Metric Glossary
Plain-English definitions for every metric across the dashboard — what it means, how to read it, and the formula where one applies. The icons throughout the app link back here.
No metrics match that search.
Risk & Return
Annualised Volatility
How much the price swings day to day, scaled to a yearly figure. Higher means a bumpier, riskier ride.
The standard deviation of daily returns scaled to a one-year horizon. It measures dispersion, not direction — a high number just means large moves in either direction. Roughly, a 30% annualised vol implies a typical daily move near 1.9%.
Maximum Drawdown
The worst peak-to-trough drop over the period — the deepest loss you'd have sat through if you bought the top.
Measures the largest cumulative decline from a running high-water mark to a subsequent low. It captures pain that volatility alone misses: a strategy can be low-vol yet still suffer a brutal, prolonged drawdown. Recovery from a 50% drawdown requires a 100% gain.
Skewness
Whether the return distribution leans toward big up-moves (positive) or big down-moves (negative).
The asymmetry of the daily-return distribution. Negative skew (common in equities) means crashes tend to be sharper than rallies — the left tail is fatter. Positive skew means occasional large gains. Zero skew is a symmetric distribution.
Kurtosis (Excess)
How 'fat' the tails are — how often extreme moves happen versus a normal bell curve.
Excess kurtosis measures tail-heaviness relative to a normal distribution (which is 0). High positive values mean fat tails: extreme days happen far more often than a bell curve predicts. Most financial returns are strongly leptokurtic (fat-tailed), which is why VaR built on a normal assumption understates risk.
Beta (vs SPY)
How much the stock moves for each 1% move in the S&P 500. >1 = more volatile than the market.
The slope of the stock's daily returns regressed on the market's (SPY). Beta of 1.5 implies the stock tends to move 1.5% for every 1% market move; 0.5 implies it's defensive. Beta captures only market-correlated (systematic) risk, not stock-specific risk.
Sortino Ratio
Sharpe's cousin: excess return per unit of *downside* volatility only, so big up-days aren't counted as risk.
Identical to Sharpe except the denominator uses the standard deviation of below-risk-free days alone. A strategy with violent rallies and shallow dips scores far better on Sortino than on Sharpe, which is why trend-following results are usually quoted with both. Sortino well above Sharpe means the volatility is mostly upside; the two converging means losses and gains are equally choppy.
Calmar Ratio
Annualised return divided by the worst drawdown — reward per unit of maximum pain.
Calmar asks how much compound return the strategy bought with its deepest loss. Unlike Sharpe it ignores day-to-day chop entirely and keys on the single worst peak-to-trough episode, so it is sensitive to one bad run and to how long the sample is. Above 1 means the annual return exceeded the worst drawdown; below 0.5 means the drawdown dominated.
Information Ratio
How consistently the strategy beat its benchmark: average outperformance divided by how erratic that outperformance was.
Computed on the active return (strategy minus benchmark, daily) and annualised. It answers a different question from Sharpe: not 'was the return worth the risk' but 'was the edge over the benchmark reliable'. A high IR with a small alpha means a small but steady edge; a large alpha with a low IR means the outperformance came from a handful of lucky windows.
Jensen's Alpha (annualised)
Return left over after paying for the market exposure the strategy actually took. Positive means it added something beta alone wouldn't.
The intercept of the strategy's excess returns regressed on the benchmark's, annualised. It strips out whatever the strategy earned simply by carrying market beta, so a high-beta strategy in a bull market can post a large total return and still show near-zero alpha. It is only as meaningful as the beta estimate behind it, and on a short backtest the standard error is wide — treat a small alpha as indistinguishable from zero.
Risk-Adjusted Momentum Score
A name's ranking score divided by its 1-year annualised volatility, so a big move on a wild stock isn't flattered.
The ranking signal (12-1 return, or the 50/200 SMA spread for the trend strategy) scaled by trailing 1-year annualised volatility. It is a cross-sectional comparison aid, not an expected return: two names with the same 12-1 return sit at very different risk-adjusted scores if one got there calmly and the other on a 90%-vol ride. Note the universe leaderboard still *sorts* on the raw score — this column is shown alongside it, and the screener's Min Risk-Adjusted Score filter is what actually acts on it.
