Glossary

Risk-adjusted Jensen's alpha over a 3, 6, or 12-month window vs the S&P 500. Higher = more excess return per unit of volatility. Q12M is the primary conviction signal; Q3M reveals recent acceleration.

26-week price return minus the S&P 500's 26-week return. Ranks each ticker against the universe (RS percentile, RS decile). Long candidates live in the top decile, short candidates in the bottom.

D<n> means the stock is in the n-th decile (out of 10) of relative strength ranking. D1 = top 10% (strongest); D10 = bottom 10% (weakest). D6= 50–60th percentile — middling, neither strong nor weak momentum relative to the S&P 500.

A standardized blend of seven fundamental factors — ROE, Rev Growth, EPS Growth, OPM Growth, FCF Yield, EPS Surprise, EPS 3-mo change — winsorized at the 1st/99th percentile, then z-scored within each sector. Z and Quant are independent axes — never merge them.

How efficiently a company turns shareholder capital into profit. Trailing twelve months by default.

Free cash flow generated relative to the company's market value. Higher = the market is paying less for each dollar of cash generation (cheaper). Useful as a value screen.

Year-over-year change in trailing-twelve-month EPS. Captures sustained earnings power; the EPS 3-mo metric is a recency-tilt on the same signal.

Change in operating margin between a quarter and the same quarter a year prior. Margin expansion is usually a leading indicator — EPS follows.

Peter Lynch's refinement of the PEG ratio: forward P/E divided by the sum of EPS growth and dividend yield. Rewards companies that return cash on top of growth. < 1.0 = cheap (growth-at-a-reasonable-price); 1.0–2.0 = fair; > 2.0 = expensive. N/A when growth + yield ≤ 0.

Ratio of the 30-day simple moving average to the 100-day SMA. Above 1.0 = short-term trend above medium-term (bullish); below = bearish. Sector breadthis the share of names in a sector with ratio > 1.0.

A lag-corrected exponential smoother: smooth the series once (s1), smooth that result again (s2), then combine to cancel the lag a single EMA introduces. The MIDOS indicators apply it symmetrically — once to price (the Adaptive Mean) and once to absolute deviation (adaptive volatility).

Brown's DES applied to price. Conceptually a moving average that's had its lag mathematically removed — it tracks price more closely than a simple MA without overshooting like a low- period EMA. Serves as the center line of the MIDOS bands and as the "trend" reference for the sentiment indicator. Toggle on the deep-dive chart via the Mean button.

How far price sits above/below its Adaptive Mean, scaled by adaptive volatility. Acts like a self-calibrating z-score of price vs trend. > +2 = overbought, < −2 = oversold; +1 to +2 bullish, −2 to −1 bearish, else neutral. Daily-equity params: γ=0.15, β=0.10, ω=1.5.

McNicholl's statistical-confidence mapping of |MIDOS SI| onto the 50–100% interval. > 90% = extreme (oversold = long candidate, overbought = short candidate); 80–90% high; 70–80% moderate; below that, weak.

Direction (DIR): whether MIDOS SI is rising (▲) or falling (▼) vs the previous day. Signal: composite-score-based (BUY / SELL / NEUTRAL). DIR can disagree with Signal — a BUY with DIR ▼means the stock is deeply oversold but hasn't turned yet (a leading signal). A BUY with DIR ▼ is the more comfortable entry; the SELL mirror applies the opposite way.

Bollinger Bands rebuilt on Brown's DES: the center line is the Adaptive Mean (not a simple MA), and the band width uses DES-smoothed absolute deviation (not stdev). They hug price more tightly and lag less than classic bands. Overlaid in purple on the deep-dive price chart via the MIDOS SI toggle.

The OI-weighted average of all option strikes — the gravitational center of dealer positioning. Spot price tends to be pulled toward it via gamma hedging, especially near expiration.

Put OI divided by call OI. Above 1.5 = put-heavy (often contrarian bullish), below 0.5 = call-heavy (often contrarian bearish). Mid-range readings are noise.

Calendar days until an option contract expires. The blotter targets 25–50 DTE for credit spreads — far enough to collect premium, near enough for theta decay to dominate.

Estimated probability that a signal closes profitably. Built from a per-strategy base rate, then adjusted for confirmations: Williams OI trend, OI-center direction, vol regime, and edge quality. Used by the Kelly sizer as p. Theoretical model, not historical. Empirical calibration begins after 50+ closed trades.

Expected return per dollar at risk, expressed as a percentage. Combines Win Prob with the spread's max profit and max loss. Positive edge means the trade is theoretically profitable; the Kelly sizer requires a minimum edge (default 2%) before allocating capital.

Optimal fraction of capital to bet, given win probability and payoff ratio. We size at ¼-Kelly in practice — full Kelly is volatile in finite samples and assumes perfect probability estimates.

Adjusts trade size based on the current Vol Regime — applied on top of Kelly. A risk-management guardrail: when VIX is rising, every new bet automatically shrinks.

• NORMAL · 100% (full size)
• ELEVATED · 75% (reduce by 25%)
• HIGH · 50% (half size)
• EXTREME · 0% (no new positions)

Example: Position: 75% in the top-right Vol Regime badge means size your next trades at 75% of what Kelly recommends.

Classification of current market volatility from a composite score across six indices — VIX, VXN, RVX, OVX, GVZ, VVIX. Each index is scored by its 52-week percentile and weighted by asset-class importance. The composite drives the Position Multiplier and is shown in the top-right badge.