Trading Glossary — the terms that actually move money.

Profit factor measures how many dollars you make for every dollar you lose. It is gross profit divided by gross loss across a sample of trades. A profit factor of 1.0 means you break even before commissions. Above 1.5 generally indicates a real edge for futures intraday strategies; above 2.0 is strong; above 3.0 is rare and usually a sample-size artifact. Profit factor compresses the entire P&L distribution into a single ratio, which is why it is more useful than win rate alone.

Profit Factor = Gross Profit ÷ Gross Loss

• → Read: What Is Profit Factor?

Expectancy is the average dollar outcome of a single trade across your sample. It rolls win rate, average win, and average loss into one number that tells you what to expect per trade going forward. Negative expectancy means the strategy is bleeding money no matter how good individual trades feel. Imperial Analytics requires a minimum of 20 trades before reporting expectancy as statistically meaningful, and 50+ trades before treating it as the basis for a strategy decision.

Expectancy = (Win Rate × Avg Win) − (Loss Rate × Avg Loss)

R-multiple expresses every trade's outcome as a multiple of the dollar amount you risked on entry. A trade that risked $100 and made $250 is a +2.5R trade. A trade that risked $100 and lost $100 is −1R. Standardizing in R lets you compare a 1-contract MES trade to a 5-contract NQ trade on the same scale, and it forces you to define risk before entering. Average R, win-rate-by-R-bucket, and the R distribution are the three views that surface execution leaks fastest.

R = Trade P&L ÷ Initial Risk per Trade

Win rate is the percentage of trades that closed profitable. By itself, win rate says almost nothing about whether a strategy makes money — a 30% win rate with average wins three times the size of average losses is profitable; an 80% win rate with one bad trade per week wiping out the gains is not. Win rate becomes useful only when paired with average win, average loss, and expectancy. Imperial Analytics surfaces all four together on every strategy view.

Win Rate = Winning Trades ÷ Total Trades

Sharpe ratio measures return per unit of volatility. It is the average return of a strategy minus the risk-free rate, divided by the standard deviation of returns. For active futures traders, Sharpe is usually computed on daily P&L. A Sharpe above 1.0 indicates returns are consistently outpacing volatility; above 2.0 is strong; institutional desks generally target 2.0+ on portfolio-level strategies. Sharpe penalizes both losing streaks and inconsistent winning streaks, which is why traders with high gross returns can have mediocre Sharpe.

Sharpe = (Avg Return − Risk-Free Rate) ÷ Std Dev of Returns

Sample size minimum is the trade-count threshold required before a statistic can be treated as evidence rather than noise. Imperial Analytics enforces these in code: 20 trades for behavioral pattern claims, 15 for strategy-level metrics, and 10 for time-of-day or session breakdowns. Below the minimum, the platform surfaces the data but does not draw conclusions or generate AI insights from it. The directive is simple: a 70% win rate over 6 trades is not a strategy — it is a coincidence.

• → Read: Why 20 Winning Trades Proves Nothing

Trailing drawdown is a moving floor under your account equity that follows your highest balance up but never down. If a prop firm sets a $2,500 trailing drawdown and your account climbs from $50,000 to $52,000, the drawdown threshold rises from $47,500 to $49,500. It does not retreat. Trailing drawdowns measured intraday — recalculated against the highest price hit on any open position — are far stricter than end-of-day trailing drawdowns and are the single largest reason funded accounts fail before payout.

• → Read: The Trailing Drawdown Rule That Kills Profitable Traders

Maximum drawdown is the largest peak-to-trough decline in account equity over a measured period. It answers a single question: what is the worst losing streak this strategy has produced so far? Max DD is reported in dollars, percentage, and duration. A strategy with a 60% win rate and a 35% maximum drawdown is psychologically harder to trade than one with a 50% win rate and 12% maximum drawdown — and most retail traders abandon high-DD strategies during the drawdown, locking in the loss without ever capturing the recovery.

Max DD = (Trough Equity − Peak Equity) ÷ Peak Equity

End-of-day drawdown is a drawdown threshold evaluated only against your closing balance each session, not against intraday equity swings. It gives traders room to weather an open-position drawdown without being stopped out, as long as the account closes the day above the floor. Most retail brokers and a small minority of prop firms use EOD drawdown; most futures prop firms enforce intraday trailing drawdowns instead. Imperial Analytics tracks both modes per account so you can pattern-match the rule that's actually being applied to you.

