Engel Research | Glossary & Guide

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Homepage ConceptsPublic entry point with portfolio overview

Engel Research Portfolio: The flagship research portfolio displayed on the homepage, combining all three live trading strategies in an equally-weighted allocation.
Portfolio Graphs: Tab displaying graphical performance charts of the live portfolios—showing both realized and unrealized returns over time.
Symbol Ranking: Tab showing a ranked table of symbols based on various metrics such as Score and Slope, helping identify strength or weakness across assets.
Heatmap: Visual heatmap displaying all symbols in a structured grid with color-coded values representing their relative strength scores.
Momentum: Momentum map showing the rate of price change for each symbol—identifying which assets are rising or falling sharply in the short term.
Signal Ranking Table: Table displaying a ranked list of symbols based on signals and various algorithmic metrics for quick decision-making.
Score: Quantitative scoring of a symbol (typically ranging 0–10) representing the relative strength of its price signal or momentum.
Slope: Price slope—a measure indicating whether a symbol is rising or falling sharply over a specified recent period.
Divergence: Discrepancy between different indicators (e.g., price vs. momentum)—a signal that trend momentum may be weakening or reversing.
Category: Classification of a symbol by sector, industry, or other fundamental grouping for portfolio organization.
Portfolio (Button): Button to add a selected symbol to your personal trading portfolio.
Watchlist (Button): Button to add a symbol to your watchlist for monitoring without committing to a trade.
Chart (Button): Button to view a detailed price chart and technical analysis for a selected symbol.
Top 5: Filter button to display the 5 highest-scoring symbols based on the current ranking metric.
Low 5: Filter button to display the 5 lowest-scoring symbols based on the current ranking metric.
up%: Filter button to display the 5 symbols with the largest percentage price gains over a specified period.
down%: Filter button to display the 5 symbols with the largest percentage price declines over a specified period.
Updated: Timestamp indicating when the ranking table was last refreshed with the latest market data.

Portfolio ManualBuild and backtest custom portfolios

Load strategy packages (JSON): Import strategy files exported from the Research Optimizer. You can load multiple JSON files simultaneously to build a multi-strategy portfolio combining different approaches.
Start date: The beginning date for backtest analysis of your portfolio. Calculations proceed from this point forward through the selected time period.
End date: The ending date for backtest analysis. Usually left blank to backtest through the present day.
Max satellites: Maximum number of satellite strategies that can run simultaneously within a single portfolio allocation.
Run (Portfolio): Button that initiates a full backtest simulation of your portfolio using all loaded strategies and selected parameters.
Optimize Portfolio: Button that searches for the optimal combination of strategy weights by testing hundreds of different weighting scenarios against historical data.
Packages from Optimizer: Panel showing the count of strategy files pending in your browser cache from the Research Optimizer, waiting to be imported.
Load (Optimizer Packages): Button that imports the pending strategy files from the Optimizer into your current portfolio for testing.
Clear (Optimizer Packages): Button that removes all pending strategy files from your browser cache without importing them.
Live portfolio publish: Section displaying three "Slots"—reserved portfolio containers where finalized backtested strategies can be published and tracked live.
Slot 1: First live portfolio slot (default name: "US Market") for publishing a finalized strategy.
Slot 2: Second live portfolio slot (default name: "Global Market & Commodity") for a second live strategy.
Slot 3: Third live portfolio slot (default name: "Subsector") for a third live strategy, with configurable mode.
Slot 3 mode: Toggle between two operating modes for Slot 3: Research (historical backtest) or Rotation (live real-time tracking).
Research (Mode): Mode where the portfolio is tested historically using past data without executing live trades.
Rotation (Mode): Mode where the portfolio becomes "live," executing real-time trades and tracking actual market fills.
Reset Live History: Button that clears all historical live trading data for Slot 3 and restarts fresh from today. This action is irreversible.
Portfolio name: Custom name assigned to the live portfolio saved on the server.
Load Slot: Button that retrieves a saved portfolio from the server (Slot 1, 2, or 3) into the interface for viewing or modification.
Load File: Button that imports a previously saved portfolio JSON file from your local drive or shared source.
Backup: Button that exports your current portfolio configuration as a JSON file for safekeeping or sharing.
Open (Live Portfolio): Button that opens the live portfolio in the browser for viewing performance or detailed analysis.
Delete (Portfolio): Button that removes all data for the selected portfolio slot from the server (permanent deletion).
Replace: Button that overwrites the server-stored portfolio with your current working version.
Update live: Button that syncs your current portfolio changes to the server while preserving live trading history.
Strategy Packages: Section listing all loaded strategies currently contained within the portfolio.
Portfolio Return: Total percentage return of the combined portfolio across all strategies and the backtest period.
CAGR (Portfolio): Compound Annual Growth Rate—the annualized return of the portfolio averaged across the backtest period.
Drawdown (Portfolio): Maximum Drawdown—the largest peak-to-trough decline experienced by the portfolio during the backtest.
Positive Calendar Years: Count of calendar years in which the portfolio generated positive returns.
Avg Annual (Portfolio): Average annual return across all years in the backtest period.
Avg Exposure: Percentage of time the portfolio maintained an active trading position (vs. cash).
Strategy Trades (Portfolio): Total count of trades executed by all strategies combined within the portfolio.
Portfolio Actions Log (Section): Metric showing the total number of portfolio-level transactions or rebalancing actions executed.
Unique Symbols: Count of distinct symbols/stocks that appeared in any portfolio trade during the backtest.
Yearly Robustness Return: Return achieved in the robustness test using walk-forward validation across multiple years.
Yearly Robustness CAGR: Annualized growth rate calculated from the yearly robustness test results.
Yearly Robustness DD: Maximum drawdown observed in the yearly robustness test.
Test Coverage: Percentage of available historical data covered by the robustness test.
Test Year Range: The span of years included in the robustness test (e.g., 2015–2023).
Test Source: Origin of the test data—typically JSON import or live market data feed.
Return and Drawdown by Year: Table presenting annual returns and maximum drawdowns for each calendar year in the backtest.
Yearly Robustness Coverage: Table indicating test coverage and validation status for each symbol or year in the robustness analysis.
Strategy Contribution by Year: Table showing how much each loaded strategy contributed to total portfolio returns in each year.
Portfolio Impact Analysis: Table quantifying the impact each symbol had on overall portfolio performance and risk metrics.
Optimize Portfolio (Results): Table displaying all tested allocation combinations ranked by the selected optimization criterion (return, risk, or balanced).
Open Trades: Table of currently active trading positions that remain open and unrealized.
Closed Trades: Table of all executed trades that have been closed with realized gains or losses.
Portfolio Trade Journal: Detailed log of all trades executed by the portfolio, including entry/exit prices, dates, and P&L.
Portfolio Actions Log (Table): Complete record of all portfolio-level actions, rebalancing events, and administrative changes.

