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1. glossary

   Benchmark

   A feasible comparator chosen to challenge the actual claim, using compatible dates, risks, costs, and information.

2. glossary

   Hypothesis

   A measurable claim about a defined population, outcome, horizon, and comparison that evidence can contradict.

3. glossary

   Simple return

   Gain relative to beginning wealth over one period; compound consecutive periods by multiplying growth factors.

4. glossary

   Log return

   Natural logarithm of a positive wealth ratio; additive through time for a consistent series.

5. glossary

   Basis point

   0.01 percentage points, or 0.0001 as a fractional return. A rate moving 2% to 3% changes by 100 basis points.

6. glossary

   Percentage point

   The direct difference between percentage rates. Moving 4% to 6% is two percentage points and a 50% relative increase.

7. glossary

   Conditional probability

   Probability within a specified information or event group; reversing the condition generally changes the denominator.

8. glossary

   Base rate

   The event frequency before considering the additional signal; rare events can produce many false alerts even with a sensitive detector.

9. glossary

   Expected value

   Probability-weighted average outcome under a distribution; not a loss bound or a guarantee for one realization.

10. glossary

    Variance

    Average squared deviation under the chosen population or sample convention; standard deviation takes its square root.

11. glossary

    Skewness

    A measure of distributional asymmetry. Negative skew can coexist with positive average return.

12. glossary

    Excess kurtosis

    Ordinary kurtosis minus three; distinguish convention and noisy tail estimation before interpreting a reported number.

13. glossary

    Covariance

    Paired co-movement about the respective means, retaining the product of the variables' units.

14. glossary

    Pearson correlation

    Covariance normalized by positive standard deviations; describes linear association, not general independence or causality.

15. glossary

    Spearman correlation

    Correlation of ranks, measuring monotonic ordering rather than linear spacing of raw values.

16. glossary

    Autocorrelation

    Association of a series with its lagged values; overlapping targets can create it without independent new evidence.

17. glossary

    Standard error

    Sampling spread of an estimator, distinct from the spread of individual observations. Independence-based formulas can fail under dependence.

18. glossary

    Confidence interval

    An interval from a procedure with stated repeated-sampling coverage under assumptions, not a future-loss bound.

19. glossary

    P-value

    Extremeness probability for the statistic under the null and sampling model; not a probability that the null is true.

20. glossary

    Statistical power

    Probability of rejecting a false null for a specified alternative under the test's assumptions.

21. glossary

    CAGR

    Constant annual compound growth rate matching positive starting and ending wealth over stated years without external flows.

22. glossary

    Drawdown

    Loss from a running wealth peak to a later observation; historical maximum is not a future maximum-loss guarantee.

23. glossary

    Sharpe ratio

    Same-frequency mean excess return divided by excess-return standard deviation, with explicit annualization and cost conventions.

24. glossary

    Sortino ratio

    Return above a stated target relative to downside deviation; target and denominator conventions must be declared.

25. glossary

    Point-in-time data

    Values and identities representing what was actually available at each historical decision, including relevant vintages and latency.

26. glossary

    Look-ahead bias

    Historical decisions use information not yet available at their stated decision time.

27. glossary

    Survivorship bias

    Selection based on surviving to a later date can change the historical population and omit failures.

28. glossary

    Holdout

    An evaluation sample protected from fitting and selection; its information role changes once used to redesign a procedure.

29. glossary

    Purging

    Removing ineligible training labels whose information intervals overlap a held-out interval under a defined design.

30. glossary

    Embargo

    A justified exclusion of nearby later training observations in certain blocked designs; not a universal arbitrary gap.

31. glossary

    Nested evaluation

    Outer evaluation of a full inner selection-and-fitting procedure; each learned inner transformation respects its own training boundary.

32. glossary

    Precision

    True positive calls divided by all positive calls; undefined zero-denominator cases need a convention.

33. glossary

    Recall

    Detected positive events divided by actual positive events; a different conditioning group from precision.

34. glossary

    Calibration

    Agreement between probabilities and repeated event frequencies in comparable groups, with counts and uncertainty.

35. glossary

    Discrimination

    Ability to rank cases by outcome risk; useful ordering need not imply accurate probability levels.

36. glossary

    Brier score

    Mean squared binary probability error; lower is better on the same eligible outcome sample.

37. glossary

    Pinball loss

    Asymmetric residual loss targeting a requested quantile under population conditions; not a maximum-loss guarantee.

38. glossary

    Multiple testing

    Repeated research choices create selection opportunities; the discarded experiments matter when interpreting a selected winner.

39. glossary

    FDR

    Expected false-rejection proportion among rejections under a procedure's assumptions, not the probability one discovery is false.

40. glossary

    Turnover

    Trading activity under a declared convention; per-executed-dollar costs need total bought-plus-sold notional when that is what is charged.

41. glossary

    Capacity

    How feasible net opportunity changes with size, trading, liquidity, and constraints; a curve rather than a fixed return label.

42. glossary

    Implementation shortfall

    Execution outcome relative to a defined decision benchmark, accounting for relevant delay and unfilled opportunity without double counting.

43. glossary

    Concept drift

    A changed conditional input-to-outcome relationship; stable input histograms alone do not rule it out.

44. glossary

    Collider

    A shared consequence of two causes; conditioning on it can create association between those causes.

45. glossary

    Difference-in-differences

    Treated-group change minus comparison-group change; causal interpretation needs a justified identification design.

46. glossary

    Marginal risk

    Local risk sensitivity under fixed estimated inputs; funded substitutions must include the leg reduced elsewhere.

47. glossary

    Shrinkage

    Moving an estimate toward a structured target to trade bias for lower variance or improved stability under suitable conditions.

48. glossary

    Span

    All linear combinations of a collection of vectors; coefficients need not sum to one or be positive.

49. glossary

    Null space

    Input vectors mapped to zero by a linear transformation; its dimension plus rank equals the number of input coordinates.

50. glossary

    Gradient

    Vector of partial derivatives; Euclidean directional derivatives use a dot product with a unit direction.