50/200 SMA Spread
How far the 50-day moving average sits above (or below) the 200-day, as a percentage. Positive is a golden cross, negative a death cross.
A trend-strength measure rather than a return. Because both legs are moving averages it reacts slowly and turns over far less than a 12-1 return, which cuts whipsaws in choppy markets at the cost of late entries and exits. Zero crossings are the classic golden/death cross signals. A negative spread does not automatically mean the strategy is flat in that name — the top-5 rotation holds its slots on rank alone.
Value at Risk (VaR)
A loss threshold you'd expect to exceed only rarely — e.g. VaR 95% is the worst day in a typical 20.
The historical quantile of the daily-return distribution over a rolling 1-year window. VaR 95% is the loss exceeded on the worst 5% of days; VaR 99% on the worst 1%. VaR says how often a bad day occurs but nothing about how bad the days beyond it are — that's what Expected Shortfall adds.
Expected Shortfall (ES / CVaR)
The average loss on the bad days that breach VaR — how deep the tail actually goes.
Also called Conditional VaR, ES is the mean of all returns worse than the VaR threshold. Where VaR marks the door to the tail, ES tells you the average severity once you're through it. It is more conservative and better-behaved than VaR for fat-tailed assets.
Seasonality
Average return by calendar month over the full history — recurring strong/weak periods.
The mean daily return grouped by calendar month across all available history. It surfaces recurring patterns (e.g. the historical weakness of September). Treat it as descriptive, not predictive — with limited years of data, monthly averages are noisy and prone to overfitting.
Monte Carlo Projection
1,000 simulated future price paths, showing the range of plausible outcomes — not a forecast.
Simulates forward prices using geometric Brownian motion calibrated to the stock's own historical drift and volatility. The shaded bands are the 5–95% and 25–75% outcome ranges across simulations. It assumes returns are normally distributed and that the past drift/vol persist — both strong assumptions, so read it as a distribution of scenarios, not a target.
Cumulative Return
Growth of $100 invested at the start, compared against SPY and QQQ.
Each series is normalised to 100 at the earliest shared date, so lines show relative performance regardless of starting price. Rising faster than SPY/QQQ indicates outperformance over that window. Does not adjust for risk — pair it with beta and volatility.
Volume Profile / Point of Control
The price level where the most volume traded over the last 2 years — a magnet for price.
Volume profile bins two years of volume by price level instead of by time. The Point of Control (POC) is the highest-volume price — a level where lots of positions were established, so it often acts as support or resistance. High-volume nodes tend to attract price; low-volume gaps tend to be traversed quickly.
Options & Volatility
Gamma Exposure (GEX)
How much dealers must buy or sell to stay hedged as price moves. Shapes whether moves get dampened or amplified.
Aggregates option gamma across strikes, weighted by open interest, signed by the standard dealer convention (long calls +, short puts −). Net-positive gamma means dealers hedge against moves (selling rallies, buying dips), which dampens volatility; net-negative gamma means they hedge with moves, amplifying them. This is a naive end-of-day model built on delayed yfinance open interest and uniform dealer assumptions — directional, not an institutional feed.
Gamma Flip
The price where dealer gamma flips sign. Above it moves get dampened; below it they get amplified.
The strike at which cumulative net GEX crosses zero. Above the flip, dealers are net-long gamma and their hedging is mean-reverting (vol-dampening). Below it they are net-short gamma and hedging is trend-amplifying (vol-expanding). It's a regime marker, not a price target, and shifts as open interest changes.
Call Wall
The strike with the largest positive call gamma — often acts as a near-term ceiling / resistance.
The strike carrying the heaviest call open interest and gamma. As price approaches, dealer hedging tends to sell into strength, which can cap rallies. It frequently coincides with where price stalls into a monthly expiration, but it is a tendency, not a guarantee.
Put Wall
The strike with the largest negative put gamma — often acts as a near-term floor / support.
The strike with the heaviest put open interest and gamma. Dealer hedging there tends to buy into weakness, cushioning selloffs and acting as support. Like the call wall, it's a probabilistic level that can break, especially if it migrates as positions roll.
Implied Volatility Smile / Skew
How option-implied volatility changes across strikes. A steep left side means the market prices downside risk dearly.
