Properties
Below is the list of available properties with a brief description, divided according to the application in which they can be found.
General
| Ask | Best selling offer for the asset | ||
| Ask Size | Available quantity of the asset at the Ask price | ||
| Avg. Price | Average price of the asset | ||
| Bars Count | Number of historical data bars at the selected timeframe requests to the broker | ||
| Bid | Best purchase offer for the asset | ||
| Bid Size | Available quantity of the asset at the Bid price | ||
| Category | Asset type as set in Symbol Manager | ||
| Chart | Asset trades Minichart | ||
| Currency | Asset currency as set in Symbol Manager | ||
| Datafeed | Broker to which the asset is connected | ||
| Expiry | Asset expiry date | ||
| Historical Bars | Number of historical data bars used | ||
| Last | Last traded asset price | ||
| Lot Size | Number of units of underlying asset (derivative) | ||
| Markets | Asset exchange as set in Symbol Manager | ||
| Notes | Notes, this field is editable | ||
| Point Value | The monetary value represented by a full point of price movement (derivative) | ||
| Profit / Loss | Current asset profit/loss | ||
| Quantity | Asset portfolio quantity | ||
| Right | Interactive Brokers only, series of option | ||
| Range Bars | This feature requires a specific permission on user's account. See the Range Bars page of the user's guide | ||
| Range Bars % | Change percentage per single block, this field is editable | ||
| R.B. Swings | Total number of variations | ||
| R.B. Up | Total number of green blocks | ||
| R.B. Down | Total number of red blocks | ||
| R.B. Max Up | Max. number of consecutive green blocks | ||
| R.B. Max Down | Max. number of consecutive red blocks | ||
| R.B. Pattern | Current asset pattern. Can be Long, Short or empty | ||
| Sector | Asset economic sector | ||
| Stop Loss | Stop Loss value set by the user | ||
| Strike | Interactive Brokers only, option strike | ||
| Symbol | Symbol of the asset for connection to the broker | ||
| Take Profit | Take Profit value set by the user | ||
| Time | Date and time of the last trade | ||
| Timeframe | Currently used timeframe | ||
| Trailing Stop Amount | Trailing Stop Amount value set by the user. Represents the minimum Profit/Loss amount required to start the Trailing Stop exit to flat the asset position | ||
| Trailing Stop Risk | Trailing Stop Risk value set by the user. Represents a percentage of the Profit/Loss. After the Trailing Stop Amount has been reached, when the current Profit/Loss declines more than the specified Trailing Stop Risk percentage, the asset portfolio position will be closed. | ||
| Trade Volume | Quantity of the last trade | ||
| Daily Volume | Cumulative quantity traded during the day |
Options Strategy & Portfolio
| % Downside Break-Even | Option downside break-even distance, in percentage of underlying price | |
| % Upside Break-Even | Option upside break-even distance, in percentage of underlying price | |
| % Working Area | Sum of % Downside Break-Even and % Upside Break-Even when both are available | |
| Annualized Premium % | Only for Future assets. Represents the implicit cost of a one year future contract, in percentage. Equals to 100 * ((Future Price / Underlying Price) - 1) / Time to Expiry | |
| Ask | Best selling offer for the asset | |
| Ask Size | Available quantity of the asset at the Ask price | |
| Ask Status | Ask real-time data status (green if a real-time price has just been received, red if a sizeable amount of time has elapsed since the last real-time price has been received) | |
| Ask Tick Count | Number of Ask real-time data received | |
| Ask Time Time | Time of last real-time data received for Ask price (in numeric format, as HHMM, thus 9:15 AM is displayed as 0915) | |
| At Expiry | Strategy payoff value calculated at expiry date and at the current underlying price | |
| At Now | Strategy Profit/Loss, equal to Realized + Un-Realized - Broker Costs | |
| At Now % | Ratio between At Now and Max Profit, in percentage | |
| At Now % on Max Risk | Ratio between At Now and Max Risk, in percentage | |
| At Now + Un-Accounted | Strategy Profit/Loss, equal to Realized + Un-Realized - Broker Costs + user's defined Un-Accounted | |
