The difference between the high and low prices traded during a period of time; in commodities, the high/low price limit established by the exchange for a specific commodity for any one day’s trading.
A stop-loss order that follows the prevailing price trend.
Financial institution that manages ownership records of company stock.
The mathematical relationship between the output of a control system and its input for a linear system, it is the Laplace transform of the output divided by the Laplace transform of the input under conditions of zero initial energy.
Refers to the shape of the wave coming out of a filter in comparison to the shape going into it.
A process to change or convert. For example, a simple moving average is a filter to reduce noise; the moving average is the transform function.
The general drift, tendency or bent of a set of statistical data as related to time.
A parallel probable price range centered about the most likely price line. Historically, this term has been used to denote the area between the base trendline and the reaction trendline defined by price moves against the prevailing trend.
A day in which the price of a futures contract moves consistently away from the opening range and does not return to the opening range prior to the close.
Moving in the direction of the prevailing price movement.
Price moves in a single direction, generally closing at an extreme for the day.
Price movement that vacillates to the degree that a clear trend cannot be identified.
A line drawn that connects either a series of highs or lows in a trend. The trendline can represent either support as in an uptrend line or resistance as in a downtrend line. Consolidations are marked by horizontal trendlines.
A pattern that exhibits a series of narrower price fluctuations over time; top and bottom boundaries need not be of equal length.
Triangular Moving Average
A moving average in which each day’s data are multiplied by a weight that increases in value at steady increments to a peak value and then declines to zero at equivalent increments. The sum of the weighted daily data is divided by the number of variables.
See Arms Index Trix-The one-period difference of the triple exponential smoothing operating on the log of price.
The largest of the following: Today’s high minus today’s low, today’s high minus yesterday’s close, today’s low minus yesterday’s close.
True Strength Index
A momentum indicator developed by William Blau that double-smoothes the ratio of the market momentum to the absolute value of the market momentum.
- Glossary ( A-C )( D-F )( G-J )( K-M )( N-S )( T-Z )
- The probability distribution used to test the hypothesis that a random sample of n observations comes from a normal population with a given mean.
- A statistical test of significance for a distribution that changes its shape as N gets smaller; based on a variable t equal to the difference between the mean of the sample and the mean of the population divided by a result obtained by dividing the standard deviation of the sample by the square root of the number of individuals in the sample.
- Cash equivalents of the futures contracts.
- In which an investment allows an investor to postpone paying taxes on money put into the investment until the investor literally takes possession of the money invested.
- Technical Analysis
- A form of market analysis that studies demand and supply for securities and commodities based on trading volume and price studies. Using charts and modeling techniques, technicians attempt to identify price trends in a market.
- Telegrapher’s Equation
- A variation of the Diffusion Equation that describes minor differences in the drunkard’s walk, in which the random decision controls the change in direction rather than the direction itself.
- Term Structure
- Also known as yield curve. The slope of the term structure is the yield on long-term government bonds minus the yield on short-term instruments such as Treasury bills.
- The measurement of the time decay of a position.
- A comparison between the price difference of successively lower pivot bottoms or higher pivot tops. For example, a reduction in the difference between pivot bottoms shows loss of momentum; an increase in the difference shows increased momentum.
- The minimum fluctuation of a tradable. For example, bonds trade in 32nds, while most stocks trade in eighths.
- Tick Indicator
- The number of stocks whose last trade was an uptick or a downtick.
- Time Domain
- Variation of a time series is accounted for by an autocorrelation function and other time series.
- Time Series
- A collection of observations made sequentially in time and indexed by time.
- Time Value
- The difference between the premium paid for an option and the intrinsic value. As the option approaches expiration, the time value erodes, eventually to zero.
- Time-Price Opportunity; a price that occurs during designated half-hour periods of trading; a price-time relationship developed for the Chicago Board of Trade’s Market Profile and Liquidity Data Bank reports.
- Trading instrument.
- Trade Facilitation
- Trading Bands
- Lines plotted in and around the price structure to form an envelope, answering whether prices are high or low on a relative basis and forewarning whether to buy or sell by using indicators to confirm price action.
