forex trends
(37007906)
Subscription terms. Subscriptions to this system cost $45.00 per month.
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  

2008  +46.0%  +46.0%  
2009  (39.4%)  +30.2%  +49.7%  +47.6%  +40.8%  (0.9%)  +16.2%  (0.1%)  +14.6%  +3.8%  +4.6%  +8.8%  +282.3% 
2010  (1.4%)  +6.8%  +1.2%  +2.0%  +10.6%  +5.9%  +5.4%  (8.6%)  (0.1%)  (17.1%)  +10.1%  (8.3%)  +2.6% 
2011  +5.7%  (1.7%)  (1.6%)  (13.8%)  +3.3%  +14.7%  +3.0%    +23.9%  (25.9%)  +20.9%  +6.4%  +27.0% 
2012  (11.2%)  +15.2%  (3.6%)  (14.4%)  +12.5%  +4.9%  (24.3%)  (9.1%)  +8.4%  +4.4%  +21.8%  +9.7%  +3.7% 
2013  +39.2%  +7.1%  +0.2%  (7.9%)  (0.2%)  +10.5%  (8.8%)  +6.5%  (22.7%)  +3.1%  +16.4%  (1.9%)  +34.2% 
2014  +11.8%  (41.5%)  +7.3%  (29.8%)  +56.3%  (58.8%)  +154.1%  +27.0%  +62.2%        +66.1% 
2015  (0.1%)    (2%)  +13.2%  (9%)  (3.1%)  (11.9%)  (4.5%)  (3.4%)  +4.9%  (3.3%)  (6.1%)  (24.4%) 
2016  (5.5%)  +8.6%  +20.7%  +5.3%  (14.8%)  +9.3%    (0.2%)  +0.2%  (4.9%)  (2.8%)  (7.5%)  +4.0% 
2017  +13.9%  +3.2%  (3.3%)  (8%)  +2.2%  +12.3%  +14.8%  (2.8%)  +1.6%  (9.7%)  (3.4%)  +9.0%  +29.5% 
2018  +8.9%  (8.9%)  (5.7%)  (3%)  (2.4%)  +2.9%  (8.8%) 
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  $100,000  
Buy Power  $1,377,472  
Cash  $1,752,550  
Equity  ($218,115)  
Cumulative $  $1,434,435  
Total System Equity  $1,534,435  
Margined  $156,963  
Open P/L  ($218,115) 
Trading Record
Statistics

Strategy began12/7/2008

Suggested Minimum Cap$100,000

Strategy Age (days)3478.06

Age116 months ago

What it tradesForex

# Trades276

# Profitable132

% Profitable47.80%

Avg trade duration22.9 days

Max peaktovalley drawdown79.9%

drawdown periodSept 05, 2013  July 01, 2014

Annual Return (Compounded)32.7%

Avg win$32,479

Avg loss$19,811
 Model Account Values (Raw)

Cash$1,752,550

Margin Used$156,963

Buying Power$1,377,472
 Ratios

W:L ratio1.50:1

Sharpe Ratio0.866

Sortino Ratio1.569

Calmar Ratio0.716
 Return Statistics

Ann Return (w trading costs)32.7%

Ann Return (Compnd, No Fees)34.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account loss100.00%

Chance of 50% account loss100.00%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$19,812

Avg Win$32,480

# Winners132

# Losers144

% Winners47.8%
 Frequency

Avg Position Time (mins)32968.60

Avg Position Time (hrs)549.48

Avg Trade Length22.9 days

Last Trade Ago1196
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.70136

SD0.87248

Sharpe ratio (Glass type estimate)0.80388

Sharpe ratio (Hedges UMVUE)0.79650

df82.00000

t2.11416

p0.01877

Lowerbound of 95% confidence interval for Sharpe Ratio0.04621

Upperbound of 95% confidence interval for Sharpe Ratio1.55681

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04135

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55165
 Statistics related to Sortino ratio