| Avg. Price | Average price of the asset | |
| Bid | Best purchase offer for the asset | |
| Bid Size | Available quantity of the asset at the Bid price | |
| Bid Status | Bid real-time data status (green if a real-time price has just been received, red if a sizeable amount of time has elapsed since the last real-time price has been received) | |
| Bid Tick Count | Number of Bid real-time data received | |
| Bid Tick Time | Time of last real-time data received for Bid price (in numeric format, as HHMM, thus 9:15 AM is displayed as 0915) | |
| Break-Even % | Option or Strategy Break-Even distance, in percentage of underlying price | |
| Break-Even Point | Option or Strategy Break-Even underlying price | |
| Broker Costs | Sum of trades broker costs for the asset or the strategy | |
| Broker Costs (Options) | Sum of trades broker costs for the asset or the strategy, for options only | |
| Broker Costs (Underlying) | Sum of trades broker costs for the asset or the strategy, for underlyings only | |
| Category | Underlying asset category | |
| Charm | Second order greek, measures the option Delta change relative to a 1-day time change | |
| Color | Third order greek, measures the option Gamma change relative to a 1-day time change | |
| Commitment | Position Commitment as a monetary value, equal to Underlying Price * Lot Size * Point Value * Quantity * Delta | |
| Connected | Yes or No, indicates if real-time prices connection to broker is enabled | |
| Contract Average Amount | Average Amount for 1 contract, equal to Bid/Ask Average * Lot Size * Point Value | |
| Contract Charm | Contract Charm as a monetary value, equal to Charm * Point Value * Lot Size | |
| Contract Color | Contract Color as a monetary value, equal to Color * Point Value * Lot Size | |
| Contract Delta | Contract Delta as a monetary value, equal to Delta * Point Value * Lot Size | |
| Contract Exercise Value | Exercise Amount fo 1 contract, equal to Strike * Point Value * Lot Size | |
| Contract Gamma | Contract Gamma as a monetary value, equal to Gamma * Point Value * Lot Size | |
| Contract Intrinsic Value | Intrinsic value of the option's contract, equal to Intrinsic Value * Lot Size * Point Value | |
| Contract Rho | Contract Rho as a monetary value, equal to Rho * Point Value * Lot Size | |
| Contract Speed | Contract Speed as a monetary value, equal to Speed * Point Value * Lot Size | |
| Contract Theta | Contract Theta as a monetary value, equal to Theta * Point Value * Lot Size | |
| Contract Time Value | Contract Time Value as a monetary value, equal to Time Value * Point Value * Lot Size | |
| Contract Ultima | Contract Ultima as a monetary value, equal to Ultima * Point Value * Lot Size | |
| Contract Vanna | Contract Vanna as a monetary value, equal to Vanna * Point Value * Lot Size | |
| Contract Vega | Contract Vega as a monetary value, equal to Vega * Point Value * Lot Size | |
| Contract Veta | Contract Veta as a monetary value, equal to Veta * Point Value * Lot Size | |
| Contract Vomma | Contract Vomma as a monetary value, equal to Vomma * Point Value * Lot Size | |
| Contract Zomma | Contract Zomma as a monetary value, equal to Zomma * Point Value * Lot Size | |
| Correction Type | Indicates if the trade has been generated as an Hedging correction | |
| Credit | Total position sold premium | |
| Current Time | Current time (in numeric format, as HHMM, thus 9:15 AM is displayed as 0915) | |
| Daily Change | Daily price change, equal to Last - Yesterday's Close | |
| Daily Change % | Daily price change in percent, equal to ((Last - Yesterday's Close) * 100) / Yesterday's Close | |
| Datafeed | Broker to which the asset is connected | |
| Datafeed Order ID | Real-Market order unique identification code, assigned by the broker | |
| Days To Expiry | Days until asset or strategy expiry | |
| Days To First Expiry | Days until first strategy expiry | |
| Debit | Total position bought premium | |
| Debit/Credit | Total position market premium, positive if premium is sold, negative if premium is bought | |
| Delta | First order greek, measures the option premium change relative to a 1 point change of underlying price | |
