decides after the close.

SetupSystems

The conditions that make an instrument a candidate — a state, true over a span of bars. Distinct from the trigger, which is the event that turns a candidate into an entry. Using a state where a trigger belongs makes a scanner return the same names every day.

Sharpe ratioSystems

Return above the risk-free rate divided by the standard deviation of returns, annualised. The standard risk-adjusted measure in fund management, computed from periodic equity returns. AmiBroker's Sharpe Ratio of trades is computed from the distribution of individual trade returns and annualised differently, so it is not comparable with a fund's Sharpe ratio.

Shortalso: short position, going shortExecution

Holding a position that gains if the price falls — by selling borrowed shares, selling a futures contract, or writing an option. In AmiBroker a short trade is opened by the Short array and closed by Cover. Every asymmetry of short selling — borrow, dividends, recall, unbounded loss — sits outside the backtester's symmetrical arithmetic.

Short interestalso: days to cover, short ratioMarket structure

The number of shares sold short and not yet bought back, usually quoted as a percentage of float, with days to cover being short interest divided by average daily volume. High values are read both as bearish conviction and as squeeze fuel; the evidence for either reading as a stand-alone signal is weak.

Short sellingalso: shortingMarket structure

Selling shares you have borrowed, to buy them back later at what you hope is a lower price. The position pays any dividends to the lender, incurs a borrow fee, can be recalled, and has no ceiling on its loss. In a backtest the short side is symmetrical with the long side; in practice the mechanics are not.

Short squeezealso: squeezeTrader jargon

A sharp rise that forces short sellers to buy back, and whose buying pushes the price higher still. The fuel is high short interest in a stock with a small float; the trigger can be anything. Squeezes are violent, brief and unforecastable in timing, and most of the stocks that look ripe for one never have it.

SignalSystems

A non-zero value in Buy, Sell, Short or Cover. The four signal arrays carry no timing information whatsoever — a 1 on bar 40 says an entry belongs to bar 40, not when during bar 40 — and the price arrays carry none either.

Signal arraysalso: Buy, Sell, CoverAFL

The four reserved boolean arrays the backtester reads: Buy and Sell open and close long positions, Short and Cover open and close shorts. A formula that runs in the Analysis window without assigning them raises Error 701. They are the whole interface between your rules and the engine — everything else is sizing, prices and settings.

Signal lineIndicators

A moving average of an indicator, plotted with it so that crossovers between the two can be used as signals — the 9-period EMA of MACD is the standard example, provided in AFL by Signal(). It is smoothing applied to smoothing, and it adds lag exactly where it adds clarity.

See also:MACD Crossover Smoothing HistogramTaught in:Part 6 — MACD

Signal-to-noise ratioResearch

The size of the predictable component of a series relative to its random component. In daily returns it is very low, which is why small edges need thousands of trades to confirm and why an indicator that looks decisive on one chart is usually noise dressed as signal.

T

Tail riskRisk

The risk of the rare, large losses in the tails of the return distribution — the days that a normal model says cannot happen and that happen every few years. Strategies that earn steadily by selling insurance, volatility or liquidity carry tail risk by construction, and their backtests look best right up to the event.

Tape readingTrader jargon

Inferring the intentions of large participants from the sequence of prints and quotes in time & sales and the order book. An old craft with a genuine information content — prints at the ask versus the bid, size that keeps refreshing — and a large folklore attached. Its claims are testable in principle and are rarely tested.

Term structurealso: volatility term structureOptions

Implied volatility plotted against expiration for one underlying. Normally upward-sloping, it inverts when near-term uncertainty is high — before earnings, or in a sell-off. The same phrase describes the curve of futures prices across contract months, and the two are cousins.

Thetaalso: time decayOptions

The change in an option's price per day from the passage of time alone, negative for a bought option. Decay is not linear: it accelerates as expiration approaches, and fastest for at-the-money strikes. Option sellers describe theta as income; it is income in the way that insurance premiums are income.

Throwbackalso: retestChart reading

A return to a level shortly after breaking through it — price coming back to test former resistance as support. A throwback that holds is read as confirmation of the breakout; one that fails is a failed breakout. The proportion that hold is a base rate worth measuring before trading either reading.