Market ResearchStrategy analysis and correlation tools

Market Research: Page displaying pre-built strategy concepts and their correlation analysis across different market conditions and asset classes.
Strong assets, overlaps and correlations: Analysis panel showing market-leading assets, portfolio overlap detection, and correlation metrics between different strategies.
Strategy cards: Visual cards presenting each available strategy with its name, description, and key performance metrics.
Correlation matrix: Grid showing pairwise correlations between strategies—color-coded cells indicate how closely two strategies' returns move together.
Correlation levels: Color scale indicating correlation strength: red and orange = high correlation, green = low correlation.

Algo PortfolioLive portfolio display with performance metrics

Algo Portfolio: Live algorithmic portfolio running three strategies simultaneously in equal-weight allocation. The page displays performance versus SPY benchmark.
Client display: Status indicator showing the portfolio is in verified public client view with audited historical performance records.
Performance Metrics: Section presenting core performance benchmarks: total return, CAGR, maximum drawdown, and annual statistics.
Cumulative Return (Portfolio): Total return accumulated from the portfolio's inception point to present—shows overall portfolio performance.
Average Annual (Portfolio Display): Mean of annual returns across all calendar years in the portfolio's verified history.
CAGR (Portfolio Display): Compound Annual Growth Rate—the average annualized return of the portfolio since inception.
Max DD (Portfolio Display): Maximum Drawdown—the largest peak-to-trough decline the portfolio has experienced since inception.
SPY: S&P 500 Index—the benchmark used for performance comparison and relative strength assessment.
Portfolio vs benchmark: Chart title displaying side-by-side performance comparison between the live portfolio and SPY.
Monthly / Yearly Return: Table showing portfolio returns broken down by individual months and calendar years.
Verified client display since: Inception date of verified performance records (typically 01.01.2019); all data from this point is audited.
Updated (Portfolio Display): Timestamp of the most recent data refresh for the portfolio page.