| Delta 1% | Similar to Delta, measures the option premium change relative to a 1% change of underlying price | |
| Delta (Options) | Strategy Delta relative to option contracts only | |
| Delta (Underlying) | Strategy Delta relative to underlying contracts only | |
| Delta Debit/Credit Ratio | Ratio between Delta and Debit/Credit | |
| Delta To Protect | Amount of underlying to buy or sell in order to perform a Delta Hedging correction, based on current hedging settings | |
| Downside Break-Even | Option downside break-even underlying price | |
| Elapsed Days | Days elapsed since first trade in strategy | |
| Elasticity | Option property, equal to (Delta * Underlying Price * Option Bid Price) / (Option Ask Price * 2) | |
| ETF Ratio | ETF to underlying Weight ratio. In many cases ETFs have prices directly related to their own underlying price. In these cases the ETF Weight ratio represents the ratio between underlying price and ETF price. | |
| Expectancy | Statistical measure derived from probabilities theory, equal to (Win% * AvgWin) - (Loss% * AvgLoss), the higher the better. To obtain an Expectancy value it is necessary to have at least one trade with positive Realized and one with negative Realized. |
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| Expected Profit | Strategy expected profit, calculated at first strategy expiry, as average of Profit/Loss results of the Montecarlo simulation | |
| Expected Profit/Risk Ratio | Ratio between Expected Profit and Max Risk | |
| Expiries Date | Expiry dates of strategy assets | |
| Expiry | Asset expiry date | |
| Filled Date/Time | Trade filled Date and Time (Paper Trading or Real Market) | |
| Filled Price | Trade filled asset price (Paper Trading or Real Market) | |
| Filled Quantity | Trade filled quantity (Paper Trading or Real Market) | |
| Filled Type | Trade filled type, Paper Trading or Real Market | |
| Future Constant | For Futures contracts, indicates the relation between a future price and it's underlying price. At higher values corresponds higher differences between future and underlying prices. | |
| Future Options | Indicates if the option contract has a future as it's underlying | |
| Gamma | Second order greek, measures the option Delta change relative to a 1 point change of underlying price | |
| Gamma 1% | Similar to Gamma, measures the option Delta change relative to a 1% change of underlying price | |
| Hedge Min. Quantity | Minimum hedging quantity required before a new hedge order can be generated on the asset | |
| Hedge Order Direction | Orders directions available for the asset, can be Only Long, Only Short, or Long and Short | |
| Hedge Price Type | Type of orders generated by hedging | |
| Hedge Priority | Asset priority in hedging calculation, can be Macro or Fine | |
| Hedge Quantity | Quantity to buy/sell in order to neutralize Portfolio Delta | |
| Hedge Smart Move | Flag indicating if Smart Move is enabled for hedging orders | |
| Hedge Smart Move Amount | If Hedge Smart Move is enabled, indicates by how many ticks the order price will be changed each time the Smart Move interval expires | |
| Hedge Smart Move Time | If Hedge Smart Move is enabled, indicates the Smart Move interval, in seconds, before order price is changed | |
| Hedging Enabled | Flag indicating if Hedging is enabled or disabled | |
| Hedging Weight % | When hedging is performed using many assets at the same time, indicates each asset weight in percentage | |
| Hist Volatility % | Volatility on underlying historical data, calculated on 75 periods, annualized with 365 bars, with 2 standard deviations | |
| Hist. Standard Deviation | Standard deviation on underlying historical data. Can be used as an estimation of the average daily price change. |
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| Impl. Volatility % | Option implied volatility | |
| In session | Indicates if the asset is currently in a regular trading session, based on settings from Symbol Manager | |
| Intrinsic Value | Intrinsic value of the option, equal to average Price - Time Value | |
| Kelly Bet Fraction | Statistical measure derived from probabilities theory, used to determine optimal investment size, in percentage | |
| Last | Last traded asset price | |
| Last Size | Quantity traded at the Last price | |