TickMarket data

A single trade print. Bars are built by aggregating ticks; a tick database is the finest base interval available and by far the largest.

Tick chartalso: N-tick bars, N-second barsReal-time

Bars built from a fixed number of trades rather than a fixed span of time, or from intervals shorter than a minute. Both are Professional-only, and tick bars are available only from feeds that deliver every trade. They need a tick base interval, which makes the database very large, and the course's intraday work uses one-minute bars instead.

Tick sizealso: minimum price incrementMarket structure

The smallest permitted price change for an instrument. It sets the narrowest possible spread and the granularity of every level in the book. In futures the tick size and the money value of one tick are contract specifications; in AmiBroker the display precision of a symbol is a separate setting in Symbol Information and does not change the data.

Tick valuealso: point value, dollar value per tickFutures

The money gained or lost when a contract's price moves by one tick, fixed in the specifications: a quarter-point move in the E-mini S&P 500, for example, is worth 12.50 US dollars per contract. Risk per trade in futures is stop distance in ticks multiplied by tick value multiplied by contracts, and nothing in a price chart shows the multiplier.

Tick volumealso: forex volumeForex

The number of price changes in a bar, which is what a forex chart shows where an equity chart would show traded volume. It is a proxy for activity from one broker's feed, not a count of anything exchanged, and two brokers' tick volumes for the same bar will differ. Volume indicators applied to it are indicators of quote activity.

Time & salesalso: T&S, the tapeMarket structure

A running list of individual trades: time, price, size and often the venue and whether the print was at the bid or the ask. It is the raw material bars are built from. It shows what traded, not who traded or why, and inferring intent from it — tape reading — is a skill with a long history and little controlled evidence.

Time & Sales windowReal-time

AmiBroker's per-symbol tape from a streaming feed: one row for every trade, every new bid and every new ask, colour-coded so that a trade printed at or below the bid shows red and one at or above the ask shows green. Standard edition opens one window; Professional opens any number. It shows the ticks the bars are made of, which is the best available demonstration of what a bar hides.

Time in forcealso: day order, GTC, IOC, FOKExecution

How long an order stays alive. A day order expires at the session close; good-till-cancelled persists, subject to the broker's own limit; immediate-or-cancel fills whatever it can at once and cancels the rest; fill-or-kill fills entirely at once or not at all. A forgotten good-till-cancelled order is a classic way to open a position you did not mean to have.

Time stopalso: N-bar stop, time exitSystems

An exit after a fixed number of bars regardless of price, provided by ApplyStop() as the N-bar stop. It embodies a hypothesis that the edge, if any, is concentrated in the first bars after entry — a hypothesis worth testing directly by plotting average return against bars held.

Time zoneMarket structure

The clock in which a timestamp is expressed. Exchange time, the data vendor's time, your computer's time and UTC can all differ, and daylight-saving transitions do not happen on the same dates everywhere. An intraday database has one time zone; every source feeding it must be converted to that zone or the bars are wrong in ways that are hard to see.

TimeframeMarket data

The conceptual horizon — weekly context, daily setup, hourly entry. Distinct from interval, which is the concrete bar size. Keeping the two words separate prevents a great deal of confusion in multi-timeframe work.

TimeFrameCompressAFL

Compresses a single array to a coarser interval without switching the whole formula's timeframe, as TimeFrameSet() does. Useful for one indicator in a higher timeframe while the rest of the formula stays in the chart's. The result still needs TimeFrameExpand() before it lines up with the chart.

TimeFrameExpandAFL

Stretches an array computed in a higher timeframe back onto the current interval's bars. Required: comparing a compressed array with an uncompressed one silently compares different time scales, which the User's Guide lists among the standard AFL mistakes.

TimeFrameGetPriceAFL

Reads an OHLCV field from a higher timeframe. Its signature is TimeFrameGetPrice( field, interval, shift = 0, mode = expandFirst ), and the documentation warns explicitly that with shift 0 the compressed data may look into the future — the weekly high can be known on Monday. A trading system must use a negative shift.