Plots implied volatility against moneyness (strike ÷ spot). Equities typically show a 'skew' — out-of-the-money puts carry higher IV than calls — because investors pay up for crash protection. A steepening skew signals rising fear; a flattening one signals complacency.
Implied Volatility (IV)
The market's expectation of future volatility, backed out of an option's price. Higher = pricier options.
The volatility input that makes the Black-Scholes model reproduce an option's traded price. Unlike realized (historical) volatility, IV is forward-looking and embeds supply/demand for options. It usually rises into earnings and macro events and collapses afterward ('vol crush').
Delta
How much an option's price moves per $1 move in the stock. Also a rough probability of finishing in-the-money.
The first derivative of option value with respect to spot. A 0.50-delta call gains ~$0.50 per $1 stock move and is roughly at-the-money. Calls range 0→1, puts −1→0. Delta also approximates the risk-neutral probability the option expires in-the-money and tells you the share-equivalent exposure of a position.
Gamma
How fast delta itself changes as the stock moves. Highest for at-the-money, near-expiry options.
The second derivative of option value with respect to spot (the rate of change of delta). High gamma means delta — and therefore hedging needs — shift rapidly with price, which is why near-expiry at-the-money options drive the sharpest dealer hedging flows and underpin GEX.
Theta
How much value an option loses each day from time passing, all else equal — 'time decay'.
The daily erosion of an option's price as expiration approaches. Theta is negative for long options (you lose value each day) and accelerates as expiry nears, especially for at-the-money contracts. Option sellers collect theta; buyers pay it.
Vega
How much an option's price changes per 1-point change in implied volatility.
Sensitivity of option value to a 1 percentage-point change in implied volatility. Long options are long vega (they gain when IV rises). Vega is largest for longer-dated, at-the-money options, which is why event-driven IV changes hit them hardest.
Rho
How much an option's price changes per 1-point change in interest rates. Usually the least impactful Greek.
Sensitivity of option value to a 1 percentage-point change in the risk-free rate. Calls gain and puts lose as rates rise. Rho matters most for long-dated options (LEAPS) and is generally negligible for short-dated contracts.
Open Interest
The number of option contracts currently outstanding at a strike — the size of the standing position.
The total count of open (not-yet-closed) contracts for a given strike and expiration. Unlike volume (which counts a day's trades), OI is the cumulative standing position and is the weight behind GEX and wall calculations. yfinance reports it with a delay, typically updated once daily.
Payoff Diagram & Breakeven
Profit/loss of an option position at expiration across stock prices, plus the breakeven point.
Shows P&L at expiration as a function of the underlying price for the selected position. Breakeven for a long call is strike + premium; for a long put, strike − premium. Long options cap loss at the premium; short options cap gain at the premium but carry large or unlimited loss. This ignores early assignment and pre-expiry time value.
Event Vol Flag
Whether option prices imply a bigger or smaller earnings move than the stock's recent prints delivered.
Compares the straddle-implied move scaled to the earnings date against the median absolute move of the last prints. 'Rich' means the market is paying up for event protection; 'cheap' means implied calm vs history.
Implied Earnings Move
The stock move options prices imply for the upcoming earnings print.
Scaled from the nearest straddle to the earnings date. Compare against the median realized print-day move: implied well above realized means the market is paying up for event protection (rich); well below means implied calm (cheap).
Market Microstructure
Level 2 Order Book
The ladder of resting buy (bid) and sell (ask) orders at each price, by size.
Level 2 shows depth beyond the best bid/ask: how many shares are queued at each price level on both sides. It reveals where liquidity sits and where price may stall. Note: on this page the book is a simulation when no live feed key is configured.
Order Book Imbalance
The tilt between total resting bid size and ask size. A heavy side hints at near-term pressure.
The share of total displayed depth sitting on the bid versus the ask side. A strong bid imbalance suggests buyers are stacked and price may be supported; a strong ask imbalance suggests overhead supply. Displayed liquidity can be spoofed or pulled, so treat it as a soft, fast-changing signal.
Mid Price
The midpoint between the best bid and best ask — a cleaner 'fair' price than the last trade.
The average of the best bid and best ask. It's less noisy than the last traded price (which bounces between bid and ask) and is the common reference for fair value and for measuring slippage.
Bid-Ask Spread
The gap between the best buy and sell price — a direct cost of trading. Tighter = more liquid.