| Last Status | Last price real-time data status (green if a real-time price has just been received, red if a sizeable amount of time has elapsed since the last real-time price has been received) | |
| Last Tick Count | Number of Last price real-time data received | |
| Last Tick Time | Time of last real-time data received for Last price (in numeric format, as HHMM, thus 9:15 AM is displayed as 0915) | |
| Lot Size | Number of units of underlying asset (derivative) | |
| Main Underlying | Strategy main underlying name | |
| Main Underlying DataFeed | Strategy main underlying broker | |
| Mark To Market | Amount required to flat current open position on the asset, positive if it's an income, negative if it's an outcome | |
| Market Pressure | Ratio between best Bid Size and best Ask Size | |
| Markets | Asset exchange as set in Symbol Manager | |
| Max Profit | Strategy Max. Profit amount. If the calculation is not possible (infinite) the Montecarlo calculation is used | |
| Max Profit Debit/Credit Ratio | Ratio between Max Profit and Debit/Credit | |
| Max Profit Montecarlo | Strategy Max. Profit amount calculated via a Montecarlo Simulation of underlying price up until strategy expiry with current underlying standard deviation and estimation of average daily price change | |
| Max Profit/Risk Ratio | Ratio between Max Profit and Max Risk | |
| Max Risk | Strategy Max. Risk amount. If the calculation is not possible (infinite) the Montecarlo calculation is used | |
| Max Risk Montecarlo | Strategy Max. Risk amount calculated via a Montecarlo simulation of underlying price up until strategy expiry with current underlying standard deviation and estimation of average daily price change | |
| Min. Tick | Minimum asset price change | |
| Moneyness | Option moneyness relative to underlying price, can be ATM, OTM or ITM | |
| Multiplier | Contract Multiplier, equal to Point Value * Lot Size | |
| Naked Margin (Adjusted) | Represents the required margin amount of the portfolio or strategy, adjusted by the user via Naked Margin Adj. % | |
| Naked Margin (Theoretical) | Rapresents the theoretical required marging amount of the portfolio or strategy, not counting long positions | |
| Naked Margin Adj. % | Represents the adjustment, in percentage, applied to theoretical margin in order to compensate for differences with real broker margin. This value can be set by the user | |
| Name | Asset, strategy or portfolio name | |
| Notional Delta | Similar to Portfolio Delta, calculated in different ways based on underlying asset type. It's a measure of the position or strategy Delta exposure/risk | |
| Notional Exposure | Amount required in case of option exercise, equal to Quantity * Strike * Point Value * Lot Size | |
| Num. Futures | Number of different future contracts in the strategy | |
| Num. Options | Number of different option contracts in the strategy | |
| Num. Trades | Number of trades | |
| Odds | Statistical measure derived from probabilities theory, equal to the ratio beetween profit and risk probabilities, the higher the better | |
| Order Source | Order or Trade source, can beManual, Automatic, Hedging, Planning or Settlement | |
| P/L Price Type | Type of asset price used to calculate Profit/Loss. User can edit this value for a single asset or for the entire strategy | |
| Paper Trading Average Price | Average price of the asset, counting only Paper Trading trades | |
| Paper Trading Quantity | Asset portfolio quantity, counting only Paper Trading trades | |
| Paper Trading Realized | Realized Profit/Loss amount, counting only Paper Trading trades | |
| Point Value | The monetary value represented by a full point of price movement (derivative) | |
| Position Charm | Position Charm as a monetary value, equal to Quantity * Charm * Point Value * Lot Size | |
| Position Color | Position Color as a monetary value, equal to Quantity * Color * Point Value * Lot Size | |
| Position Delta | Position Delta, equal to Delta * Quantity * Lot Size * Point Value | |
| Position Gamma | Position Gamma, equal to Gamma * Quantity * Lot Size * Point Value | |
| Position Intrinsic Value | Open position Intrinsic value, equal to Intrinsic Value * Quantity * Lot Size * Point Value | |