TimeFrameSet and TimeFrameRestorealso: TimeFrameSet, TimeFrameRestoreAFL

TimeFrameSet( interval ) replaces the price arrays with bars compressed to a coarser interval; TimeFrameRestore() puts the originals back. Anything computed between them is in the coarser timeframe and must be brought back to the chart's bars with TimeFrameExpand(), or Warning 509 says so. Forgetting the expansion mode is the multi-timeframe look-ahead trap.

Titlealso: chart titleAFL

The reserved string variable that sets the text at the top of a chart pane. Built with StrFormat() and WriteIf(), it can show the selected bar's values, the state of a rule, or a warning about the data. It is the pane's one line of prose, and a good title makes a chart readable without opening the formula.

TradeExecution

In a backtest report, one completed round trip: an entry, an exit, and the profit or loss between them. On the tape, a single execution between a buyer and a seller. The two senses coexist, and a backtest with a hundred trades may have involved thousands of fills.

Trade delaySystems

The gap between a signal and its fill, set with SetTradeDelays(). The engine implements it by shifting the four signal arrays with Ref() — and nothing else, so any other array your formula feeds the backtester must be shifted by hand. Delays are implemented only by the backtester and do nothing in Scan, Exploration or Indicator modes.

Trade statisticsalso: trade list, trade distributionSystems

The per-trade view of a backtest: number of trades, winners and losers, averages, largest win and loss, longest losing streak, bars held. AmiBroker's report has a Trades page listing every one. The distribution matters more than the averages — a result made by three trades is a different thing from the same result spread over three hundred.

Trading haltalso: haltMarket structure

A pause in trading imposed by the exchange, most often pending material news or after a sharp move triggers a volatility rule. Trading resumes through an auction, frequently at a very different price. A halt is the clearest case of a stop order not being a price floor: nothing can fill until the reopen.

Trading journalalso: trade logTrader jargon

A record of every trade with its reason, its plan and its outcome, kept in enough detail to separate the performance of the method from the performance of the person following it. It is where overtrading, chasing and rule-breaking become numbers. This course's research log is the same discipline applied to the research process.

Trading systemalso: system, strategy, rule setSystems

A complete, written set of rules for what to trade, when to enter, how much to hold, when to exit and how to handle the cases the rules did not anticipate — precise enough that two people following it would take the same trades. Anything less is a method, and a method cannot be backtested because it is not defined.

Trailing indicatoralso: chandelier, volatility stopIndicators

A line that follows price at a distance and never retreats: the highest high since entry minus a multiple of ATR in a long position, as in the chandelier exit, or the parabolic SAR. Used as an exit that lets a trend run while limiting how much of it is given back. Its distance is a parameter with the usual trade-off between whipsaws and give-back.

Trailing stopRisk

A stop that follows price in the favourable direction and never retreats. In AFL, stopTypeTrailing with the volatile argument set to True lets the distance vary during the trade — which works in backtestRegular mode only.

Trendalso: uptrend, downtrendChart reading

A sequence of higher swing highs and higher swing lows (uptrend) or lower highs and lower lows (downtrend). Defined this way it is a description of what has happened, observable on the chart without an indicator. Whether a trend persists is the empirical question behind trend following, and the answer varies by market and horizon.

Trend followingSystems

Entering in the direction of an established move and holding until it reverses, accepting many small losses for occasional large gains. The oldest systematic approach, with a long documented record in futures and a characteristic profile: low win rate, high payoff ratio, long drawdowns in ranging markets. Its returns depend on trends existing, which is a property of the market, not of the rules.

TrendlineChart reading

A straight line drawn through two or more swing lows in an uptrend or swing highs in a downtrend. It is a hand-drawn hypothesis about the trend's rate, and two analysts drawing on the same chart will produce different lines. That subjectivity is why the course tests trendline claims with rules rather than eyes.

Trianglealso: ascending triangle, descending triangle, symmetrical triangleChart reading

A consolidation bounded by converging trendlines: flat top and rising bottom (ascending), falling top and flat bottom (descending), or both converging (symmetrical). The named varieties come with claimed breakout directions. Measured over many instances, the direction claims are weak; the contraction itself is the reliable part.

TriggerSystems

The specific event that turns a candidate into an entry — true on one bar. Usually built with Cross().

