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%)  (3.2%)  (3.1%)  (16.9%) 
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  $100,000  
Buy Power  $1,332,302  
Cash  $1,752,470  
Equity  ($264,095)  
Cumulative $  $1,388,375  
Total System Equity  $1,488,375  
Margined  $156,073  
Open P/L  ($264,095) 
Trading Record
Statistics

Strategy began12/7/2008

Suggested Minimum Cap$100,000

Strategy Age (days)3510.88

Age117 months ago

What it tradesForex

# Trades276

# Profitable132

% Profitable47.80%

Avg trade duration23.1 days

Max peaktovalley drawdown79.9%

drawdown periodSept 05, 2013  July 01, 2014

Annual Return (Compounded)31.9%

Avg win$32,479

Avg loss$20,131
 Model Account Values (Raw)

Cash$1,752,470

Margin Used$156,073

Buying Power$1,332,302
 Ratios

W:L ratio1.48:1

Sharpe Ratio0.853

Sortino Ratio1.545

Calmar Ratio0.687
 Return Statistics

Ann Return (w trading costs)31.9%

Ann Return (Compnd, No Fees)32.4%
 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$20,107

Avg Win$32,479

# Winners132

# Losers144

% Winners47.8%
 Frequency

Avg Position Time (mins)33311.10

Avg Position Time (hrs)555.19

Avg Trade Length23.1 days

Last Trade Ago1229
 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

Mean0.95871

SD1.12322

Sharpe ratio (Glass type estimate)0.85354

Sharpe ratio (Hedges UMVUE)0.85319

df1824.00000

t2.25270

p0.47366

Lowerbound of 95% confidence interval for Sharpe Ratio0.11030

Upperbound of 95% confidence interval for Sharpe Ratio1.59657

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11005

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.59632
 Statistics related to Sortino ratio

Sortino ratio1.54473

Upside Potential Ratio6.99471

Upside part of mean4.34114

Downside part of mean3.38244

Upside SD0.93768

Downside SD0.62063

N nonnegative terms767.00000

N negative terms1058.00000
 Statistics related to linear regression on benchmark

N of observations1825.00000

Mean of predictor0.18556

Mean of criterion0.95871

SD of predictor0.30664

SD of criterion1.12322

Covariance0.15083

r0.43793

b (slope, estimate of beta)1.60414

a (intercept, estimate of alpha)0.66100

Mean Square Error1.02022

DF error1823.00000

t(b)20.79850

p(b)0.23039

t(a)1.72607

p(a)0.47429

Lowerbound of 95% confidence interval for beta1.45287

Upperbound of 95% confidence interval for beta1.75540

Lowerbound of 95% confidence interval for alpha0.09008

Upperbound of 95% confidence interval for alpha1.41215

Treynor index (mean / b)0.59765

Jensen alpha (a)0.66104
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.38316

SD1.06974

Sharpe ratio (Glass type estimate)0.35818

Sharpe ratio (Hedges UMVUE)0.35803

df1824.00000

t0.94533

p0.48894

Lowerbound of 95% confidence interval for Sharpe Ratio0.38457

Upperbound of 95% confidence interval for Sharpe Ratio1.10086

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38468

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.10075
 Statistics related to Sortino ratio

Sortino ratio0.50622

Upside Potential Ratio5.30290

Upside part of mean4.01380

Downside part of mean3.63064

Upside SD0.75589

Downside SD0.75691

N nonnegative terms767.00000

N negative terms1058.00000
 Statistics related to linear regression on benchmark

N of observations1825.00000

Mean of predictor0.13853

Mean of criterion0.38316

SD of predictor0.30693

SD of criterion1.06974

Covariance0.14766

r0.44973

b (slope, estimate of beta)1.56743

a (intercept, estimate of alpha)0.16602

Mean Square Error0.91339

DF error1823.00000

t(b)21.49890

p(b)0.22366

t(a)0.45830

p(a)0.49317

Lowerbound of 95% confidence interval for beta1.42443

Upperbound of 95% confidence interval for beta1.71042

Lowerbound of 95% confidence interval for alpha0.54446

Upperbound of 95% confidence interval for alpha0.87650

Treynor index (mean / b)0.24445

Jensen alpha (a)0.16602
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10169

Expected Shortfall on VaR0.12590
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03191

Expected Shortfall on VaR0.06950
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1825.00000