The difference between the best ask and best bid, shown in dollars and as a percentage of price. It's the immediate round-trip cost of crossing the market and a core liquidity gauge: liquid large-caps trade a penny wide, illiquid names far wider. Spreads widen in fast or stressed markets.
VWAP
Volume-Weighted Average Price for the session — the average price paid, weighted by size.
The session's average trade price weighted by volume. Institutions benchmark executions against VWAP (buying below it is 'good'). Price above VWAP is often read as intraday strength, below as weakness. Resets each session.
Realized Volatility
Actual volatility measured from recent price moves, annualised — what just happened, not what's expected.
The standard deviation of recent log returns, annualised. Unlike implied volatility (forward-looking, from options), realized vol is backward-looking, computed from the tape. Comparing the two shows whether options are rich or cheap relative to actual movement.
Market Depth
Cumulative resting size on each side as you walk away from the mid — how much price would move to fill a big order.
Plots cumulative bid and ask size against price. A steep wall near the mid means deep liquidity and low impact; a shallow, far-reaching curve means a large order would push price further. The two sides meeting at the mid frame the cost of size.
Short Interest % Float
Percentage of tradable shares currently sold short.
Reported from exchange/FINRA data via yfinance (bi-monthly snapshots, so it lags). Elevated short interest plus positive catalysts is the raw material of squeezes. When the badge says 'assumed', this value is a 3% default, not real data.
Days to Cover
How many days of average volume short sellers would need to buy back their positions.
Short interest divided by average daily volume. Higher values mean any squeeze has further to run because covering is slow. Assumed default is 2 days when the feed is unavailable.
Short Interest MoM Δ
Month-over-month change in shares sold short.
Rising short interest into strength can indicate conviction shorts (squeeze fuel); falling short interest can indicate covering. Two-point comparison — the free feed only exposes the latest snapshot and the prior month.
Squeeze Risk Composite
0-100 blend of short interest, days to cover, borrow cost, and dealer gamma exposure.
Weights: 40 short % float, 30 days to cover, 15 cost-to-borrow, 15 negative dealer gamma (the accelerator). Levels: LOW < 35, ELEVATED < 55, HIGH < 75, EXTREME ≥ 75. Universe scans omit the gamma leg; per-ticker views include it.
Fundamentals & Positioning
Trailing P/E
Price divided by the last 12 months of earnings. How many dollars you pay per dollar of past profit.
Share price over trailing-twelve-month earnings per share. A higher multiple implies the market expects growth or assigns lower risk. Meaningless for unprofitable companies and not comparable across sectors with different growth/capital profiles.
Forward P/E
Price divided by next year's expected earnings. Forward-looking version of the P/E.
Share price over estimated forward earnings per share. Lower than trailing P/E when earnings are expected to grow. Only as reliable as the analyst estimates behind it, which are often optimistic and revised down over time.
EV / EBITDA
Enterprise value relative to operating cash earnings — a capital-structure-neutral valuation multiple.
Enterprise value (market cap + debt − cash) over EBITDA. Because it includes debt and strips out financing and tax effects, it compares firms with different leverage better than P/E and is favoured in M&A and across capital structures.
Price / Book
Price relative to net asset (book) value. Below 1 can signal value — or distress.
Share price over book value per share. Useful for asset-heavy and financial firms where book value is meaningful; less so for asset-light or IP-driven businesses, where book understates true value. A low ratio may flag undervaluation or deteriorating fundamentals.
PEG Ratio
P/E divided by earnings growth. Puts the valuation multiple in the context of how fast profits grow.
The trailing or forward P/E divided by the expected earnings-growth rate. A PEG near 1 is often read as fairly valued for the growth; below 1 as cheap relative to growth. Sensitive to the growth estimate used, so small changes swing it widely.
Short % of Float
Share of freely tradable stock sold short. High readings flag bearish bets — and squeeze potential.
Shorted shares as a percentage of the public float. Elevated short interest reflects bearish positioning but also fuel for a short squeeze if the stock rises and shorts cover. Pair with short ratio (days-to-cover) to gauge how crowded the exit is.
Short Ratio (Days to Cover)
How many days of average volume it would take shorts to buy back their position.