Triple witchingalso: quadruple witching, witching hourTrader jargon

The simultaneous expiration of index futures, index options and stock options on the third Friday of March, June, September and December. Volume is very high, especially into the close, as positions are rolled or unwound. It is a calendar fact worth knowing and not, on the evidence, a tradable pattern.

True rangeIndicators

The largest of three distances: today's high to low, today's high to yesterday's close, and today's low to yesterday's close. It is the bar's range with gaps included, which the plain high–low range ignores. ATR() averages it; there is no separate TrueRange() function in AFL, though ATR( 1 ) returns it.

TurnoverSystems

Close * Volume — the money that changed hands. Money only when Volume is share volume, which is not true for futures, for contracts, or for instruments quoted in cents. A liquidity filter silently measuring the wrong quantity is an efficient way to build a universe you cannot trade.

typeofAFL

An operator that reports the type of a single, unevaluated operand as a string: "undefined", "number", "array", "string", "function", "user function" and a few COM and handle values. The operand must stand alone, with no arithmetic around it. It is the standard way for a formula to test whether a variable exists before using it.

U

Ulcer indexalso: Ulcer Performance Index, UPISystems

The square root of the mean of squared percentage drawdowns over the test — a measure that grows with both the depth and the length of time spent below a peak. The Ulcer Performance Index divides annual return above the risk-free rate by it. Both are in AmiBroker's report, and both penalise the long, grinding drawdowns that max drawdown alone does not.

Underlyingalso: underlying assetOptions

The instrument an option or future is written on: a stock, an index, a futures contract, a currency. Options on stocks settle by delivery of shares; options on indexes settle in cash. The underlying's price, volatility and dividends drive the option's value.

UniverseResearch

The set of instruments a study is run over, and how that list was built. The most under-reported element of almost every published backtest, and the one that most often explains a result.

Up volume and down volumealso: up/down volume ratioBreadth

The total volume of advancing instruments and of declining ones on a day, across a universe. A day on which nine tenths of volume was in decliners is a different day from one with the same index change and an even split. The ratio is an input to the Arms index and to capitulation measures.

User-defined functionAFL

A named block of AFL declared with function (returns a value) or procedure (does not). Every variable it assigns should be declared local, or it escapes into the caller's namespace.

V

ValueWhenAFL

The value an array had the last time a condition was true, carried forward until the next time: ValueWhen( Cross( C, MA( C, 50 ) ), C ) is the price at the most recent crossover, on every subsequent bar. It converts an event into a state, and it is the usual way to remember an entry price or a swing level in array code.

VarianceResearch

The average squared distance of values from their mean; the standard deviation is its square root. Variance adds across independent sources, which is the arithmetic behind diversification. In trading talk, variance also means the run of luck between a strategy's expectation and its realised result.

Variation marginalso: daily settlementFutures

The cash that moves between accounts each day as open futures positions are marked to the settlement price. Gains are credited and can be withdrawn; losses are debited and must be covered. It is why a futures loss is realised every evening whether or not the position is closed, and why open equity is the only equity there is.

VarSet and VarGetalso: VarSet, VarGet, dynamic variablesAFL

Create and read variables whose names are built at run time from strings: VarSet( "ma" + i, MA( C, i ) ) inside a loop makes ma10, ma20 and so on. They exist for code that cannot know its variable names in advance. Unlike static variables they live only for the current execution.

Vectorised thinkingAFL

Expressing a calculation as operations on whole arrays rather than as a loop over bars. Faster in AFL, and — more importantly — it makes the shape of the calculation visible instead of hiding it inside control flow.

VegaOptions

The change in an option's price for a one-point change in implied volatility. Long options have positive vega — they gain when the market prices in more uncertainty, regardless of direction — which is why buying options before an announcement can lose money even when the underlying moves the right way: the volatility that was priced in comes out.

Vertical spreadalso: bull call spread, bear put spread, debit spread, credit spreadOptions

Buying one option and writing another of the same type and expiration at a different strike. It caps both the profit and the loss, reduces the cost and the volatility exposure, and is the basic building block of defined-risk option trading. Named for its direction and whether it is entered for a debit or a credit.

