Volatility Saver
(131007885)
Subscription terms. Subscriptions to this system cost $39.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  +2.2%  +4.5%  +18.7%  +0.2%  +27.1%  
2021  (6.9%)  +0.1%  +12.0%  +7.8%  (1.9%)  +6.2%  (1.5%)  +7.5%  (6.1%)  +10.5%  (2.9%)  +24.9% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $25,000  
Buy Power  $38,882  
Cash  $50,253  
Equity  $8,794  
Cumulative $  $16,044  
Total System Equity  $41,044  
Margined  $20,165  
Open P/L  $8,794 
Trading Record
Statistics

Strategy began9/4/2020

Suggested Minimum Cap$15,000

Strategy Age (days)449.55

Age15 months ago

What it tradesStocks

# Trades17

# Profitable10

% Profitable58.80%

Avg trade duration25.1 days

Max peaktovalley drawdown16.79%

drawdown periodMay 10, 2021  May 19, 2021

Annual Return (Compounded)45.2%

Avg win$1,106

Avg loss$368.43
 Model Account Values (Raw)

Cash$50,253

Margin Used$20,165

Buying Power$38,882
 Ratios

W:L ratio4.29:1

Sharpe Ratio1.6

Sortino Ratio2.18

Calmar Ratio3.545
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)24.73%

Correlation to SP5000.48320

Return Percent SP500 (cumu) during strategy life34.07%
 Return Statistics

Ann Return (w trading costs)45.2%
 Slump

Current Slump as Pcnt Equity6.20%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.05%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.452%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)49.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss10.50%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)556

Popularity (Last 6 weeks)904
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score921

Popularity (7 days, Percentile 1000 scale)673
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$368

Avg Win$1,862

Sum Trade PL (losers)$2,579.000
 AUM

AUM (AutoTrader num accounts)3
 Age

Num Months filled monthly returns table15
 Win / Loss

Sum Trade PL (winners)$18,624.000

# Winners10

Num Months Winners10
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)415953
 Win / Loss

# Losers7

% Winners58.8%
 Frequency

Avg Position Time (mins)36177.40

Avg Position Time (hrs)602.96

Avg Trade Length25.1 days

Last Trade Ago4
 Leverage

Daily leverage (average)0.50

Daily leverage (max)1.30
 Regression

Alpha0.06

Beta0.67

Treynor Index0.15
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.12

MAE:Equity, average, winning trades0.02

MAE:Equity, average, losing trades0.02

Avg(MAE) / Avg(PL)  All trades2.167

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:Equity, 95th Percentile Value for this strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.715

Avg(MAE) / Avg(PL)  Losing trades1.335

HoldandHope Ratio1.410
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.45006

SD0.19691

Sharpe ratio (Glass type estimate)2.28566

Sharpe ratio (Hedges UMVUE)2.15077

df13.00000

t2.46879

p0.16050

Lowerbound of 95% confidence interval for Sharpe Ratio0.23804

Upperbound of 95% confidence interval for Sharpe Ratio4.26254

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15674

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.14479
 Statistics related to Sortino ratio

Sortino ratio9.71773

Upside Potential Ratio10.89270

Upside part of mean0.50448

Downside part of mean0.05442

Upside SD0.22525

Downside SD0.04631

N nonnegative terms10.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations14.00000

Mean of predictor0.24024

Mean of criterion0.45006

SD of predictor0.09740

SD of criterion0.19691

Covariance0.01236

r0.64463

b (slope, estimate of beta)1.30325

a (intercept, estimate of alpha)0.13697

Mean Square Error0.02455

DF error12.00000

t(b)2.92097

p(b)0.17769

t(a)0.75941

p(a)0.39293

Lowerbound of 95% confidence interval for beta0.33113

Upperbound of 95% confidence interval for beta2.27538

Lowerbound of 95% confidence interval for alpha0.25601

Upperbound of 95% confidence interval for alpha0.52995

Treynor index (mean / b)0.34534

Jensen alpha (a)0.13697
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.42459

SD0.18578

Sharpe ratio (Glass type estimate)2.28541

Sharpe ratio (Hedges UMVUE)2.15053

df13.00000

t2.46853

p0.16053

Lowerbound of 95% confidence interval for Sharpe Ratio0.23784

Upperbound of 95% confidence interval for Sharpe Ratio4.26225

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15655

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.14452
 Statistics related to Sortino ratio

Sortino ratio8.97321

Upside Potential Ratio10.14390

Upside part of mean0.47998

Downside part of mean0.05539

Upside SD0.21174

Downside SD0.04732

N nonnegative terms10.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations14.00000

Mean of predictor0.23308

Mean of criterion0.42459

SD of predictor0.09564

SD of criterion0.18578

Covariance0.01129

r0.63535

b (slope, estimate of beta)1.23421

a (intercept, estimate of alpha)0.13692

Mean Square Error0.02230

DF error12.00000

t(b)2.85009

p(b)0.18232

t(a)0.79990

p(a)0.38750

Lowerbound of 95% confidence interval for beta0.29069

Upperbound of 95% confidence interval for beta2.17772

Lowerbound of 95% confidence interval for alpha0.23603

Upperbound of 95% confidence interval for alpha0.50987

Treynor index (mean / b)0.34402

Jensen alpha (a)0.13692
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05146