Shares sold short divided by average daily volume. A high ratio means shorts can't exit quickly without moving price, increasing squeeze risk on positive catalysts. A low ratio means short covering would be absorbed easily.
Dividend Yield
Annual dividends as a percentage of price — the income return before any price change.
Trailing annual dividend per share over price. Higher yields offer income but can signal a depressed price or a payout at risk of being cut. Always check it against the payout ratio and cash flow for sustainability.
Analyst Price Target
The consensus 12-month price covering analysts expect, with low/mean/high range and implied upside.
Aggregates sell-side analysts' 12-month price targets into low, mean, median and high. The spread shows disagreement; the mean versus current price implies upside/downside. Targets lag price, cluster around it, and carry well-documented optimism bias — a directional gauge, not a guarantee.
Insider Sentiment (MSPR)
A monthly score of net insider buying vs selling. Positive = insiders accumulating.
Monthly Share Purchase Ratio summarises insider transactions into a −100…+100 sentiment score. Sustained positive readings — especially executive buying — are a historically constructive signal, since insiders buy for one reason but sell for many. Sourced from Finnhub when configured.
Insider Transactions
Buys and sells by company officers and directors, netted by month and shown against price.
Form 3/4/5 filings of trades by insiders (executives, directors, 10% owners). Net buying, particularly clustered open-market purchases by executives, has historically preceded outperformance. Sales are noisier (diversification, taxes, 10b5-1 plans) and harder to read.
Institutional Holders
The largest fund/institution shareholders by shares held — who the big owners are.
Top institutional owners (funds, asset managers) ranked by shares held, from regulatory disclosures. Heavy, stable institutional ownership signals conviction but can also mean crowded positioning that unwinds together. Data is reported with a lag.
13F Filings
Quarterly disclosures of large institutions' US equity holdings — a delayed window into smart-money positioning.
Institutional managers over $100M must file Form 13F within 45 days of quarter-end, listing long US equity positions. It reveals accumulation/distribution trends but is stale by up to a quarter and omits shorts, cash and non-US holdings — context, not a real-time signal.
Consensus Estimates (EPS / Revenue)
The average analyst forecast for next-period earnings and revenue, with the next earnings date.
The mean of sell-side analyst forecasts for upcoming EPS and revenue. The market reacts to results relative to these expectations, not in absolute terms — beating a high bar can still sell off. Estimates drift and are revised right up to the print.
Earnings / Revenue Growth
Year-over-year growth in profits and sales — the engine behind forward valuation multiples.
Trailing year-over-year change in earnings and revenue. Revenue growth shows top-line demand; earnings growth shows whether that translates to the bottom line. Earnings growing faster than revenue indicates margin expansion; the reverse, margin pressure.
EPS Surprise %
How far reported EPS landed from the consensus estimate, in percent.
Positive means the company beat the street's EPS estimate; negative means a miss. Large surprises tend to start post-earnings drift as analysts slowly revise.
Peer Percentile
Where a metric sits within the peer set, 0-100.
For valuation multiples the percentile is inverted so 'cheaper vs peers' reads higher. With few peers the percentile is coarse — treat it as context, not a signal.
Relative-Value Quadrant & Score
Valuation (cheap vs rich) crossed with 12-1 momentum direction.
Each name lands in one of four quadrants: cheap/rich × strengthening/weakening. The value score averages cheapness, growth, and momentum percentiles. Quadrants describe positioning, not predictions.
Institutional Analytics
VPIN (Order Flow Toxicity)
Volume-Synchronized Probability of Toxicity measuring informed trader order flow imbalances.
Easley-Kiefer-O'Hara Volume-Synchronized Probability of Toxicity. Measures toxicity by bucketing trading volume and quantifying directional order flow asymmetry. High VPIN flags aggressive informed trading and elevated short-term volatility or flash crash risk.
Corwin-Schultz Bid-Ask Spread
High-Low spread estimator that extracts effective bid-ask spreads from daily high and low prices.
Corwin & Schultz (2012) estimator deriving effective bid-ask spreads from consecutive 1-day and 2-day high-to-low price ratios, filtering out fundamental volatility from illiquidity friction.
Short Squeeze Risk Score
Multi-factor composite score [0-100] quantifying short squeeze vulnerability.