VIXalso: volatility index, fear indexOptions

An index of the implied volatility of S&P 500 options about thirty days out, published by Cboe. It is a price of insurance, quoted as an annualised percentage, and it rises when the market falls because that is when insurance is bought. VIX futures and products on them exist; the spot index itself cannot be traded.

VolatilityIndicators

How large price moves are, by some stated measure. Usually ATR here, expressed as a percentage of price to compare instruments and as a percentile of its own history to compare across time. A description of the recent past, not a prediction of the near future.

Volatility contractionalso: squeeze (volatility), VCPChart reading

A decline in the size of price swings over time, seen as narrowing bands, falling ATR or a tightening range. Volatility clusters: quiet periods tend to be followed by quiet periods and then, eventually, by an expansion. That much is well documented. The direction of the expansion is not part of the pattern.

Volatility skewalso: volatility smileOptions

The pattern of implied volatility across strikes at one expiration. In equity indexes, out-of-the-money puts carry higher implied volatility than calls — the market charges more for crash protection — giving a skew; in currencies the shape is often a symmetrical smile. Skew is a fact about prices, and one of the clearer records of what participants fear.

Volatility-based sizingalso: ATR sizing, volatility targetingRisk

Setting position size inversely to the instrument's recent volatility, usually measured by ATR, so that each position contributes a similar expected daily movement to the portfolio. A quiet stock gets a larger position than a wild one for the same risk. Volatility targeting applies the same idea to the whole portfolio, scaling exposure to hold its volatility near a chosen level.

VolumeMarket structure

The number of shares, contracts or units traded in a period. Besides price it is the main thing a bar records, with open interest stored alongside it for futures and options. Whether it is consolidated across venues or from one exchange, and whether it includes extended hours, are properties of the feed, not of the market. Forex has no true volume at all; what a forex chart shows is tick count or one broker's flow.

Volume profilealso: volume at priceChart reading

A histogram of traded volume at each price level over a period, drawn beside the chart, with the level of most volume called the point of control. It shows where trading was concentrated, which is a fact; the claims that those levels act as support and resistance are hypotheses. AmiBroker's PlotVAPOverlay() draws one. Market Profile is the related construction that counts time at each price rather than volume, and it is not the same distribution.

VWAPalso: volume-weighted average price, anchored VWAPIndicators

The average price of a session's trades weighted by their volume — the price at which the average share actually changed hands. Institutions benchmark fills against it, and intraday traders use it as a reference level. Anchored VWAP starts the calculation from a chosen bar instead of the session open. AFL has no built-in; it is Cum() of price times volume over Cum() of volume, reset at the session.

W

Wait for backfillReal-time

An Analysis window option that makes a scan wait for each symbol's history to finish downloading from the plugin before running on it, so that results are never computed on half-arrived data. Documented as Professional-only. Combined with a trivial formula and Apply to: all symbols, it is the documented way to backfill an entire database.

Walk-forward analysisResearch

Optimise on a window, apply the winner to the next window, roll forward, repeat, and evaluate only the concatenated out-of-sample segments. It tests the process rather than a parameter set — and parameter stability across steps is often more informative than the performance figures.

Walk-forward efficiencyalso: WFESystems

Out-of-sample value of a metric divided by the in-sample value of the same metric across a walk-forward test, often on annualised return. It measures how much of the optimised performance survived contact with unseen data. It is a ranking and a diagnostic rather than a threshold: the ratio is unstable when the in-sample figure is small and meaningless when either figure is negative, so it is read beside the absolute out-of-sample numbers.

Walk-Forward settingsalso: Walk-Forward tabAmiBroker

The Analysis Settings tab that defines a walk-forward run: in-sample and out-of-sample start, end and step, an Anchored checkbox, easy modes for end-of-day and intraday, and the optimization target. The out-of-sample results are stitched into the ~~~OSEQUITY composite so the whole walk can be charted as one equity curve.

Warm-upAFL

The bars at the start of an array where a look-back function cannot yet have a real value. AmiBroker documents this for very few functions: the one official Null warm-up example concerns MA(), and the initialisation rule for Wilder's smoothing — the recursion behind ATR, RSI and the DMI family — is not published at all. Assume nothing, check the left edge of every indicator in the application, and discard a generous margin.

