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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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
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  

2021  (3.3%)  +3.3%  +3.5%  +8.8%  (1.2%)  +2.1%  +5.1%  +0.5%  (5%)  +0.5%  (3.6%)  +0.1%  +10.5% 
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  $50,000  
Buy Power  $27,858  
Cash  $1  
Equity  $1  
Cumulative $  $5,641  
Includes dividends and cashsettled expirations:  $618  Itemized 
Total System Equity  $55,641  
Margined  $1  
Open P/L  $7,903  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began1/7/2021

Suggested Minimum Cap$15,000

Strategy Age (days)330.66

Age11 months ago

What it tradesStocks

# Trades16

# Profitable9

% Profitable56.20%

Avg trade duration251.8 days

Max peaktovalley drawdown12.83%

drawdown periodJuly 27, 2021  Sept 22, 2021

Cumul. Return10.5%

Avg win$900.22

Avg loss$440.00
 Model Account Values (Raw)

Cash$21,150

Margin Used$0

Buying Power$27,858
 Ratios

W:L ratio3.03:1

Sharpe Ratio0.47

Sortino Ratio0.69

Calmar Ratio1.574
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)8.80%

Correlation to SP5000.50960

Return Percent SP500 (cumu) during strategy life19.31%
 Return Statistics

Ann Return (w trading costs)11.6%
 Slump

Current Slump as Pcnt Equity9.70%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.39%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.105%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)12.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss54.50%

Chance of 20% account loss18.50%

Chance of 30% account loss2.50%

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)0

Popularity (Last 6 weeks)710
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score758

Popularity (7 days, Percentile 1000 scale)659
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$440

Avg Win$900

Sum Trade PL (losers)$3,080.000
 Age

Num Months filled monthly returns table12
 Win / Loss

Sum Trade PL (winners)$8,102.000

# Winners9

Num Months Winners7
 Dividends

Dividends Received in Model Acct619
 Win / Loss

# Losers7

% Winners56.2%
 Frequency

Avg Position Time (mins)362566.00

Avg Position Time (hrs)6042.76

Avg Trade Length251.8 days

Last Trade Ago47
 Leverage

Daily leverage (average)1.26

Daily leverage (max)1.35
 Regression

Alpha0.01

Beta0.63

Treynor Index0.04
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.54

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades1.739

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.429

Avg(MAE) / Avg(PL)  Losing trades1.293

HoldandHope Ratio0.671
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.19015

SD0.07634

Sharpe ratio (Glass type estimate)2.49094

Sharpe ratio (Hedges UMVUE)2.27641

df9.00000

t2.27391

p0.02452

Lowerbound of 95% confidence interval for Sharpe Ratio0.01007

Upperbound of 95% confidence interval for Sharpe Ratio4.86588

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11434

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.66715
 Statistics related to Sortino ratio

Sortino ratio5.07597

Upside Potential Ratio6.17141

Upside part of mean0.23119

Downside part of mean0.04104

Upside SD0.08279

Downside SD0.03746

N nonnegative terms9.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.22952

Mean of criterion0.19015

SD of predictor0.10374

SD of criterion0.07634

Covariance0.00629

r0.79382

b (slope, estimate of beta)0.58416

a (intercept, estimate of alpha)0.05608

Mean Square Error0.00242

DF error8.00000

t(b)3.69195

p(b)0.00306

t(a)0.86240

p(a)0.20678

Lowerbound of 95% confidence interval for beta0.21929

Upperbound of 95% confidence interval for beta0.94903

Lowerbound of 95% confidence interval for alpha0.09387

Upperbound of 95% confidence interval for alpha0.20603

Treynor index (mean / b)0.32551

Jensen alpha (a)0.05608
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.18567

SD0.07555

Sharpe ratio (Glass type estimate)2.45754

Sharpe ratio (Hedges UMVUE)2.24588

df9.00000

t2.24341

p0.02578

Lowerbound of 95% confidence interval for Sharpe Ratio0.01595

Upperbound of 95% confidence interval for Sharpe Ratio4.82589

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13870

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.63046
 Statistics related to Sortino ratio