Sortino ratio1.97234

Upside Potential Ratio3.48084

Upside part of mean1.23778

Downside part of mean0.53642

Upside SD0.81645

Downside SD0.35560

N nonnegative terms42.00000

N negative terms41.00000
 Statistics related to linear regression on benchmark

N of observations83.00000

Mean of predictor0.14940

Mean of criterion0.70136

SD of predictor0.18553

SD of criterion0.87248

Covariance0.02910

r0.17980

b (slope, estimate of beta)0.84554

a (intercept, estimate of alpha)0.57504

Mean Square Error0.74570

DF error81.00000

t(b)1.64499

p(b)0.05192

t(a)1.70530

p(a)0.04599

Lowerbound of 95% confidence interval for beta0.17718

Upperbound of 95% confidence interval for beta1.86825

Lowerbound of 95% confidence interval for alpha0.09590

Upperbound of 95% confidence interval for alpha1.24598

Treynor index (mean / b)0.82949

Jensen alpha (a)0.57504
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39850

SD0.73828

Sharpe ratio (Glass type estimate)0.53977

Sharpe ratio (Hedges UMVUE)0.53481

df82.00000

t1.41956

p0.07976

Lowerbound of 95% confidence interval for Sharpe Ratio0.21164

Upperbound of 95% confidence interval for Sharpe Ratio1.28796

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21491

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.28454
 Statistics related to Sortino ratio

Sortino ratio0.90441

Upside Potential Ratio2.30879

Upside part of mean1.01729

Downside part of mean0.61879

Upside SD0.59798

Downside SD0.44062

N nonnegative terms42.00000

N negative terms41.00000
 Statistics related to linear regression on benchmark

N of observations83.00000

Mean of predictor0.13141

Mean of criterion0.39850

SD of predictor0.18480

SD of criterion0.73828

Covariance0.02234

r0.16372

b (slope, estimate of beta)0.65406

a (intercept, estimate of alpha)0.31255

Mean Square Error0.53700

DF error81.00000

t(b)1.49361

p(b)0.06958

t(a)1.09852

p(a)0.13762

Lowerbound of 95% confidence interval for beta0.21724

Upperbound of 95% confidence interval for beta1.52536

Lowerbound of 95% confidence interval for alpha0.25355

Upperbound of 95% confidence interval for alpha0.87865

Treynor index (mean / b)0.60927

Jensen alpha (a)0.31255
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.27192

Expected Shortfall on VaR0.33195
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.10113

Expected Shortfall on VaR0.20860
 ORDER STATISTICS
 Quartiles of return rates

Number of observations83.00000

Minimum0.48845

Quartile 10.96100

Median1.01122

Quartile 31.10282

Maximum2.45062

Mean of quarter 10.83776

Mean of quarter 20.99064

Mean of quarter 31.06203

Mean of quarter 41.35273

Inter Quartile Range0.14182

Number outliers low4.00000

Percentage of outliers low0.04819

Mean of outliers low0.62225

Number of outliers high6.00000

Percentage of outliers high0.07229

Mean of outliers high1.73094
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18546

VaR(95%) (moments method)0.11886

Expected Shortfall (moments method)0.15547

Extreme Value Index (regression method)0.22356

VaR(95%) (regression method)0.14591

Expected Shortfall (regression method)0.24718
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations11.00000

Minimum0.00121

Quartile 10.02305

Median0.06093

Quartile 30.35142

Maximum0.56778

Mean of quarter 10.01206

Mean of quarter 20.03690

Mean of quarter 30.28971

Mean of quarter 40.48667

Inter Quartile Range0.32838

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)21.37700

VaR(95%) (moments method)0.51921

Expected Shortfall (moments method)0.51921

Extreme Value Index (regression method)2.21881

VaR(95%) (regression method)0.66257

Expected Shortfall (regression method)0.66819
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)2.61583

Compounded annual return (geometric extrapolation)0.53174

Calmar ratio (compounded annual return / max draw down)0.93653

Compounded annual return / average of 25% largest draw downs1.09261

Compounded annual return / Expected Shortfall lognormal1.60190

0.00000

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

Mean0.97362

SD1.12407

Sharpe ratio (Glass type estimate)0.86616

Sharpe ratio (Hedges UMVUE)0.86580

df1819.00000

t2.28288

p0.46599

Lowerbound of 95% confidence interval for Sharpe Ratio0.12188

Upperbound of 95% confidence interval for Sharpe Ratio1.61023

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12163

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.60997
 Statistics related to Sortino ratio