FIFO is an accounting and order-matching rule that closes the oldest open position first when a closing trade is placed. If you bought 2 MES contracts at 4500 and another 2 at 4505, then sold 2, the matched exit is against the 4500 position, not the 4505. FIFO is required by US futures regulation and is the foundation of Imperial Analytics' trade-reconstruction engine. Brokers that report fills rather than completed trades require FIFO matching to rebuild accurate per-trade P&L, average prices, and hold times.

VWAP is the average price of a security across a session, weighted by the volume traded at each price level. Institutions use VWAP as a benchmark for execution quality — a sell filled above session VWAP beat the average; a buy filled below it did. For active retail traders, VWAP is a directional bias tool: price above VWAP with rising volume signals buyer control; price below VWAP with rising volume signals seller control. Anchored VWAP from a session open or a key swing point is one of the more effective mean-reversion levels intraday.

VWAP = Σ(Price × Volume) ÷ Σ(Volume), reset each session

• → Read: Understanding VWAP

Tick value is the dollar value of one minimum price increment in a futures contract. ES (E-mini S&P 500) ticks at 0.25 index points and each tick is worth $12.50; MES (Micro E-mini S&P 500) ticks at the same 0.25 points but each tick is worth $1.25 — exactly one-tenth. NQ ticks at $5.00 per 0.25 move; MNQ ticks at $0.50. Tick value times tick count equals trade P&L before commissions. Imperial Analytics ships a verified tick-value table for every active CME futures contract so P&L is computed correctly even when broker CSVs are missing the field.

Slippage is the difference between the price you intended to fill at and the price you actually filled at. On a market order during a fast move, slippage is usually negative — you pay more on a buy or receive less on a sell. On a limit order, slippage is technically zero, but the alternative cost is a missed fill. Aggregated slippage is one of the largest hidden costs in retail futures trading: a 1-tick average slippage on 200 MES round-trip trades per month equals $500 in cost that never appears as a separate line item in any broker statement.

Behavioral fingerprint is the persistent statistical signature of how an individual trader actually behaves — distinct from how they say they behave or how they intend to behave. It includes win rate by hour-of-day, by day-of-week, by instrument, and by position size; revenge-trade frequency after a loss exceeding a threshold R; FOMO-entry rate during fast moves; and discipline score against the trader's own stated rules. Imperial Analytics builds the fingerprint over a rolling 90-day window and surfaces drift the moment a session diverges from baseline.

Revenge trading is entering a new position immediately after a loss with the intent — usually unconscious — of recovering the money rather than executing the strategy. The statistical fingerprint is consistent: revenge entries have shorter time-since-prior-exit, larger position size, lower setup quality, and significantly worse expectancy than baseline trades. Identifying revenge trades requires labeling every trade by what came before it, which is why Imperial Analytics computes time-from-prior-exit and prior-trade-result on every entry and reports the dollar cost of the pattern by month.

• → Read: Revenge Trading — The Real Cost

A FOMO entry is a position taken late in a directional move, typically after price has already extended well past the trader's normal entry zone, on the fear of missing further gains. The fingerprint is a poor entry price relative to the session range, a tighter-than-normal stop, and an above-average chance of being shaken out near the high before continuation. FOMO entries cluster around fast moves on social-media-trending instruments. Imperial Analytics flags FOMO statistically by comparing entry price percentile to the rolling session range distribution.

Tilt is the emotional state where decision quality has measurably degraded — typically following a string of losses, an oversized loss, or an unexpected drawdown event. Tilted traders take trades they would normally skip, hold losers longer than their plan allows, and cut winners short. The signature is observable in data: trade frequency rises while average R falls, hold times on winners shorten while hold times on losers extend, and win rate compresses toward 50% even on previously-edge-positive setups. The fix is friction, not willpower.

A prop firm — short for proprietary trading firm — funds traders on the firm's own capital in exchange for a share of profits. Modern retail prop firms like Topstep, Apex, Bulenox, Lucid, MyFundedFutures, TradeDay, and Take Profit Trader operate an evaluation model: pay a monthly fee, hit a profit target without violating drawdown rules, then receive a funded account and a profit split. Prop firms are not brokers — your trades execute through Tradovate or NinjaTrader, and the prop firm tracks the result. Imperial Analytics ships per-firm commission tables so P&L is computed correctly out of the box.

• → Browse prop firm integrations

A funded account is a live trading account financed by a prop firm after a trader passes the firm's evaluation criteria. The trader keeps a contractual share of profits — typically 80% to 100% on the first tier of monthly payouts at most futures prop firms — while the firm absorbs the downside up to the account's drawdown limit. Funded accounts carry the same trailing-drawdown rules as evaluation accounts and the same intraday constraints. Most funded accounts fail not from strategy but from rule violations: hitting the trailing drawdown by ticks during a single bad session.