Intermediate · 3 min read · Signal details
Metrics and market context glossary
Plain-language definitions for common labels, with their limits.
Win rate and average return
Win rate is the share of measured closed trades classified as wins in that view. Check how the method treats flat trades. Average return is an arithmetic average over the included trades, not a compounded account return. Both need a sample count and measurement scope.
P&L and drawdown
P&L means profit and loss. Realized P&L refers to closed positions; unrealized P&L marks open holdings at a reference price. Drawdown measures a decline from an earlier high under the specified calculation. It does not guarantee a maximum future loss.
VWAP, opening range, and regime
VWAP is volume-weighted average price over a specified period. The opening range is the high and low during a defined interval after market open. Regime is a label for observed market conditions, such as trend or range. Check each strategy's interval and definitions.
GEX, DEX, and VEX
These labels refer to modeled gamma, delta, and vanna exposure. Gamma relates to how option delta changes as the underlying price changes. Delta relates to price sensitivity. Vanna relates delta and implied volatility. These estimates depend on positioning and model assumptions; they are not a direct record of dealer intentions.
Coverage and unavailable data
Coverage reports how much of the requested sample has usable measurements. A blank or unavailable value must remain distinct from zero. A later update can change a measurement when quotes or source records arrive.
For the underlying definitions, see the Options Industry Council’s guide to options Greeks and exposure and market-maker FAQ.