Sortino ratio4.88266

Upside Potential Ratio5.97810

Upside part of mean0.22733

Downside part of mean0.04166

Upside SD0.08102

Downside SD0.03803

N nonnegative terms9.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.22220

Mean of criterion0.18567

SD of predictor0.10132

SD of criterion0.07555

Covariance0.00613

r0.80013

b (slope, estimate of beta)0.59661

a (intercept, estimate of alpha)0.05311

Mean Square Error0.00231

DF error8.00000

t(b)3.77298

p(b)0.00272

t(a)0.83894

p(a)0.21293

Lowerbound of 95% confidence interval for beta0.23197

Upperbound of 95% confidence interval for beta0.96125

Lowerbound of 95% confidence interval for alpha0.09287

Upperbound of 95% confidence interval for alpha0.19908

Treynor index (mean / b)0.31121

Jensen alpha (a)0.05311
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02019

Expected Shortfall on VaR0.02905
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00154

Expected Shortfall on VaR0.00620
 ORDER STATISTICS
 Quartiles of return rates

Number of observations10.00000

Minimum0.96813

Quartile 11.01601

Median1.01867

Quartile 31.02456

Maximum1.05802

Mean of quarter 10.99769

Mean of quarter 21.01715

Mean of quarter 31.02106

Mean of quarter 41.03742

Inter Quartile Range0.00855

Number outliers low1.00000

Percentage of outliers low0.10000

Mean of outliers low0.96813

Number of outliers high1.00000

Percentage of outliers high0.10000

Mean of outliers high1.05802
 Risk estimates for a oneperiod unit investment (based on Ex

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
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.03187

Quartile 10.03187

Median0.03187

Quartile 30.03187

Maximum0.03187

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.23377

Compounded annual return (geometric extrapolation)0.23810

Calmar ratio (compounded annual return / max draw down)7.47122

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal8.19568

0.00000

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

Mean0.10336

SD0.15731

Sharpe ratio (Glass type estimate)0.65702

Sharpe ratio (Hedges UMVUE)0.65492

df235.00000

t0.62357

p0.26676

Lowerbound of 95% confidence interval for Sharpe Ratio1.40961

Upperbound of 95% confidence interval for Sharpe Ratio2.72231

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.41103

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.72088
 Statistics related to Sortino ratio

Sortino ratio0.97448

Upside Potential Ratio9.04428

Upside part of mean0.95928

Downside part of mean0.85593

Upside SD0.11590

Downside SD0.10607

N nonnegative terms125.00000

N negative terms111.00000
 Statistics related to linear regression on benchmark

N of observations236.00000

Mean of predictor0.17630

Mean of criterion0.10336

SD of predictor0.12741

SD of criterion0.15731

Covariance0.01002

r0.49970

b (slope, estimate of beta)0.61697

a (intercept, estimate of alpha)0.00500

Mean Square Error0.01865

DF error234.00000

t(b)8.82466

p(b)0.00000

t(a)0.03749

p(a)0.51494

Lowerbound of 95% confidence interval for beta0.47923

Upperbound of 95% confidence interval for beta0.75472

Lowerbound of 95% confidence interval for alpha0.28992

Upperbound of 95% confidence interval for alpha0.27909

Treynor index (mean / b)0.16753

Jensen alpha (a)0.00541
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09102

SD0.15719

Sharpe ratio (Glass type estimate)0.57908

Sharpe ratio (Hedges UMVUE)0.57723

df235.00000

t0.54960

p0.29156

Lowerbound of 95% confidence interval for Sharpe Ratio1.48729

Upperbound of 95% confidence interval for Sharpe Ratio2.64425

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.48853

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.64300
 Statistics related to Sortino ratio

Sortino ratio0.84957

Upside Potential Ratio8.89068

Upside part of mean0.95256

Downside part of mean0.86154

Upside SD0.11470

Downside SD0.10714

N nonnegative terms125.00000

N negative terms111.00000
 Statistics related to linear regression on benchmark

N of observations236.00000

Mean of predictor0.16813

Mean of criterion0.09102

SD of predictor0.12755

SD of criterion0.15719

Covariance0.01007

r0.50233

b (slope, estimate of beta)0.61902

a (intercept, estimate of alpha)0.01305

Mean Square Error0.01855

DF error234.00000

t(b)8.88669

p(b)0.00000

t(a)0.09065

p(a)0.53608

Lowerbound of 95% confidence interval for beta0.48179

Upperbound of 95% confidence interval for beta0.75626

Lowerbound of 95% confidence interval for alpha0.29674

Upperbound of 95% confidence interval for alpha0.27063

Treynor index (mean / b)0.14704

Jensen alpha (a)0.01305
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01550