| Position Multiplier | Position Multiplier, equal to Quantity * Point Value * Lot Size | |
| Position Rho | Position Rho, equal to Rho * Quantity * Lot Size * Point Value | |
| Position Speed | Position Speed, equal to Speed * Quantity * Lot Size * Point Value | |
| Position Theta | Position Theta, equal to Theta * Quantity * Lot Size * Point Value | |
| Position Time Value | Position Time Value, equal to Time Value * Quantity * Lot Size * Point Value | |
| Position Ultima | Position Ultima, equal to Ultima * Quantity * Lot Size * Point Value | |
| Position Vanna | Position Vanna, equal to Vanna * Quantity * Lot Size * Point Value | |
| Position Vega | Position Vega, equal to Vega * Quantity * Lot Size * Point Value | |
| Position Veta | Position Veta, equal to Veta * Quantity * Lot Size * Point Value | |
| Position Vomma | Position Vomma, equal to Vomma * Quantity * Lot Size * Point Value | |
| Position Zomma | Position Zomma, equal to Zomma * Quantity * Lot Size * Point Value | |
| Profit Probability | Statistical measure derived from Montecarlo simulation, represents the probability the strategy will expire with a profit. At higher values correspond an higher probability of profit | |
| Quantity | Asset portfolio quantity | |
| Real Market Average Price | Average price of the asset, counting only Real Market trades | |
| Real Market Quanaity | Asset portfolio quantity, counting only Real Market trades | |
| Real Market Realized | Realized Profit/Loss amount, counting only Real Market trades | |
| Realized | Realized Profit/Loss amount | |
| Realized (Delta) | Component of the Realized Profit/Loss amount relative to the Delta variations | |
| Realized (Gamma) | Component of the Realized Profit/Loss amount relative to the Gamma variations | |
| Realized (Options) | Realized Profit/Loss amount, relative to options contracts only | |
| Realized (Rho) | Component of the Realized Profit/Loss amount relative to the Rho variations | |
| Realized (Theta) | Component of the Realized Profit/Loss amount relative to the Theta variations | |
| Realized (Underlying) | Realized Profit/Loss amount, relative to underlying contracts only | |
| Realized (Vega) | Component of the Realized Profit/Loss amount relative to the Vega variations | |
| Realized Dividends | Realized dividends amount | |
| Residual Value | Residual premium amount at option expiry, positive for a short position, negative for a long position | |
| Return Rate At Expity | Return rate at first strategy expiry, equal to (Expectd Profit / Max Risk) * (365 / Days to Expiry) * 100 | |
| Rho | First order greek, measures the option premium change relative to a 1 point change of risk-free interest rate | |
| Rho 1% | Similar to Rho, measures the option premium change relative to a 1% change of risk-free interest rate | |
| Risk-Free Rate | Risk-Free interest rate, used in options theoretical values and in Put/Call Parity | |
| ROI % | Return on Investment, in percentage, for an option contract. Calculated as the ratio between Time Value and Strike. Time Value is calculated using Bid/Ask average price | |
| Sector | Asset economic sector, as set inSymbol Manager | |
| Security Type | Asset type: Underlying, Future, Call or Put | |
| Simpled Annualized ROI % | Annualized Return on Investment, in percentage, equal to ((1 + ROI) * (365 / Days to Expiry) - 1) | |
| Speed | Third order greek, measures the option Gamma change relative to a point change in the underlying price | |
| Spread | Difference between Bid and Ask price | |
| Spread % | Difference between Bid and Ask price, in percentage | |
| Status Color | Real-time data status (green if a real-time price has just been received, red if a sizeable amount of time has elapsed since the last real-time price has been received) | |
| Strike | Option strike | |
| Strike/Underlying Ratio | Ratio between option Strike and underlying price | |
| Symbol | Symbol of the asset for connection to the broker | |
| Symbol Type | Asset type, can be Index, Stock, Future, ETF, CALL or PUT | |
| Synthetic Profit | Statistical value that, based on the days to maturity, provides the possible profit calculated at the maximum plausible distance from the current price of the underlying, using the standard deviation as an estimate of the average daily price change | |
