Glossary

Futures contract

A standardised exchange-traded agreement to buy or sell an asset at a predetermined price on a set future date. AureonQuant trades the CME equity index futures family: ES, MES, NQ, and MNQ.

Margin

The good-faith deposit required by a broker to hold an open futures position. CME SPAN initial margin for ES and NQ varies by instrument and market conditions; micro contracts (MES, MNQ) require roughly one-tenth the margin of their full-size counterparts.

Tick

The minimum price increment for a futures contract. ES, MES, NQ, and MNQ all share a 0.25 index-point tick — worth $12.50 per tick on ES, $1.25 on MES, $5.00 on NQ, and $0.50 on MNQ.

Slippage

The difference between the expected fill price and the actual execution price, caused by market impact or queue position. Lower slippage is one reason AureonQuant focuses on highly liquid CME index contracts.

Drawdown

The peak-to-trough decline in a strategy's equity curve, expressed in points, USD, or percentage. Maximum drawdown is reported for both in-sample and out-of-sample periods on the Performance page.

Profit factor

Gross winning trades divided by gross losing trades. A value above 1.0 means the strategy earns more on winners than it loses on losers. A profit factor above 1.5 is generally considered healthy for a systematic intraday strategy.

Win rate

The percentage of trades that close at a profit. Win rate alone is not sufficient — a strategy can be profitable with a win rate below 50% if winners are meaningfully larger than losers.

High-water mark

The highest cumulative equity value a strategy has ever reached. Drawdown is measured from the most recent high-water mark to the current equity level. Performance fees at AureonQuant are only charged on new high-water mark gains.

Sharpe ratio

Annualised return divided by annualised volatility of returns. A higher Sharpe ratio indicates better risk-adjusted performance. Values above 1.0 are generally considered good; above 2.0 is strong for a systematic intraday strategy.

Sortino ratio

Similar to the Sharpe ratio but divides only by downside deviation, penalising volatility on losing trades only. This makes it a more relevant metric when a strategy's return distribution is right-skewed.

SQN (System Quality Number)

A composite quality score defined here as Sortino × √n, where n is the number of trades. SQN captures both the quality of the strategy (Sortino) and the statistical confidence provided by sample size. AureonQuant uses IS SQN as its primary optimisation target.

XGBoost

Extreme Gradient Boosting — an ensemble machine learning algorithm that builds decision trees sequentially, each correcting the errors of the previous one. AureonQuant uses an XGBoost classifier to produce per-bar directional probability scores.

Walk-forward validation

A time-series validation technique that trains on a rolling or expanding window and tests on the immediately following unseen period. This prevents look-ahead bias and provides a realistic estimate of live performance.

In-sample (IS)

The portion of historical data used to train and optimise the model or strategy parameters. IS statistics are expected to be better than OOS by construction and should not be treated as live performance estimates.

Out-of-sample (OOS)

The portion of data held back entirely during training. OOS performance is the honest measure of how the strategy may behave on genuinely unseen market conditions.

Overfitting

The failure mode where a model learns noise specific to the training data rather than general patterns. Walk-forward validation, parameter constraints, and OOS testing are the primary defences against overfitting.

CAGR

Compound Annual Growth Rate — the annualised rate at which an account would need to grow to reach its ending value from its starting value, assuming returns compound. Reported on the Performance page alongside fixed-dollar equity curves.

Signal

The output of the AureonQuant pipeline for a given bar: a directional instruction (Long, Flat, or Short) plus the associated P↑ and P↓ probability scores. Signals are delivered in real time via WebSocket to the desktop client.

P↑ / P↓ probability

The model's estimated probability that the next bar will close higher (P↑) or lower (P↓) than the current bar's close. These raw probabilities are converted to directional positions by comparing against a threshold tuned on the validation fold.

IB Gateway

Interactive Brokers Gateway — a lightweight process that exposes the IB TWS API on a local TCP port (default 7497). The AureonQuant desktop client connects to IB Gateway to place and manage orders in your own brokerage account.

Position sizing

The number of contracts allocated to a trade. AureonQuant scales position size using a confidence-accuracy matrix derived from held-out validation data: higher-confidence signals receive larger allocations within the risk limits of your plan.

Contract size — micro vs full

Micro E-mini contracts (MES, MNQ) are exactly one-tenth the notional size of the full E-mini contracts (ES, NQ). Both families share the same tick structure and trade on CME Globex. Micros enable finer risk control for smaller accounts; full contracts offer higher per-contract P&L leverage for larger accounts.

P60e

The current baseline production strategy. Combines the P34 and P38 sub-strategies with a mild-stretch overlay. Used as the performance benchmark against which all newer strategy phases are compared.

P96

A second-generation strategy phase optimised on IS SQN with tighter walk-forward constraints. Targets improved OOS Sortino retention relative to P60e, with a focus on reducing false signals during low-conviction market conditions.

P98

A strategy variant introducing additional feature selection and a refined confidence threshold. Designed to reduce false signals while maintaining competitive trade frequency, particularly during trending sessions.

P112

An active risk-controlled mean-reversion strategy trading MNQ micro-futures. Available to Pro and Elite subscribers. Since live deployment in September 2025 it has maintained a 71.8% win rate and a profit factor above 7.9, with peak drawdown on margin staying below 6%.

P114

An intraday mean-reversion strategy on MNQ, available exclusively to Elite-tier subscribers. Since live deployment in September 2025 it has delivered a 68% win rate and a profit factor above 5.1. Its elevated trade frequency and tighter execution requirements make it best suited for Elite-plan accounts.