Sortino ratio1.56932

Upside Potential Ratio7.00659

Upside part of mean4.34695

Downside part of mean3.37333

Upside SD0.93891

Downside SD0.62041

N nonnegative terms764.00000

N negative terms1056.00000
 Statistics related to linear regression on benchmark

N of observations1820.00000

Mean of predictor0.18519

Mean of criterion0.97362

SD of predictor0.30689

SD of criterion1.12407

Covariance0.15104

r0.43786

b (slope, estimate of beta)1.60379

a (intercept, estimate of alpha)0.67700

Mean Square Error1.02185

DF error1818.00000

t(b)20.76580

p(b)0.28107

t(a)1.76293

p(a)0.47934

Lowerbound of 95% confidence interval for beta1.45232

Upperbound of 95% confidence interval for beta1.75527

Lowerbound of 95% confidence interval for alpha0.07613

Upperbound of 95% confidence interval for alpha1.42936

Treynor index (mean / b)0.60707

Jensen alpha (a)0.67662
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39726

SD1.07046

Sharpe ratio (Glass type estimate)0.37111

Sharpe ratio (Hedges UMVUE)0.37095

df1819.00000

t0.97810

p0.48540

Lowerbound of 95% confidence interval for Sharpe Ratio0.37267

Upperbound of 95% confidence interval for Sharpe Ratio1.11481

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37278

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11469
 Statistics related to Sortino ratio

Sortino ratio0.52478

Upside Potential Ratio5.30889

Upside part of mean4.01876

Downside part of mean3.62151

Upside SD0.75685

Downside SD0.75699

N nonnegative terms764.00000

N negative terms1056.00000
 Statistics related to linear regression on benchmark

N of observations1820.00000

Mean of predictor0.13808

Mean of criterion0.39726

SD of predictor0.30718

SD of criterion1.07046

Covariance0.14786

r0.44966

b (slope, estimate of beta)1.56696

a (intercept, estimate of alpha)0.18089

Mean Square Error0.91469

DF error1818.00000

t(b)21.46510

p(b)0.27517

t(a)0.49829

p(a)0.49416

Lowerbound of 95% confidence interval for beta1.42379

Upperbound of 95% confidence interval for beta1.71014

Lowerbound of 95% confidence interval for alpha0.53108

Upperbound of 95% confidence interval for alpha0.89285

Treynor index (mean / b)0.25352

Jensen alpha (a)0.18089
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10171

Expected Shortfall on VaR0.12593
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03184

Expected Shortfall on VaR0.06937
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1820.00000

Minimum0.43565

Quartile 10.98804

Median1.00000

Quartile 31.01478

Maximum2.25239

Mean of quarter 10.95188

Mean of quarter 20.99686

Mean of quarter 31.00444

Mean of quarter 41.06210

Inter Quartile Range0.02674

Number outliers low113.00000

Percentage of outliers low0.06209

Mean of outliers low0.88640

Number of outliers high141.00000

Percentage of outliers high0.07747

Mean of outliers high1.13299
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53126

VaR(95%) (moments method)0.04403

Expected Shortfall (moments method)0.10719

Extreme Value Index (regression method)0.38697

VaR(95%) (regression method)0.04070

Expected Shortfall (regression method)0.07977
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations56.00000

Minimum0.00008

Quartile 10.00828

Median0.04029

Quartile 30.14435

Maximum0.74013

Mean of quarter 10.00400

Mean of quarter 20.02019

Mean of quarter 30.08358

Mean of quarter 40.34183

Inter Quartile Range0.13607

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.10714

Mean of outliers high0.54664
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.38301

VaR(95%) (moments method)0.37073

Expected Shortfall (moments method)0.68532

Extreme Value Index (regression method)0.48960

VaR(95%) (regression method)0.32795

Expected Shortfall (regression method)0.65142
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)2.61587