Multi-factor squeeze risk metric combining Short Interest % Float, Days to Cover (Short Ratio), Cost to Borrow (CTB), and Negative Dealer Gamma Exposure (GEX) acceleration.
Regime-Conditional Dual Betas
Bull Beta vs Bear Beta measuring asymmetric systematic market sensitivity.
Separates historical covariance against the benchmark (SPY) into Bull market days (SPY > 0) versus Bear market days (SPY < 0), revealing upside participation versus downside exposure.
Upside Capture Ratio
Percentage of benchmark gains captured when the market is rising (>100% outperforms up-markets).
Compound return of the stock divided by compound return of benchmark during positive benchmark periods. Above 100% means the asset generates alpha during market rallies.
Downside Capture Ratio
Percentage of benchmark losses suffered when the market is falling (<100% protects capital).
Compound return of the asset divided by benchmark return during negative benchmark periods. Below 100% signals superior downside protection.
Vanna (dDelta / dVol)
Sensitivity of option Delta to changes in implied volatility (or dVega / dSpot).
Cross-derivative measuring how delta changes as implied volatility fluctuates. Critical for dealer positioning: when IV collapses (vanna rally), dealers must buy underlying stock to maintain delta-neutral hedges.
Charm (Delta Decay)
Rate of change of option Delta over time (dDelta / dTime).
Measures delta decay as time to expiration elapses. In positive gamma/delta setups into weekend or monthly OPEX, charm decay forces predictable dealer rebalancing flows.
Vomma / Volga (dVega / dVol)
Second-order Greek measuring the acceleration of Vega with respect to implied volatility.
Vomma captures option convexity with respect to volatility. High vomma indicates out-of-the-money options that become extremely sensitive to vega spikes during market stress.
Variance Risk Premium (VRP)
Spread between ATM Implied Volatility and 30-Day Realized Historical Volatility.
VRP = Implied Volatility - Realized Volatility. Positive VRP indicates expensive option premiums suitable for volatility sellers; negative VRP indicates underpriced option convexity favouring buyers.
SEC Form 8-K Filings
Material unscheduled corporate events filed with the SEC EDGAR system.
Material corporate disclosures including Item 1.01 (Material Contracts), 2.01 (M&A), 4.02 (Restatements), 5.02 (Executive/Director Departures), and 7.01/8.01 (Regulation FD & Other Events).
Cumulative Abnormal Return (CAR)
How far a stock moved around an event beyond what its normal relationship with SPY would predict.
Event-study methodology (Market Model / CAPM). A stock's 'normal' expected return is estimated from its alpha/beta to SPY over a pre-event estimation window (trading days -120 to -21 before the filing). CAR sums the daily gap between actual and expected return over the event window (-10 to +30 trading days around the filing date) — a large CAR with a t-stat outside roughly ±2 (p<0.05) suggests the market reacted to genuinely new information rather than noise. Needs about 140 trading days of price history before the event and 30 trading days after it to compute; filings newer than that show as pending until enough time has passed.
Event CAR (−10/+30)
Cumulative abnormal return around an event vs what beta would predict.
Market-model event study: abnormal return accumulated from 10 sessions before to 30 after the event, net of the stock's normal beta relationship with SPY. A t-stat with p < 0.05 means the move is unlikely to be noise.
Post-Earnings Drift
Raw price drift in the sessions after an earnings print.
The tendency for post-earnings announcement returns to continue in the direction of the surprise — one of the most persistent documented market anomalies. 'Drift left' on the radar counts how many sessions of the 20-session drift window remain; 5-, 10-, and 20-session drift figures appear only once their window has completed.
Markets
Heatmap Coverage
How many S&P 500 constituents have cached price history and appear as tiles on the heatmap.
The heatmap renders from price history cached in the app's SQLite store, refreshed in the background a few times an hour. While the universe is still downloading, the grid shows the names it already has and fills in automatically — coverage below the full ~503 names means the warm-up is still in flight (or some tickers failed to download).
Market Breadth (Advancers / Decliners)
How many index constituents closed higher versus lower versus flat on the latest session.
Breadth reads the market's internal health beyond what a cap-weighted index shows: when a handful of mega-caps lift the index while most constituents fall, advancers/decliners expose the divergence. A heatmap makes the same point visually — breadth is its numeric summary.