Glossary
The technical, fundamental, and quantitative analysis terms used across the QuantMix apps, explained clearly.
Terms
ATR (Average True Range)
An indicator that measures a security's average volatility by calculating the typical range of price swings over a given period. High values signal nervous markets; it is often used to size stop losses and risk barriers in proportion to the price movement.
Backtest
A simulation of a trading strategy on historical data, used to estimate how it would have performed in the past. It is useful for evaluating an idea before risking capital on it, but past results do not guarantee future ones and should be read with caution.
Barrier (certificates)
A price level of the underlying that, if breached, alters the return or the protection of a structured certificate. As long as the underlying stays above the barrier, capital and coupons are generally protected; the "distance from the barrier" indicates how much safety margin is left.
Bollinger Bands
Three lines plotted around the price: a central moving average and two bands placed at a certain statistical distance (standard deviation). They widen when volatility rises and narrow when it falls; a price touching an outer band indicates a potentially extended condition.
Cash Collect certificate
A structured certificate that pays periodic coupons if the underlying stays above a certain level, with the possibility of early redemption (autocall). It is designed to generate income flows conditional on the performance of the underlying, within the limits defined by the barrier.
COT report
The Commitments of Traders is a public report from the U.S. regulator (CFTC) that shows how large operators are positioned in the futures markets. Heavily skewed positioning can signal sentiment extremes, useful from a contrarian standpoint.
DCF (Discounted Cash Flow)
A valuation model that estimates the value of a company by discounting its expected future cash flows at a rate that reflects risk. It is one of the 8 models used to compute fair value and tends to reward strength and growth in cash flows.
Drawdown
The maximum loss suffered by an investment or a strategy, measured from the highest peak to the subsequent lowest point. It indicates how much one must be willing to endure during negative periods and is a key measure of risk.
Fair value
An estimate of the "fair" value of a security based on its fundamentals, distinct from the market price. By comparing fair value and price you can identify potentially undervalued or overvalued securities; QuantMix computes it by combining 8 models and three estimation profiles.
Funding rate
A periodic payment exchanged between longs and shorts in crypto perpetual futures contracts, which keeps the derivative's price close to the spot price. A very positive or negative funding signals an excess of positioning in one direction.
Hurst exponent
A statistical measure that indicates whether a price series tends to continue in the same direction (trend, values above 0.5) or to revert toward a mean (mean reversion, values below 0.5). It helps to understand which type of strategy is best suited to the current market regime.
Ichimoku
A technical analysis system that combines several lines and a "cloud" (kumo) to visualize trend, support, resistance, and momentum at a single glance. The position of the price relative to the cloud indicates the strength and direction of the trend.
M2
A monetary aggregate that measures the amount of money in circulation in a broad sense, including cash, deposits, and liquid instruments. Its growth or contraction is tracked as a macro indicator of liquidity conditions in the economy.
MACD
A momentum indicator built on the difference between two exponential moving averages, accompanied by a signal line and a histogram. Crossovers between the two lines and the move above or below zero help to identify trend changes.
Monte Carlo simulation
A technique that generates thousands of possible future price scenarios, based on volatility and statistical assumptions, to estimate the probability of different outcomes. In certificates it helps to assess the probabilities of touching the barrier or of collecting the coupons.
Moving average (SMA / EMA)
An average of prices computed over a number of periods, used to filter out noise and read the underlying trend. The SMA weights all periods equally, whereas the EMA gives more weight to recent data, reacting more quickly.
Net liquidity
An estimate of the net liquidity injected or absorbed by the central bank, computed by combining balance-sheet items such as the Fed's balance sheet net of the Treasury account and reverse repo operations. It is tracked because changes in liquidity tend to influence risk assets.
Open interest
The total number of futures or options contracts that are open and not yet closed at a given moment. A rising open interest accompanied by the price movement confirms the inflow of new capital into the trend.
Payoff
The representation of how much a financial instrument returns as a function of the underlying's price at maturity. In certificates, the payoff profile graphically shows coupons, protections, and potential losses depending on the market scenarios.
P/E ratio
The price/earnings ratio relates the price of a stock to its earnings per share and indicates how much the market is willing to pay for each euro of profit. A high P/E reflects growth expectations, while a low one may signal a discounted or struggling security.
RSI (Relative Strength Index)
An oscillator that measures the strength and speed of price movements on a scale from 0 to 100. Values above 70 indicate an overbought condition, below 30 an oversold one, signaling possible excesses.
Sharpe ratio
Measures the return of an investment relative to the risk taken, that is, how much excess return is obtained for each unit of volatility. Higher values indicate a better trade-off between expected gain and the swings endured.
Volume Profile
A representation of the volume traded at different price levels, rather than over time. It highlights the areas where trading was concentrated (POC, value area), often useful as support and resistance zones.
VWAP (Volume Weighted Average Price)
The average trading price weighted by the volumes traded over a certain time span. It is a reference used to understand whether trades take place above or below the "average" price and to assess the quality of an execution.
Want to see these concepts in action
All the terms in this glossary are used across the platform's apps: indicators, fair value, and signals in the Trading Terminal, payoff, barrier, and Monte Carlo simulations in the Certificate Analyzer. For an introductory walkthrough, see the guide.
The data, analyses, and simulations are for informational and educational purposes only and do not constitute financial advice. For further clarifications write to [email protected] or visit the contact page.