Compounded annual return (geometric extrapolation)0.52984

Calmar ratio (compounded annual return / max draw down)0.71587

Compounded annual return / average of 25% largest draw downs1.55001

Compounded annual return / Expected Shortfall lognormal4.20727

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

Mean0.10451

SD0.54066

Sharpe ratio (Glass type estimate)0.19330

Sharpe ratio (Hedges UMVUE)0.19218

df130.00000

t0.13669

p0.49401

Lowerbound of 95% confidence interval for Sharpe Ratio2.57897

Upperbound of 95% confidence interval for Sharpe Ratio2.96485

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57972

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.96409
 Statistics related to Sortino ratio

Sortino ratio0.28294

Upside Potential Ratio9.24600

Upside part of mean3.41527

Downside part of mean3.31076

Upside SD0.39202

Downside SD0.36938

N nonnegative terms64.00000

N negative terms67.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.59706

Mean of criterion0.10451

SD of predictor0.21663

SD of criterion0.54066

Covariance0.04249

r0.36274

b (slope, estimate of beta)0.90531

a (intercept, estimate of alpha)0.43602

Mean Square Error0.25582

DF error129.00000

t(b)4.42108

p(b)0.27424

t(a)0.60086

p(a)0.53362

Lowerbound of 95% confidence interval for beta0.50016

Upperbound of 95% confidence interval for beta1.31046

Lowerbound of 95% confidence interval for alpha1.87175

Upperbound of 95% confidence interval for alpha0.99972

Treynor index (mean / b)0.11544

Jensen alpha (a)0.43602
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03988

SD0.53900

Sharpe ratio (Glass type estimate)0.07400

Sharpe ratio (Hedges UMVUE)0.07357

df130.00000

t0.05232

p0.50229

Lowerbound of 95% confidence interval for Sharpe Ratio2.84570

Upperbound of 95% confidence interval for Sharpe Ratio2.69795

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.84539

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.69825
 Statistics related to Sortino ratio

Sortino ratio0.10519

Upside Potential Ratio8.81168

Upside part of mean3.34116

Downside part of mean3.38104

Upside SD0.38017

Downside SD0.37917

N nonnegative terms64.00000

N negative terms67.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.57268

Mean of criterion0.03988

SD of predictor0.21937

SD of criterion0.53900

Covariance0.04352

r0.36805

b (slope, estimate of beta)0.90432

a (intercept, estimate of alpha)0.55777

Mean Square Error0.25311

DF error129.00000

t(b)4.49588

p(b)0.27109

t(a)0.77387

p(a)0.54324

Lowerbound of 95% confidence interval for beta0.50635

Upperbound of 95% confidence interval for beta1.30229

Lowerbound of 95% confidence interval for alpha1.98380

Upperbound of 95% confidence interval for alpha0.86826

Treynor index (mean / b)0.04410

Jensen alpha (a)0.55777
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05344

Expected Shortfall on VaR0.06645
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02982

Expected Shortfall on VaR0.05399
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.91432

Quartile 10.97825

Median1.00001

Quartile 31.02132

Maximum1.10635

Mean of quarter 10.95871

Mean of quarter 20.99134

Mean of quarter 31.01071

Mean of quarter 41.04157

Inter Quartile Range0.04306

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.10130
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.31744

VaR(95%) (moments method)0.04332

Expected Shortfall (moments method)0.05092

Extreme Value Index (regression method)0.15800

VaR(95%) (regression method)0.04235

Expected Shortfall (regression method)0.05163
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.04113

Quartile 10.05017

Median0.11879

Quartile 30.19165

Maximum0.21347

Mean of quarter 10.04113

Mean of quarter 20.05319

Mean of quarter 30.18438

Mean of quarter 40.21347

Inter Quartile Range0.14148

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)0.01194

Compounded annual return (geometric extrapolation)0.01191

Calmar ratio (compounded annual return / max draw down)0.05577

Compounded annual return / average of 25% largest draw downs0.05577

Compounded annual return / Expected Shortfall lognormal0.17915
Strategy Description
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.