Investing & Quant ML Glossary
Clear definitions of the investing, quantitative, and machine-learning concepts behind endeavr.ai.
- Walk-Forward Backtesting — An out-of-sample model validation method that trains on a rolling historical window, predicts the next unseen period, then slides forward — preventing look-ahead bias.
- Look-Ahead Bias — A backtesting flaw where a model is accidentally fed information that would not have been known at the time of the prediction, inflating apparent performance.
- Overfitting — When a model learns noise specific to its training data instead of the underlying signal, producing strong in-sample results that collapse on new data.
- Ensemble Model — A model that combines predictions from several independent models, typically producing more robust forecasts than any single model alone.
- LSTM (Long Short-Term Memory) — A recurrent neural network architecture designed to learn long-range dependencies in sequential data such as price history.
- Transformer Model — A neural architecture based on self-attention that processes an entire sequence in parallel, capturing relationships between any two time steps directly.
- Sharpe Ratio — A measure of risk-adjusted return: excess return over the risk-free rate divided by the standard deviation of returns.
- Sortino Ratio — A variant of the Sharpe ratio that measures return only against downside volatility, ignoring upside swings.
- Value at Risk (VaR) — An estimate of the maximum expected loss over a given horizon at a chosen confidence level, e.g. 95% or 99%.
- Beta — A measure of how much a stock moves relative to the broad market — beta of 1 moves with the market, above 1 is more volatile, below 1 less.
- Factor Analysis — Decomposing a stock's returns into exposures to systematic factors such as market, size, value, profitability, and investment.
- Alpha — The portion of return not explained by exposure to market or other systematic factors — a measure of genuine skill or edge.
- Calibrated Confidence — A confidence score is calibrated when its stated probability matches the observed frequency — 70% confident predictions should be right about 70% of the time.
- RSI (Relative Strength Index) — A momentum oscillator from 0 to 100 that flags overbought (above 70) and oversold (below 30) conditions.
- MACD (Moving Average Convergence Divergence) — A trend-following momentum indicator built from the difference between two exponential moving averages and a signal line.
- Bollinger Bands — Volatility bands plotted a number of standard deviations above and below a moving average, widening and narrowing as volatility changes.