| A / Step | Half OR width: (ORH-ORL)/2. Base unit for targets, stops, and extensions. |
| ATR | Average True Range. 20-day average of daily High−Low. |
| BO | Breakout strategy — enter on vol-band trigger break. |
| 3C | 3-phase cascade exit (original). P1: tight, P2: wide, P3: tightening trail. |
| D15 | Delay_15_1.0 exit. Hold 15 bars (75 min), then 1.0× OR-width trailing stop from HWM. Used on 8/11 strategies. |
| Double-Break | Both ORH and ORL breached same day (~49% of days). Required for MR entry. |
| Entry C | Gap fade confirmation — wait for 25% gap fill before entering. |
| EOD | End of day flatten. ES 3:55 PM, MGC 1:20 PM. |
| Ext 1A/2A/3A | Extensions above ORH: ORH + 1/2/3 × step. |
| Ext 1B/2B/3B | Extensions below ORL: ORL - 1/2/3 × step. |
| F5 | Regime filter. Skip day when prior_day_range / 20d ATR < 0.65. Filters ~36% of days. |
| Gap Fade | Fade overnight gaps after Entry C confirmation. r=0.065 with ORB. |
| HWM | High-Water Mark. Best price since entry, for trailing stops. |
| K | Vol-band coefficient. ES BO Long K=0.5, ES BO Short K=0.25. Trigger = open ± K×VSO×open. |
| Monitor | WF-failed strategy running live at current sizing. Watching 2026 real-time performance to decide keep/drop. |
| LT / ST | Long/Short Trigger. Vol-band breakout entry levels. |
| MAE | Max Adverse Excursion. Worst unrealized P&L during trade. |
| MC | Monte Carlo simulation of eval pass probability. |
| MFE | Max Favorable Excursion. Best unrealized P&L during trade. |
| MGC | Micro Gold futures. $10/point. |
| DLL | Daily Loss Limit. Config 5a: $1,000/day circuit breaker. |
| MLL | Max Loss Limit. TopStep's $2.5K trailing drawdown (EOD). |
| MR | Mean Reversion. Fade double-break extensions. ES long-only. |
| OOS | Out-of-Sample. IS=2008–2020, OOS=2021–2026. |
| OR | Opening Range. 30-min window defining ORH/ORL/width/VSO. |
| ORB | Opening Range Breakout. Framework combining BO+MR. |
| ORH / ORL | Opening Range High / Low. |
| PF | Profit Factor. Gross profit / gross loss. >1.0 = profitable. |
| Q5 | Top 20% (fifth quintile). VSO Q5 skips wildest mornings. |
| Risk Score | 4-component z-score from prior day ES data. |
| RTH | Regular Trading Hours. ES: 9:30 AM–4:00 PM ET. |
| Rule C | Risk Score filter. |score|<0.5→skip BO, >3.5→directional only + skip MR. |
| S1-C | Overnight continuation. DISABLED — PF=0.93. |
| Dead Cat | MNQ Dead Cat Short. Gap-up ≥0.30% then OR Low breakdown. DRY-RUN. |
| ORTouch | OR Level Touch. Afternoon mean-reversion at AM Opening Range levels. ES (13:00–14:30), MGC (10:00–12:00, V5 filter), MNQ (13:00–15:00), CL V3, ZN V3. All 5 LIVE. |
| GC (Gap Cont) | Gap Continuation. Trades in direction of overnight gap with OR break confirmation. |
| Sharpe | Mean return / std dev. >1 good, >2 excellent, >3 exceptional. |
| Soft/Hard Stop | Soft = checked on bar close. Hard = checked on bar H/L. |
| Vol-Band | Volatility-normalized breakout triggers via VSO. Replaced static ORH/ORL. |
| VSO | Volatility Since Open. sqrt(sum squared 1-min log returns) during OR. |