| Theoretical Dividends | Theoretical dividends per share, calculated from difference between future and underlying prices | |
| Theoretical Index | Theoretical index price, calculated from current future price and discounting theoretical dividends | |
| Theoretical Volatility % | Theoretical option implied volatility, calculated from last acquired volatility surface for the option underlying | |
| Theta | First order greek, measures the option price change relative to a 1-day time to expiry change | |
| Theta 1% | Similar to Theta, measures the option price change relative to a 1% change in time to expiration | |
| Thresholds (OFF Level) | Underlying price de-activating asset hedging threshold (only when hedging is enabled) | |
| Thresholds (ON Level) | Underlying price activating asset hedging threshold (only when hedging is enabled) | |
| Thresholds Status | Indicates if hedging threshold for the asset has been activated (only when hedging is enabled) | |
| Time Value | Component of the option premium relative to time to expiry and volatility, equal to the difference between option premium and strike. It's always a non-negative value | |
| Total Amount | Total position market premium, positive if premium is sold, negative if premium is bought | |
| Total Amout | Total position amount, positive if sold, negative if bought | |
| Total To Hedge | Total amount required to complete hedging pre-calculated trades | |
| Ultima | Third order greek, measures the option Vomma change relative to a 1 point change of option implied volatility | |
| Un-Accounted | Amount removed from strategy by the user | |
| Un-Realized | Un-Realized Profit/Loss amount | |
| Un-Realized (Delta) | Component of the Un-Realized Profit/Loss amount relative to the Delta variations | |
| Un-Realized (Gamma) | Component of the Un-Realized Profit/Loss amount relative to the Gamma variations | |
| Un-Realized (Options) | Un-Realized Profit/Loss amount, relative to option contracts only | |
| Un-Realized (Rho) | Component of the Un-Realized Profit/Loss amount relative to the Rho variations | |
| Un-Realized (Theta) | Component of the Un-Realized Profit/Loss amount relative to the Theta variations | |
| Un-Realized (Underlying) | Un-Realized Profit/Loss amount, relative to underlying contracts only | |
| Un-Realized (Vega) | Component of the Un-Realized Profit/Loss amount relative to the Vega variations | |
| Underlying | Future or option underlying contract | |
| Underlying Price | Future or option underlying contract price | |
| Underlying Settlement Price | Option underlying contract Settlement price set by the user at option expiry | |
| Upside Break-Even | Option upside break-even underlying price | |
| Used To Hedge | Indicates if the asset is used as an hedging financial instrument | |
| Value At Risk | Synthetic Risk amount, calculated from underlying historical volatility and days to expiration | |
| Vanna | Second order greek, measures the option Vega change relative to a 1 point change in underlying price, or equivalently, the option Delta change relative to a 1 change in option implied volatility | |
| Vega | First order greek, measures the option premium change relative to a 1 point change in option implied volatility | |
| Vega 1% | Similar to Vega, measures the option premium change relative to a 1% change in option implied volatility | |
| Veta | Second order greek, measures the option Vega change relative to a 1-day change in time to expiry | |
| Vomma | Second order greek, measures the option Vega change relative to a 1 point change in option implied volatility | |
| Working Area | When both Downside Break-Even and Upside Break-Even are defined, the Working Area represents the distance between the break-even points, equal to Upside Break-Even - Downside Break-Even | |
| Yearly Price | Annualized option price | |
| Zomma | Third order greek, measures the option Gamma change relative to a 1 point change in option implied volatility |
OverSpread
| Asset A Indexed Price | Indexed value of the asset A. The first value of the asset A is set to 100%, all subsequent values are calculated starting from this value | ||