Expected Shortfall on VaR0.07230
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00668

Expected Shortfall on VaR0.01636
 ORDER STATISTICS
 Quartiles of return rates

Number of observations14.00000

Minimum0.95364

Quartile 11.00534

Median1.02599

Quartile 31.05726

Maximum1.15933

Mean of quarter 10.98646

Mean of quarter 21.02012

Mean of quarter 31.03076

Mean of quarter 41.11480

Inter Quartile Range0.05192

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.14286

Mean of outliers high1.14763
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)3.88571

VaR(95%) (moments method)0.00385

Expected Shortfall (moments method)0.00390

Extreme Value Index (regression method)1.24291

VaR(95%) (regression method)0.03634

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00872

Quartile 10.01831

Median0.02790

Quartile 30.03749

Maximum0.04709

Mean of quarter 10.00872

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.04709

Inter Quartile Range0.01919

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59605

Compounded annual return (geometric extrapolation)0.57223

Calmar ratio (compounded annual return / max draw down)12.15260

Compounded annual return / average of 25% largest draw downs12.15260

Compounded annual return / Expected Shortfall lognormal7.91481

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.40188

SD0.19075

Sharpe ratio (Glass type estimate)2.10684

Sharpe ratio (Hedges UMVUE)2.10185

df317.00000

t2.32110

p0.01046

Lowerbound of 95% confidence interval for Sharpe Ratio0.31866

Upperbound of 95% confidence interval for Sharpe Ratio3.89177

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31531

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.88839
 Statistics related to Sortino ratio

Sortino ratio2.87773

Upside Potential Ratio8.90642

Upside part of mean1.24378

Downside part of mean0.84191

Upside SD0.13185

Downside SD0.13965

N nonnegative terms189.00000

N negative terms129.00000
 Statistics related to linear regression on benchmark

N of observations318.00000

Mean of predictor0.22374

Mean of criterion0.40188

SD of predictor0.14122

SD of criterion0.19075

Covariance0.01320

r0.49016

b (slope, estimate of beta)0.66205

a (intercept, estimate of alpha)0.25400

Mean Square Error0.02773

DF error316.00000

t(b)9.99645

p(b)0.00000

t(a)1.67073

p(a)0.04788

Lowerbound of 95% confidence interval for beta0.53175

Upperbound of 95% confidence interval for beta0.79236

Lowerbound of 95% confidence interval for alpha0.04507

Upperbound of 95% confidence interval for alpha0.55257

Treynor index (mean / b)0.60702

Jensen alpha (a)0.25375
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.38324

SD0.19211

Sharpe ratio (Glass type estimate)1.99487

Sharpe ratio (Hedges UMVUE)1.99014

df317.00000

t2.19774

p0.01435

Lowerbound of 95% confidence interval for Sharpe Ratio0.20752

Upperbound of 95% confidence interval for Sharpe Ratio3.77912

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20437

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.77591
 Statistics related to Sortino ratio

Sortino ratio2.68995

Upside Potential Ratio8.66897

Upside part of mean1.23507

Downside part of mean0.85183

Upside SD0.13059

Downside SD0.14247

N nonnegative terms189.00000

N negative terms129.00000
 Statistics related to linear regression on benchmark

N of observations318.00000

Mean of predictor0.21367

Mean of criterion0.38324

SD of predictor0.14143

SD of criterion0.19211

Covariance0.01330

r0.48941

b (slope, estimate of beta)0.66479

a (intercept, estimate of alpha)0.24119

Mean Square Error0.02816

DF error316.00000

t(b)9.97638

p(b)0.00000

t(a)1.57672

p(a)0.05793

Lowerbound of 95% confidence interval for beta0.53368

Upperbound of 95% confidence interval for beta0.79589

Lowerbound of 95% confidence interval for alpha0.05978

Upperbound of 95% confidence interval for alpha0.54217

Treynor index (mean / b)0.57648

Jensen alpha (a)0.24119
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01790

Expected Shortfall on VaR0.02275
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00625

Expected Shortfall on VaR0.01399
 ORDER STATISTICS
 Quartiles of return rates

Number of observations318.00000

Minimum0.92822

Quartile 10.99710

Median1.00182

Quartile 31.00779

Maximum1.04158

Mean of quarter 10.98816

Mean of quarter 20.99957

Mean of quarter 31.00457

Mean of quarter 41.01427

Inter Quartile Range0.01069

Number outliers low13.00000

Percentage of outliers low0.04088

Mean of outliers low0.96400

Number of outliers high7.00000

Percentage of outliers high0.02201

Mean of outliers high1.02883
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.64541

VaR(95%) (moments method)0.01156

Expected Shortfall (moments method)0.03597

Extreme Value Index (regression method)0.16984

VaR(95%) (regression method)0.00956

Expected Shortfall (regression method)0.01523
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations28.00000