Warning 509AFL

The check that fires when a formula calls TimeFrameSet() or TimeFrameCompress() and never calls TimeFrameExpand() anywhere. It is a presence check on the whole formula, not a per-array one, so expanding a single array silences it while every other compressed array stays misaligned — its absence is not proof the formula is correct. It is one of several numbered warnings — 501 flags = where == was meant — that are worth reading rather than dismissing.

Watch listAmiBroker

A free-membership list of symbols — any symbol can be in any number of them, and there is no limit on how many lists exist. Watch lists are the natural home of a universe: the Analysis window can be applied to one, a formula can test membership with InWatchList(), and a scan's results can be saved into one for the next step of a workflow.

Wedgealso: rising wedge, falling wedgeChart reading

A consolidation between two trendlines that slope in the same direction and converge. Convention says a rising wedge breaks down and a falling wedge breaks up. Like all pattern direction claims, that convention is a hypothesis with a base rate, not a rule.

Weekend gapForex

The difference between Friday's close and Sunday evening's open in a market that has been shut for two days while the world continued. In forex and index futures, a weekend gap can jump straight through a stop. Going flat before the weekend is the traditional defence and has a cost of its own.

Weighted moving averagealso: WMA, linear weighted moving averageIndicators

A moving average in which the most recent bar has weight N, the one before N−1, and so on down to 1; WMA( Close, N ) in AFL. It sits between the simple and exponential averages in responsiveness. AFL also provides DEMA() and TEMA(), double and triple exponential variants built to reduce lag further, with the noise that implies.

WhipsawTrader jargon

A signal that reverses shortly after it fires: a crossover up, a small loss, a crossover down, another small loss. Whipsaws are the tax a trend-following rule pays for eventually catching a trend, and their cost is the reason crossover systems are so sensitive to transaction costs.

Williams %RIndicators

The stochastic %K turned upside down: how far the close is below the highest high of the last N bars, from 0 to −100. It carries no information %K does not, and AFL has no built-in function for it because one is not needed — it is one line of arithmetic on HHV() and LLV().

Win ratealso: percentage of winners, hit rateSystems

The fraction of trades closed at a profit. On its own it says almost nothing: a 90% win rate with small wins and rare large losses can easily be a losing system — at that win rate it is losing as soon as the average loss exceeds nine times the average win, and a 35% win rate is normal for trend following. It only means something alongside the payoff ratio, and the two trade against each other.

Window dressingTrader jargon

Fund managers buying recent winners and selling recent losers near a reporting date so that the disclosed portfolio looks better. The alleged effect on month-end and quarter-end prices is small, contested and often confused with index rebalancing flows that happen on the same days.

Working an orderExecution

Executing a large order gradually over time to limit its own impact on price, by hand or with an execution algorithm. The phrase is a reminder that a fill is a process, not an event, and that the volume a strategy assumes it can trade at the close was also being worked by someone else.

Workspacealso: Workspace window, Symbols paneAmiBroker

The docking panes on the left of AmiBroker's main window: Symbols (the database tree of categories and tickers), Layouts, Layers and Charts (the formula tree). Double-clicking a formula in the Charts tree inserts it as a chart pane. In AmiBroker's own documentation workspace is the older name for the database directory, not for an arrangement of windows; that arrangement is a Layout.

WriteIfAFL

The string conditional: WriteIf( condition, textIfTrue, textIfFalse ) returns one string based on the condition's value at the selected bar. It exists because IIf() works on numbers. Used in chart titles and Commentary, where a formula explains its own state in words.

Z

Z-scorealso: standard scoreResearch

How many standard deviations a value sits from its mean: (value − mean) / standard deviation over a window. It normalises anything — a price, an indicator, a spread — so that thresholds mean the same across instruments and time. Mean-reversion rules are usually written on a z-score, and pairs trading lives on one.

Sources for this lesson

2 verified · checked 2026-08-31

01AmiBroker User's Guideamibroker.com/guide2026-08-31
02AmiBroker AFL Function Referenceamibroker.com/guide/a_funref.html2026-08-31

Every technical claim on this page was checked against the official AmiBroker documentation on the date shown. Where the course disagrees with folklore, the source is how you can tell which one to trust.