Glossary

Short definitions of terms used across TradePilot. For fuller treatments, follow the links to Concepts or the interactive Learn page.

Run mechanics

• Universe — the set of ticker symbols a run may hold.
• Rebalance — the moment the portfolio is re-selected and re-weighted; cadence set by rebalanceFreq (trading days).
• Lookback (t / window) — how far back a strategy looks to score assets.
• Top N — number of top-ranked assets actually held each rebalance.
• Equity curve — portfolio value over time; valued every trading day.
• Benchmark — a buy-and-hold reference series (default SPY).
• Transaction costs — commission (costBps) + slippage (slippageBps), in basis points per trade side.

Strategies

• Momentum — hold the strongest recent movers.
• Mean reversion — hold the most oversold (furthest below their moving average).
• Smart beta — hold the best risk-adjusted returners (mean/std).

Optimizers

• MSR — Maximum Sharpe Ratio weighting.
• GMV — Global Minimum Variance weighting.
• EW — Equal Weight (1/N).

Metrics

• Annualized return — compound growth scaled to a year.
• Volatility — annualized standard deviation of returns.
• Sharpe ratio — excess return per unit of total volatility.
• Sortino ratio — excess return per unit of downside deviation.
• Max drawdown — worst peak-to-trough decline.
• Calmar ratio — annualized return ÷ |max drawdown|.
• Win rate — fraction of periods with a positive return.
• Profit factor — sum of gains ÷ |sum of losses|.
• Alpha — return in excess of the risk-free rate.
• VaR — Value at Risk; loss at a percentile (historic or Gaussian).
• CVaR — Conditional VaR / expected shortfall; mean loss beyond VaR.
• Skewness / Kurtosis — asymmetry and tail-fatness of the return distribution.

See also

• Metrics reference · Strategies · Optimizers