Portfolio Control BoardDaily portfolio signals and combined performance

Portfolio Control Board: Central dashboard displaying all three live portfolios simultaneously with combined performance metrics and monthly return table.
Daily client board: Dashboard view providing daily monitoring of live portfolio performance and key signals.
Portfolio signals: Daily status updates and trading signals from each live portfolio, showing actions and market updates in real-time.
Updated (Board): Timestamp of the most recent board update with new market data.
Next execution: Scheduled time for the next portfolio logic execution when updates will be processed.
Verified since (Board): Inception date of audited portfolio performance history (typically 01.01.2019).
Combined Portfolio Performance: Section showing the blended performance of all three portfolios weighted equally—includes chart and key statistics.
Equal weighted live portfolios: All three portfolios are weighted equally (33.3% each) in the combined performance calculation.
Total (Board): Cumulative return of the combined portfolio from its verified inception date.
CAGR (Board): Compound Annual Growth Rate of the combined equal-weighted portfolio.
Max DD (Board): Maximum Drawdown of the combined portfolio since inception.
Combined Return Table: Table presenting monthly returns for the equally-weighted combined portfolio.
Equal weighted monthly returns: Monthly return figures calculated by blending all three portfolios at equal (33.3%) weights.

Research OptimizerStrategy optimization and backtesting engine

Symbols: Select which stocks or assets to analyze. The engine searches from available historical data. You can choose one or multiple symbols—the algorithm tests combinations for each symbol individually or as a combined portfolio.
Slope window: Lookback period (in days) used to measure relative strength or weakness of a symbol. For example, 63 days measures price direction over the last 63 days—whether strength is rising or falling—for entry signal generation.
Sort: Ranking criterion for optimization results: "Balanced" (weighted across metrics), "Return" (highest profit), or "Drawdown" (lowest risk). Determines the ordering of test results by priority.
Entry score: Strength threshold required to initiate a position. Higher values (7–8) require strong signals; lower values (3–4) accept weaker signals. Range of 3–8 provides algorithm flexibility.
Exit score: Strength level at which positions close. If strength falls below this threshold, the algorithm exits to protect profits. Balances exit timing against trend capture.
Slope entry: Configure whether slope (relative strength) is used in entry decisions. Options: "Optimize on/off" (algorithm tests), "Fixed on" (always use), or "Off" (disabled).
Score entry: Configure whether strength score is used in entry decisions. Options: "Optimize on/off," "Fixed on," or "Off."
MA200 entry: Configure whether the 200-day moving average (MA200) filters entries. Price above MA200 typically signals uptrend; below signals downtrend. Options: "Optimize on/off," "Fixed on," or "Off."
Score exit: Configure whether strength score triggers exits. If score falls below threshold, weakening momentum signals exit. Options: "Optimize on/off," "Fixed on," or "Off."
Slope exit: Configure whether slope reversal (strength declining) triggers exits. Rising assets weakening signal potential danger. Options: "Optimize on/off," "Fixed on," or "Off."
MA200 exit: Configure whether price crossing below MA200 triggers exits, signaling trend reversal from up to down. Options: "Optimize on/off," "Fixed on," or "Off."
Take Profit: Fixed profit level at which positions auto-close (e.g., "10%" closes on 10% gain). Locks in gains before reversals but may cap upside on strong moves.
Chandelier Exit: Dynamic stop loss based on ATR (volatility). Adjusts with price volatility: high volatility = wider stops, low volatility = tighter stops. Parameters like 22/3, 22/4, 22/5 control sensitivity.
Run Optimization: Primary button initiating the optimization search. Tests thousands of parameter combinations across selected symbols and criteria to find the best historical fit.
Stress Test: Tests strategy robustness by slightly varying parameters (e.g., Entry Score ±0.5). If results remain strong despite changes, the strategy is robust. If results collapse, the strategy is parameter-sensitive.
Yearly Robustness (Optimizer): Walk-forward validation testing strategy on unseen data. For each year: train on prior years, test on current year. Demonstrates whether the algorithm generalizes to future periods.
Add to Research Portfolio: Button transferring the selected strategy to your Research Portfolio page for multi-strategy comparison and live tracking.
Export JSON: Button exporting strategy parameters as a JSON file. You can download, share, or reload later to restore the strategy.
Load JSON: Button importing a previously saved strategy JSON file. Restores all parameters and re-runs analysis for continued work.
Runs: Count of parameter combinations tested. Higher runs mean more exhaustive search. For example, 3 symbols × 100 parameter sets = 300 runs.
Total Return: Cumulative profit/loss percentage across the entire backtest period. Example: 150% means initial capital grew 2.5x. The headline performance metric.
Total CAGR: Compound Annual Growth Rate—annualized return. Divides total return by years to show average annual growth rate.
Total DD: Maximum Drawdown—the largest peak-to-trough decline. Example: -30% means capital dropped 30% from its peak. Measures downside pain.
Total Trades: Count of all trades executed. Higher trade count = larger sample, but also higher commissions. Average of 250 trades ≈ one trade per week.
Sort Score: Ranking metric used to order results by your selected criterion (Balanced/Return/Drawdown). Higher scores rank higher in the results table.
Equity Curve: Chart showing portfolio value over time. Rising line = gains, flat/falling = losses. Provides visual representation of performance trajectory.
Dynamic Trade Chart: Interactive price chart overlaid with trade markers: green for entries, red for exits. Visualizes trade timing relative to price movement.
Algo vs Symbol Benchmark: Comparison table between algorithm returns and buy-and-hold strategy on the same symbol. Demonstrates value added or lost vs. passive holding.
Buy & Hold: Passive benchmark strategy: buy once and hold through the period. Serves as baseline—if algorithm underperforms buy-and-hold, its value is questionable.
Trade Quality Analysis: Section analyzing trade characteristics: win/loss count, average winner, average loser. Reveals whether strategy profits from few large wins or many small wins.
Expectancy: Expected profit/loss per trade: (Win% × Avg Win) + (Loss% × Avg Loss). Positive expectancy validates long-term profitability even with moderate win rates.
Win Rate: Percentage of profitable trades. Example: 55% win rate means 55% of trades closed in profit, 45% in loss. Not the sole profitability indicator—large wins can offset low win rate.
Avg Return (Trade Quality): Average profit or loss per trade type (winners or losers separately). Example: winning trades average +3%, losing trades average -1.5%.
Avg Days: Average holding period per trade. Example: 20 days for winners indicates swing trading style. Reveals algorithm frequency—scalper vs. swing trader.
Winners vs Losers: Comparison table: count, average return, average duration for profitable vs. losing trades. Reveals strategy asymmetry.
Parameter (Stress Test): Variable modified in stress testing—Entry Score, Exit Score, Take Profit, etc. Tests robustness against small parameter variations.
Parameter sensitivity: Measure of how much results change with parameter adjustments. Low sensitivity = robust strategy; high sensitivity = fragile, curve-fitted strategy.
Results Table: Large table displaying all tested combinations ranked by Sort Score. Each row shows strategy parameters and metrics (Return, CAGR, DD, Win Rate). Click a row to detail-analyze that strategy.
Yearly Robustness — Selected Row: Walk-forward validation table for the selected strategy. For each year: Training Window (previous years) and Test Window (current year out-of-sample). Shows consistency across time.
Training Window: Historical data period used to optimize parameters before testing on the subsequent year. Enables walk-forward refinement.
Test Year: Specific year tested on unseen (out-of-sample) data. Simulates actual forward performance without look-ahead bias.
Test Return: Return during the test period (year not seen during training). If similar to training return, strategy is not overfit.
Test CAGR: Annualized growth rate during the test period.
Test DD: Maximum drawdown during the test period.
Test Trades: Count of trades executed during the test period.
Status (Yearly Robustness): Validation outcome per year: "Pass" = strong results, "Sensitive" = borderline results, "Failed" = poor out-of-sample performance.