- Trading Range
Mtm = one-day change in closing price.
|Mtm| = absolute value of Mtm.
Er = exponential smoothed moving average of r days.
Es = exponential smoothed moving average of s days.
A sector that is the intense focus of speculators at the moment.
The approximate time at which there is a change in trend.
Tweezers Bottoms and Tops
Candlestick formations. Both candles must have identical highs and lows. Significant when found at contract highs or lows, and can indicate a breakout.
The buy or sale of an option without a position in the underlying futures contract; also known as a naked option.
A trading instrument subject to purchase upon exercise.
In options, a stock subject to purchase upon exercise of the option.
Uniform Gifts to Minors Acts
A law that allows minors to own property without the use of a trust.
Involving only one variable.
Occurs when price moves above a pivot top and a widespread reversal ensues as follows: a) two previous closes are reversed, b) close is below pivot top, c) close is below opening and mid-range, d) daily price range is greater than the previous day’s range.
The price range on the CBOT Market Profile in which approximately 70% of the day’s trades occur.
Value at Risk (VaR)
A measure of exposure within a given portfolio, which attempts to estimate how much the portfolio would be expected to lose, given the recent behavior of the securities contained therein.
In which the average is taken of a series of values.
A market average such as Standard & Poor’s 500 Index that takes into account the market value of each security rather than calculating a straight price average.
Variable-Length Moving Average
A moving average where the number of periods selected for smoothing is based on a volatility measurement of price. Typically, the standard deviation of price is used to measure price volatility. The more volatile the price is, the shorter the number of periods used is for smoothing.
The amount by which the price of an option changes when the volatility changes.
A stock option spread based on simultaneous purchase and sale of options on the same underlying stock with the same expiration months but different strike prices.
The rights that an employee gains for working at a firm for a specific length of time.
A measure of a stock’s tendency to move up and down in price, based on its daily price history over the latest 12 months.
The shares that are traded for a given market or tradable within a specified time period.
Volume Price Trend (VPT)
In which a running sum is maintained when a day’s total volume is added if the market closes positive or the day’s total volume is subtracted if the market closes lower. See On-balance volume.
A double-bottom formation.
A company-issued certificate that represents an option to buy stock shares at a given time.
A term depicting how an option’s value decreases over time; as each day after acquisition passes a portion of the option’s time value is lost or wasted.
In Elliott wave theory, a sustained move by a market’s price in one direction as determined by the reversal points that initiated and terminated it.
An impulse wave followed by a correction wave, the impulse wave being made up of five smaller, numbered waves of alternating direction designated 1, 2, 3, 4 and 5, and the correction wave being composed of three smaller alternating waves designated a, b, and c.
A pattern in which two converging lines connect a group of price peaks and troughs.
Weighted Average Purchase Price
Multiply each purchase order bought by the associated purchase price, add them together and divide the total by the number of blocks. The result is the weighted average purchase price.
Weighted Industry Index
An index where the importance of each stock is related to its market capitalization.
Weighted Moving Average (WMA)
A moving average that puts more weight on recent prices. A three-day weighted moving average would add a multiple of 1 to the first date, 2 to the second date and 3 to the third date.
Alternating buy and sell signals that result in losses.
Losing money on both sides of a price swing.
Characters in a quote symbol or Dos file name that indicates an undefined, but categorized, value.
Overbought and oversold indicator that is used to determine market entry and exit points.
Set period of time such as a lookback period for market indicator in question.
A preprogrammed step-by-step procedure to aid the user in accomplishing a specific task.
When a small amount of data is available for testing, the chi-square formula is adjusted to account for the small sample base.
Zero-Coupon Government Bonds
Government bonds that are purchased at a deep discount and pay no cash dividend, unlike regular bonds.
The percentage change in an options price per 1% change in implied volatility.
In a bull market, an Elliott three-wave pattern that subdivides into a 5-3-5 pattern with the top of wave B noticeably lower than the start of wave A. In a bear market, this pattern will be inverted.