| Asset A Last Bar Time | Last bar of the Asset A on which the calculations are made, must coincide with Asset B Last Bar Time | ||
| Asset A Last Price | Last price of Asset A | ||
| Asset A Start Date | First useful date of historical data of Asset A | ||
| Asset A UnRealized P/L % | is the Un-Realized Profit/Loss on Asset A open position, in percentage of the investment amount | ||
| Asset A Weight | Weight of the symbols to match the pair. The value of 1 unit is assigned to the asset with the least weight. It takes into account the point value and the price difference | ||
| Asset A Z-Score Last Value | Last value of the Z-Score of Asset A | ||
| Asset B Indexed Price | Indexed value of the Asset B. The first value of the Asset B is set to 100%, all subsequent values are calculated starting from this value | ||
| Asset B Last Bar Time | Last bar of the Asset B on which the calculations are made, must coincide with Asset A Last Bar Time | ||
| Asset B Last Price | Last price of the Asset B | ||
| Asset B Start Date | First useful date of historical data of the Asset B | ||
| Asset B UnRealized P/L % | is the Un-Realized Profit/Loss on Asset B open position, in percentage of the investment amount | ||
| Asset B Weight | Weight of the symbols to match the pair. The value of 1 unit is assigned to the asset with the least weight. It takes into account the point value and the price difference | ||
| Asset B Z-Score Last Value | Last value of the Z-Score of the Asset B | ||
| Average Spread Crossing Interval | The average in bars between a return to zero and the next of the Spread. The lower the number, the less time it will take to close the spread on average | ||
| Average Z-Score Crossing Interval | The average in bars between a return to zero and the next one of the Z-Score. The lower the number, the less time it will take to close the spread on average | ||
| Cointegration | Value that does not exceed unity and that is greater and greater is the bond we seek within the couple | ||
| Confidence Level | Quality, robustness, of the bond found in the cointegration. Higher percentage value and the higher the quality | ||
| Estimated bars to Zero | Estimated calculation of bars that will be needed at the spread to return to zero. The smaller the number, the sooner the pair will be closed in profit | ||
| Historical Bars | Number of bars on which all counts are made | ||
| Max Spread Divergence % | The maximum divergence value that the two assets that make up the spread had. The greater the number, the greater the amount of possible gain | ||
| Max. Z-Score (Final bars) | The maximum positive value assumed by the Z-Score in the last 250 bars | ||
| Max. Z-Score Divergence | The maximum divergence value that had the Z-Score calculated for the two assets. The greater the number, the greater the amount of possible gain or loss | ||
| Min. Z-Score (Final bars) | The minimum value taken by the Z-Score in the last 250 bars | ||
| Optimized Avg Bars / Trade | Average number of bars on the market per trade obtained in the optimization and on which all calculations were made | ||
| Optimized Avg Trade % | Relationship between Optimized Profit / Loss% and Optmized Num. Trades | ||
| Optimized Avg. Losing Trade % | Average value of the losses of the only losing trades obtained in the optimization and on which all the calculations have been made | ||
| Optimized Avg. Winning Trade % | Average value of the profit of the only winning trades obtained in the optimization and on which all the calculations have been made | ||
| Optimized Bars in Market | Number of bars in which the pair has remained in the market overall to generate the calculated results | ||
| Optimized Max DrawDown % | Draw-Down expressed in% that would have been obtained in the time considered and at the values of Z-Score Optimized Upper Level, Optimized Lower Level | ||
| Optimized Num. Losing Trades | Number of losing trades obtained in the optimization and on which all the calculations have been made | ||
| Optimized Num. Trades | Number of trades obtained in the optimization and on which all the calculations have been made | ||
| Optimized Num. Winning Trades | Number of winning trades obtained in the optimization and on which all the calculations have been made | ||
