Trend Following with Managed Futures

GLOSSARY

adaptation

an evolutionary process whereby a species, or group of market participants, is able to adapt to changes in the market environment.

adaptive markets hypothesis (AMH)

an approach to understanding how markets evolve, how opportunities occur, and how market players succeed or fail based on principles of evolutionary biology.

allocated dollar risk

the amount of dollar risk allocated to a particular futures market.

alpha decay

the speed at which performance degrades as you delay execution.

average holding period

the average amount of time a trade is held.

average PnL ratio

the ratio of wins and losses in the PnL ratio. This is a measure of the magnitude of wins, not simply the rate of wins.

average sector allocations

the average amount of capital allocated to a particular sector.

average trading range (ATR)

an average of the trading range over a given window of time.

average winning trade rate

the average overwinning trade rates.

backwardation

the opposite of contango where the futures price is below the expected spot price. In this situation, hedgers are willing to sell for prices below the expected spot prices.

bond crisis alpha

the return difference between an original return series and the return series with the monthly returns during crisis periods replaced by the risk-free rate. Crisis periods are defined by losses in a fixed income benchmark.

breakout strategy

takes a position when the price breaks out of a range of values, often called the resistance and ...