Premium PortalAdvanced research and portfolio management

Premium Research Portal: Primary dashboard for premium members. Provides access to all research tools and live portfolio management features.
Research Tools: Section housing core strategy research and optimization tools.
Research Optimizer: Tool for testing and validating strategies through optimization and backtesting on historical data.
Research Portfolio: Tool for building and managing research portfolios. Load multiple strategies and prepare one for publication to a live slot.
Portfolio Workspace: Section containing all live portfolios—the control board plus all three live slots.
Portfolio Control Board (Premium): Central dashboard displaying all three live portfolios simultaneously with combined performance chart.
Strategy 1: First live portfolio slot (default: "US Market"). View, manage, and update from the research pages.
US Market: Default name for Strategy 1—reflects a US equity market-focused approach.
Strategy 2: Second live portfolio slot (default: "Global Market & Commodity"). View, manage, and update independently.
Global Market & Commodity: Default name for Strategy 2—reflects global equities and commodities exposure.
Strategy 3: Third live portfolio slot (default: "Subsector"). View, manage, and update independently.
Subsector: Default name for Strategy 3—reflects a subsector-focused, concentrated approach.
Personal Manual Portfolio: Private portfolio workspace where you maintain a personal watchlist and manual trading journal in the cloud.
Workspace rule: Platform governance: administrators control official portfolios and the public homepage. Other users save personal changes within their three portfolio slots without affecting public display.