| Optimized P/L Std. Dev. | Standard deviation of the profit that would have been obtained in the time considered and to the values of Z-Score Optimized Upper Level, Optimized Lower Level | ||
| Optimized Profit/Loss % | The profit expressed in % that would have been obtained in the time considered and at the values of Z-Score Optimized Upper Level, Optimized Lower Level | ||
| Optimized Z-Score Lower Level | lower level of Z-Score obtained from the optimization and which would have generated the best performance if used to enter the market. If they are very different from the +/- 2 Z-Score levels, the pair does not have an acceptable statistical behavior and should be discarded. | ||
| Optimized Z-Score Upper Level | upper level of Z-Score obtained from the optimization and which would have generated the best performance if used to enter the market. If they are very different from the +/- 2 Z-Score levels, the pair does not have an acceptable statistical behavior and should be discarded. | ||
| R-Squared Last Value | Last value of R-Squared | ||
| Ratio A/B | Weight ratio between the two titles, coincides with the greater weight to be given to the asset | ||
| Ratio Profit Opt./Std. | Relationship between Optimized Profit / Loss% and Standard Profit / Loss% | ||
| Spread Bars from zero | Number of bars elapsed since the spread has last crossed zero | ||
| Spread Zero-Crosses | How many times the spread crossed zero in the period expressed by Historical Bars. A higher number indicates better spread responsiveness. If the spread crosses the zero line it means that the assets have crossed and therefore any assumed position has gone to 0 | ||
| Standard Avg Bars / Trade | Average number of bars on the market per trade obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Avg Trade % | Relationship between Standard Profit / Loss% and Standard Num. Trades | ||
| Standard Avg. Losing Trade % | Average loss value of the only lost trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Avg. Winning Trade % | Average value of the profit of the only winning trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Bars in Market | Number of bars in which the pair remained in the market overall, using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Max. DrawDown % | Draw-Down expressed in% that would have been obtained in the time considered and at the values of Z-Score +2 and -2 | ||
| Standard Num. Losing Trades | Number of losing trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Num. Trades | Number of trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Num. Winning Trades | Number of winning trades obtained obtained using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard P/L Std. Dev. | Standard deviation of the profit that would have been obtained in the time considered using +2 and -2 as thresholds on the Z-Score to enter the market | ||
| Standard Profit/Loss % | the profit expressed in% that would have been obtained over the time considered and at the values of Z-Score Standard. This value must be compared with the Optimized Profit / Loss and must be as similar as possible. | ||
| Standard Z-Score Lower Level | Always equal to -2 | ||
| Standard Z-Score Upper Level | Always equal to +2 | ||
| Total UnRealized P/L % | is the total Un-Realized Profit/Loss of open positions, in percentage of the investment amount | ||
| Z-Score Bars from Zero | Number of bars elapsed since the Z-Score has last crossed zero | ||
| Z-Score Direction | Current direction of Z-Score Last Value, can be UP or DOWN | ||
| Z-Score Last Value | Value of the Z-Score of the spread at the time of scanning. It is colored in absolute value and the greater value indicates the possibility of being close to 2 or -2 which are the standard values for putting the spread on the market | ||
| Z-Score Std. Dev. | Standard deviation of the Z-Score | ||
| Z-Score Zero Crosses | How many times the Z-Score has crossed zero in the period expressed by Historical Bars. A higher number indicates better responsiveness of the Z-Score. If the Z-Score crosses the zero line it means that the assets have crossed and therefore any assumed position has gone to 0 |