Glossary
40+ trading and statistical terms defined.
B
Backwardation
When near-term futures or volatility contracts trade higher than longer-dated ones, signaling stress or hedging demand.
On Curistat: VIX Term Structure signal
BOCD (Bayesian Online Change Detection)
Statistical method that detects regime changes in real time by computing the probability that the current data point comes from a new distribution.
On Curistat: Methodology
C
CESI (Curistat Event Surprise Index)
Proprietary index measuring how much economic data deviated from consensus expectations, scaled 0-100.
On Curistat: Event impact pages
Contango
Normal term structure where longer-dated contracts trade above near-term ones, reflecting time value and carry cost.
On Curistat: VIX Term Structure signal
CRC (Curistat Regime Composite)
Ensemble score (0-100) fusing five statistical models to identify the current volatility regime.
On Curistat: Dashboard, regime page
CTA (Commodity Trading Advisor)
Systematic fund that trades futures using trend-following and momentum strategies. Their aggregate positioning can move markets.
On Curistat: CTA Positioning signal
CTI (Curistat Tradeability Index)
Score (0-100) indicating how favorable conditions are for active trading based on volatility, regime clarity, and events.
On Curistat: Dashboard
D
Delta
Net buying vs selling pressure. Positive delta = more aggressive buying. Negative delta = more aggressive selling.
On Curistat: Market structure analysis
Drawdown
Peak-to-trough decline in account equity, usually expressed as a percentage.
On Curistat: Simulator, recovery tool
E
ETH (Extended Trading Hours)
The overnight futures session from 6:00 PM to 9:30 AM ET. Lower volume but can set key levels for RTH.
On Curistat: ETH Range, ETH S/R signals
Expected Value
The average outcome of a trade over many repetitions: (Win Rate x Avg Win) - (Loss Rate x Avg Loss).
On Curistat: Simulator results
F
Fat Tails
Statistical distribution property where extreme events occur more often than a normal distribution predicts. Common in financial returns.
On Curistat: Methodology
G
GEX (Gamma Exposure)
Net gamma exposure of market makers across all options strikes. Positive GEX = market makers dampen moves. Negative GEX = they amplify moves.
On Curistat: Planned feature
H
Hurst Exponent
Measure of long-term memory in a time series. H > 0.5 = trending. H < 0.5 = mean-reverting. H = 0.5 = random walk.
On Curistat: Methodology
I
IBS (Internal Bar Strength)
Where price closed relative to its daily range: (Close-Low)/(High-Low). Values near 0 = closed at the low, near 1 = closed at the high.
On Curistat: IBS signal
Implied Volatility
The market's forecast of future volatility, derived from option prices. Higher IV = more expected movement.
On Curistat: VIX-based signals
K
Kelly Criterion
Formula for optimal bet sizing: f* = (bp - q) / b, where b = odds, p = win probability, q = loss probability.
On Curistat: Kelly calculator
L
LPI (Liquidity Pulse Index)
Real-time liquidity score (0-100) based on bid-ask spreads, depth, and volume patterns.
On Curistat: Dashboard
M
Max Drawdown
The largest peak-to-trough decline in account equity during a specific period. Key risk metric for prop firms.
On Curistat: Simulator, prop firm rules
Mean Reversion
Tendency for prices to return to their average after moving to extremes. Basis for many short-term trading strategies.
On Curistat: Directional signals
Momentum
The tendency for assets that have been rising to continue rising, and falling assets to continue falling, over intermediate timeframes.
On Curistat: CTA Positioning signal
Monte Carlo Simulation
Running thousands of randomized scenarios to estimate probability distributions of outcomes like drawdown and ruin.
On Curistat: Prop Firm Simulator
O
OPEX (Options Expiration)
The date when options contracts expire. Can cause unusual volume and volatility, especially on monthly and quarterly dates.
On Curistat: Event calendar
P
POC (Point of Control)
The price level where the most volume traded during a session. Acts as a magnet for price.
On Curistat: Value Area signal
Profit Factor
Total gross profit divided by total gross loss. Above 1.0 = profitable system. Above 2.0 = strong edge.
On Curistat: Backtest results
R
Realized Volatility
Actual measured volatility of an asset over a past period, as opposed to implied (forward-looking) volatility.
On Curistat: Forecast model
Regime
A distinct market state characterized by specific volatility, trend, and correlation patterns. Markets alternate between regimes.
On Curistat: CRC, regime page
Risk of Ruin
Probability of losing enough capital to be unable to continue trading. Depends on win rate, payoff ratio, and bet size.
On Curistat: Simulator results
RTH (Regular Trading Hours)
The main US equity futures session from 9:30 AM to 4:00 PM ET. Highest volume and most institutional participation.
On Curistat: Throughout platform
S
SampEn (Sample Entropy)
Measure of complexity and regularity in a time series. Higher = more random/complex. Lower = more predictable.
On Curistat: Methodology
SKEW
CBOE SKEW Index measuring tail risk priced into S&P 500 options. Higher values = market pricing more crash risk.
On Curistat: Dashboard, model features
T
Term Structure
The relationship between prices or yields across different time horizons. In volatility, the curve of VIX across 9-day, 30-day, and 3-month windows.
On Curistat: VIX Term Structure signal
V
Value Area
The price range containing 70% of a session's volume. Prices outside the Value Area tend to return to it.
On Curistat: Value Area signal
VIX
CBOE Volatility Index measuring 30-day implied volatility of S&P 500 options. The market's primary fear gauge.
On Curistat: Throughout platform
VIX3M
3-month VIX. Compared to VIX to determine term structure (contango vs backwardation).
On Curistat: VIX Term Structure signal
VIX9D
9-day VIX. Reflects very short-term implied volatility expectations, useful for detecting imminent events.
On Curistat: Model features
Volatility Clustering
The tendency for large price moves to be followed by large moves, and small moves by small moves. A key property of financial markets.
On Curistat: Methodology
Volatility Rating
Daily volatility rating from 1 (calm) to 10 (extreme) based on 57 features.
On Curistat: Dashboard, forecast
VPIN (Volume-Synchronized Probability of Informed Trading)
Estimates the probability that current trading volume is driven by informed traders. High VPIN precedes large moves.
On Curistat: Methodology
VPOC (Volume Point of Control)
Same as POC but specifically referencing volume profile analysis. The price with the highest traded volume.
On Curistat: Value Area signal
VVIX
Volatility of VIX. Measures how much VIX itself is expected to move. High VVIX = uncertain volatility regime.
On Curistat: Model features
W
Win Rate
Percentage of trades that are profitable. Important but must be paired with risk/reward ratio for a complete picture.
On Curistat: Simulator, backtest