Minimum0.43565

Quartile 10.98798

Median1.00000

Quartile 31.01476

Maximum2.25239

Mean of quarter 10.95181

Mean of quarter 20.99687

Mean of quarter 31.00447

Mean of quarter 41.06202

Inter Quartile Range0.02678

Number outliers low114.00000

Percentage of outliers low0.06247

Mean of outliers low0.88663

Number of outliers high140.00000

Percentage of outliers high0.07671

Mean of outliers high1.13355
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.52823

VaR(95%) (moments method)0.04406

Expected Shortfall (moments method)0.10671

Extreme Value Index (regression method)0.38339

VaR(95%) (regression method)0.04071

Expected Shortfall (regression method)0.07944
 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)2.37166

Compounded annual return (geometric extrapolation)0.50843

Calmar ratio (compounded annual return / max draw down)0.68694

Compounded annual return / average of 25% largest draw downs1.48738

Compounded annual return / Expected Shortfall lognormal4.03831

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

Mean0.20343

SD0.54179

Sharpe ratio (Glass type estimate)0.37548

Sharpe ratio (Hedges UMVUE)0.37331

df130.00000

t0.26550

p0.51164

Lowerbound of 95% confidence interval for Sharpe Ratio3.14694

Upperbound of 95% confidence interval for Sharpe Ratio2.39731

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14549

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.39887
 Statistics related to Sortino ratio

Sortino ratio0.52277

Upside Potential Ratio8.38305

Upside part of mean3.26219

Downside part of mean3.46562

Upside SD0.37420

Downside SD0.38914

N nonnegative terms64.00000

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

N of observations131.00000

Mean of predictor0.58322

Mean of criterion0.20343

SD of predictor0.21794

SD of criterion0.54179

Covariance0.04256

r0.36043

b (slope, estimate of beta)0.89599

a (intercept, estimate of alpha)0.72599

Mean Square Error0.25738

DF error129.00000

t(b)4.38865

p(b)0.27561

t(a)0.99822

p(a)0.55566

Lowerbound of 95% confidence interval for beta0.49205

Upperbound of 95% confidence interval for beta1.29993

Lowerbound of 95% confidence interval for alpha2.16495

Upperbound of 95% confidence interval for alpha0.71296

Treynor index (mean / b)0.22704

Jensen alpha (a)0.72599
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.34926

SD0.54207

Sharpe ratio (Glass type estimate)0.64431

Sharpe ratio (Hedges UMVUE)0.64059

df130.00000

t0.45560

p0.51996

Lowerbound of 95% confidence interval for Sharpe Ratio3.41602

Upperbound of 95% confidence interval for Sharpe Ratio2.12981

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.41349

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.13231
 Statistics related to Sortino ratio

Sortino ratio0.87260

Upside Potential Ratio7.98139

Upside part of mean3.19459

Downside part of mean3.54385

Upside SD0.36312

Downside SD0.40026

N nonnegative terms64.00000

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

N of observations131.00000

Mean of predictor0.55859

Mean of criterion0.34926

SD of predictor0.22067

SD of criterion0.54207

Covariance0.04374

r0.36569

b (slope, estimate of beta)0.89833

a (intercept, estimate of alpha)0.85106

Mean Square Error0.25652

DF error129.00000

t(b)4.46257

p(b)0.27249

t(a)1.17382

p(a)0.56533

Lowerbound of 95% confidence interval for beta0.50005

Upperbound of 95% confidence interval for beta1.29662

Lowerbound of 95% confidence interval for alpha2.28557

Upperbound of 95% confidence interval for alpha0.58344

Treynor index (mean / b)0.38879

Jensen alpha (a)0.85106
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05486

Expected Shortfall on VaR0.06792
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03120

Expected Shortfall on VaR0.05674
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.91263

Quartile 10.97695

Median1.00001

Quartile 31.02043

Maximum1.10635

Mean of quarter 10.95678

Mean of quarter 20.99093

Mean of quarter 31.01052

Mean of quarter 41.03943

Inter Quartile Range0.04348

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)0.23238

VaR(95%) (moments method)0.04497

Expected Shortfall (moments method)0.05408

Extreme Value Index (regression method)0.21935

VaR(95%) (regression method)0.04247

Expected Shortfall (regression method)0.05055
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.05319

Quartile 10.12974

Median0.20629

Quartile 30.22041

Maximum0.23453

Mean of quarter 10.05319

Mean of quarter 20.20629

Mean of quarter 30.00000

Mean of quarter 40.23453

Inter Quartile Range0.09067

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)0.29687

Compounded annual return (geometric extrapolation)0.27483

Calmar ratio (compounded annual return / max draw down)1.17185

Compounded annual return / average of 25% largest draw downs1.17185

Compounded annual return / Expected Shortfall lognormal4.04656
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.