Minimum0.00012

Quartile 10.00549

Median0.01519

Quartile 30.02968

Maximum0.14344

Mean of quarter 10.00234

Mean of quarter 20.01167

Mean of quarter 30.02195

Mean of quarter 40.06667

Inter Quartile Range0.02419

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.10714

Mean of outliers high0.10092
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.19878

VaR(95%) (moments method)0.06557

Expected Shortfall (moments method)0.08300

Extreme Value Index (regression method)0.47313

VaR(95%) (regression method)0.08413

Expected Shortfall (regression method)0.17617
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.53316

Compounded annual return (geometric extrapolation)0.50855

Calmar ratio (compounded annual return / max draw down)3.54544

Compounded annual return / average of 25% largest draw downs7.62724

Compounded annual return / Expected Shortfall lognormal22.35690

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.28393

SD0.17184

Sharpe ratio (Glass type estimate)1.65224

Sharpe ratio (Hedges UMVUE)1.64269

df130.00000

t1.16831

p0.44903

Lowerbound of 95% confidence interval for Sharpe Ratio1.12998

Upperbound of 95% confidence interval for Sharpe Ratio4.42817

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13630

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.42168
 Statistics related to Sortino ratio

Sortino ratio2.17440

Upside Potential Ratio8.40210

Upside part of mean1.09713

Downside part of mean0.81320

Upside SD0.11208

Downside SD0.13058

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.28393

SD of predictor0.10630

SD of criterion0.17184

Covariance0.01313

r0.71891

b (slope, estimate of beta)1.16223

a (intercept, estimate of alpha)0.10151

Mean Square Error0.01438

DF error129.00000

t(b)11.74690

p(b)0.08558

t(a)0.59609

p(a)0.46665

Lowerbound of 95% confidence interval for beta0.96648

Upperbound of 95% confidence interval for beta1.35799

Lowerbound of 95% confidence interval for alpha0.23542

Upperbound of 95% confidence interval for alpha0.43843

Treynor index (mean / b)0.24430

Jensen alpha (a)0.10151
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26896

SD0.17310

Sharpe ratio (Glass type estimate)1.55382

Sharpe ratio (Hedges UMVUE)1.54484

df130.00000

t1.09872

p0.45204

Lowerbound of 95% confidence interval for Sharpe Ratio1.22731

Upperbound of 95% confidence interval for Sharpe Ratio4.32916

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.23332

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.32300
 Statistics related to Sortino ratio

Sortino ratio2.02574

Upside Potential Ratio8.21552

Upside part of mean1.09079

Downside part of mean0.82183

Upside SD0.11127

Downside SD0.13277

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.26896

SD of predictor0.10647

SD of criterion0.17310

Covariance0.01326

r0.71964

b (slope, estimate of beta)1.17004

a (intercept, estimate of alpha)0.09196

Mean Square Error0.01456

DF error129.00000

t(b)11.77160

p(b)0.08525

t(a)0.53687

p(a)0.46995

VAR (95 Confidence Intrvl)0.01800

Lowerbound of 95% confidence interval for beta0.97338

Upperbound of 95% confidence interval for beta1.36669

Lowerbound of 95% confidence interval for alpha0.24694

Upperbound of 95% confidence interval for alpha0.43087

Treynor index (mean / b)0.22987

Jensen alpha (a)0.09196
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01643

Expected Shortfall on VaR0.02080
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00629

Expected Shortfall on VaR0.01382
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95294

Quartile 10.99689

Median1.00177

Quartile 31.00759

Maximum1.02277

Mean of quarter 10.98893

Mean of quarter 20.99925

Mean of quarter 31.00425

Mean of quarter 41.01241

Inter Quartile Range0.01070

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.96339

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73969

VaR(95%) (moments method)0.01196

Expected Shortfall (moments method)0.04765

Extreme Value Index (regression method)0.05138

VaR(95%) (regression method)0.00767

Expected Shortfall (regression method)0.01067
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00329

Quartile 10.00597

Median0.02688

Quartile 30.04210

Maximum0.06830

Mean of quarter 10.00444

Mean of quarter 20.01892

Mean of quarter 30.04149

Mean of quarter 40.05950

Inter Quartile Range0.03613

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.68731

VaR(95%) (moments method)0.06274

Expected Shortfall (moments method)0.06387

Extreme Value Index (regression method)0.03510

VaR(95%) (regression method)0.07343

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.09213

Strat Max DD how much worse than SP500 max DD during strat life?329432000

Max Equity Drawdown (num days)9
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.32003

Compounded annual return (geometric extrapolation)0.34564

Calmar ratio (compounded annual return / max draw down)5.06054

Compounded annual return / average of 25% largest draw downs5.80947

Compounded annual return / Expected Shortfall lognormal16.61350
Strategy Description
Diversified program with six uncorrelated substrategies, each with a distinct return driver.
Variable exposure with fast adaptability to shifts in market volatility.
Daily trading / risk management.
Benefits
Harvesting structural risk premia  VXX is a long term decaying asset due to VIX term structure contango and the price of volatility is structurally overstated due to excess demand of portfolio insurance.
Statistical edge due to volatility clustering.
Ultra liquid trading  VXX is amongst the most traded securities at the US exchanges.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.