Basically FuturesAverage true range (ATR)
A historical volatility measure that averages ranges accounting for gaps. It describes recent movement, not direction or a maximum future move.
FREE LEARNING REFERENCE
Futures glossary.
58 terms explained without the jargon. This reference complements the seven-stage free Academy.
REFERENCE / A–Z
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Official contract rules and definitions should always be verified from primary sources.
Backtest
A simulation of a defined strategy using historical observations and explicit assumptions. Its usefulness depends on data quality, correct timing and realistic costs.
Backwardation
A term structure in which a later-dated futures price is below a nearer-dated futures price. It does not by itself forecast where prices will move.
Basis
The difference between a spot price and a related futures price. Basis risk matters when a hedge does not precisely track the exposure being protected.
Bid–ask spread
The difference between the highest quoted buying price and the lowest quoted selling price. It can contribute to execution costs.
Broker margin
Collateral a broker requires to open or maintain a futures position. It is not the most an account can lose.
Candlestick
A chart bar showing an interval's open, high, low and close. It does not reveal the exact order of events inside the bar.
Cash settlement
A contract settlement method that resolves the final value through a cash amount rather than delivery of an underlying asset.
Clearinghouse
A central clearing organization that stands between counterparties for cleared exchange-traded futures and manages specified counterparty obligations and risk.
Contango
A term structure in which a later-dated futures price exceeds a nearer-dated futures price. Storage, financing and other conditions can contribute.
Contract multiplier
A number specified by the exchange that converts a futures price change into a dollar change per contract.
Correlation
A statistic describing the degree to which two series move together in a sample. Correlation can change and is not the same as causation.
Daily loss limit
A predefined rule that restricts further trading or permitted loss over a day. Enforcement and accounting definitions vary by account.
Drawdown
The decline in account equity from a previous peak to a later trough, expressed in dollars or as a percentage of the peak.
Edge
A hypothesized repeatable advantage after realistic costs and risks. Positive historical results do not establish that an edge will persist.
End-of-day drawdown
An account or strategy loss measure evaluated using end-of-day observations. It can overlook intraday peaks and troughs.
Entry rule
An observable, written condition specifying when and how a position would be opened.
Equity
An account's financial value after incorporating applicable balances and open-position P&L under its accounting convention.
Exchange
An organized trading venue that standardizes listed contracts and operates under a regulatory framework.
Expectancy
Average estimated profit or loss per trade: win probability × average win minus loss probability × average loss and costs.
Expiration
The date or process by which trading ends or a contract approaches final settlement. Contract-specific obligations must be checked.
Fill
The execution of an order, in whole or in part, at a specific price and quantity.
Forward contract
A negotiated bilateral agreement for future delivery or settlement, commonly customized rather than standardized on a futures exchange.
Futures contract
An exchange-traded standardized agreement that establishes exposure to a defined underlying and settlement terms at a future date.
Hedge
A position intended to offset some price exposure elsewhere in a business or portfolio. Hedging may introduce basis, liquidity or cash-flow risk.
In-sample data
Historical observations used to develop, select or tune a strategy. Performance on this data is especially vulnerable to overfitting.
Intraday trailing drawdown
A loss constraint whose reference peak may update during the trading day. The exact rule must be verified with the account provider.
Leverage
Exposure to gains and losses that is large relative to the collateral or capital initially committed.
Limit order
An order that executes at its limit price or better if a matching opportunity occurs. It may not fill.
Liquidity
The ability to transact without substantial price impact under particular market conditions; affected by spread and depth.
Long position
A position generally benefiting when its contract price rises, before costs and other exposures.
Look-ahead bias
A research error that uses information unavailable at the time a historical decision would have been made.
Margin call
A demand to provide additional collateral or reduce exposure when an account fails to satisfy applicable requirements.
Mark to market
The process of adjusting an account's value or cash flows to reflect current market prices.
Micro futures
Smaller versions of certain futures contracts, often one-tenth the corresponding E-mini size, allowing finer position sizing.
Notional exposure
The contract multiplier times a reference price, or the analogous total value represented by a position.
OHLC
Open, high, low and close prices for a specified observation interval.
Open interest
The number of outstanding contracts that have not yet been closed, delivered or settled.
Out-of-sample data
Observations deliberately withheld from strategy development and used for validation. Repeated optimization can contaminate the holdout.
Overfitting
Building a model or strategy that captures noise and specifics of historical data rather than a repeatable relationship.
Point value
The dollar impact of a one-point price change per contract, defined by the contract multiplier.
Position sizing
Choosing the quantity of contracts to hold according to exposure, proposed stop distance, budget and constraints.
Prop evaluation
A paid or otherwise contracted trader evaluation with provider-specific rules. It does not automatically constitute employment or a live brokerage account.
R-multiple
A result expressed relative to a planned risk unit, such as a $100 planned loss risk. A +2R gain would be $200 before relevant adjustments.
Risk of ruin
A modeled probability of depleting capital or reaching a defined failure threshold under specified statistical and position-sizing assumptions.
Rollover
Closing or transitioning an expiring futures position and establishing exposure in a later contract month.
Short position
A position generally benefiting when its contract price falls, before costs and other exposures.
Slippage
The difference between a planned or reference order price and the actual execution price, or an explicit allowance for that difference.
Stop-limit order
A triggered order that becomes a limit order. It constrains eligible execution prices but may remain unfilled.
Stop-market order
A triggered order that becomes a market order. Its eventual execution price can be worse than the stop trigger.
Strategy hypothesis
A claim about a repeatable trading outcome stated precisely enough to test and potentially reject.
Tick size
The minimum permitted price increment of a particular futures contract.
Tick value
The cash effect of one minimum price increment per contract, equal to tick size times contract multiplier.
Timeframe
The sampling interval used to create bars or calculate a statistic. Different timeframes can show different market structure.
Trading plan
A dated written set of instrument, session, entry, exit, risk, evaluation and review rules.
Volume
The number of contracts traded during a period, distinct from open interest.
VWAP
Volume-weighted average price over a defined interval, computed from transaction prices and volumes.
Walk-forward validation
A repeated procedure in which models are trained or selected using an earlier window and evaluated on subsequent data.
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Definitions are educational summaries, not substitutes for current official exchange, broker, or provider documents. CME Group education ↗ · CFTC investor education ↗