Expected Shortfall on VaR0.01948
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00726

Expected Shortfall on VaR0.01417
 ORDER STATISTICS
 Quartiles of return rates

Number of observations236.00000

Minimum0.96172

Quartile 10.99462

Median1.00070

Quartile 31.00547

Maximum1.04243

Mean of quarter 10.98923

Mean of quarter 20.99795

Mean of quarter 31.00260

Mean of quarter 41.01222

Inter Quartile Range0.01085

Number outliers low5.00000

Percentage of outliers low0.02119

Mean of outliers low0.97060

Number of outliers high6.00000

Percentage of outliers high0.02542

Mean of outliers high1.02846
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40425

VaR(95%) (moments method)0.01219

Expected Shortfall (moments method)0.02181

Extreme Value Index (regression method)0.54246

VaR(95%) (regression method)0.00960

Expected Shortfall (regression method)0.01806
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00037

Quartile 10.01060

Median0.03243

Quartile 30.04345

Maximum0.08024

Mean of quarter 10.00444

Mean of quarter 20.02225

Mean of quarter 30.03630

Mean of quarter 40.05816

Inter Quartile Range0.03286

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)0.48515

VaR(95%) (moments method)0.06691

Expected Shortfall (moments method)0.07423

Extreme Value Index (regression method)0.31351

VaR(95%) (regression method)0.07565

Expected Shortfall (regression method)0.11113
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.12554

Compounded annual return (geometric extrapolation)0.12629

Calmar ratio (compounded annual return / max draw down)1.57384

Compounded annual return / average of 25% largest draw downs2.17135

Compounded annual return / Expected Shortfall lognormal6.48156

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

Mean0.02504

SD0.15540

Sharpe ratio (Glass type estimate)0.16110

Sharpe ratio (Hedges UMVUE)0.16017

df130.00000

t0.11392

p0.49500

Lowerbound of 95% confidence interval for Sharpe Ratio2.61101

Upperbound of 95% confidence interval for Sharpe Ratio2.93274

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.61170

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.93205
 Statistics related to Sortino ratio

Sortino ratio0.22948

Upside Potential Ratio8.25890

Upside part of mean0.90105

Downside part of mean0.87601

Upside SD0.10984

Downside SD0.10910

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.13711

Mean of criterion0.02504

SD of predictor0.11489

SD of criterion0.15540

Covariance0.00988

r0.55340

b (slope, estimate of beta)0.74854

a (intercept, estimate of alpha)0.07759

Mean Square Error0.01688

DF error129.00000

t(b)7.54629

p(b)0.16661

t(a)0.42109

p(a)0.52358

Lowerbound of 95% confidence interval for beta0.55229

Upperbound of 95% confidence interval for beta0.94480

Lowerbound of 95% confidence interval for alpha0.44217

Upperbound of 95% confidence interval for alpha0.28698

Treynor index (mean / b)0.03345

Jensen alpha (a)0.07759
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01303

SD0.15557

Sharpe ratio (Glass type estimate)0.08378

Sharpe ratio (Hedges UMVUE)0.08330

df130.00000

t0.05924

p0.49740

Lowerbound of 95% confidence interval for Sharpe Ratio2.68817

Upperbound of 95% confidence interval for Sharpe Ratio2.85549

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68853

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.85512
 Statistics related to Sortino ratio

Sortino ratio0.11813

Upside Potential Ratio8.11123

Upside part of mean0.89499

Downside part of mean0.88196

Upside SD0.10883

Downside SD0.11034

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.13049

Mean of criterion0.01303

SD of predictor0.11509

SD of criterion0.15557

Covariance0.00996

r0.55623

b (slope, estimate of beta)0.75192

a (intercept, estimate of alpha)0.08509

Mean Square Error0.01684

DF error129.00000

t(b)7.60214

p(b)0.16511

t(a)0.46243

p(a)0.52589

VAR (95 Confidence Intrvl)0.01600

Lowerbound of 95% confidence interval for beta0.55623

Upperbound of 95% confidence interval for beta0.94762

Lowerbound of 95% confidence interval for alpha0.44913

Upperbound of 95% confidence interval for alpha0.27896

Treynor index (mean / b)0.01733

Jensen alpha (a)0.08509
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01564

Expected Shortfall on VaR0.01958
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00760

Expected Shortfall on VaR0.01481
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96172

Quartile 10.99468

Median1.00040

Quartile 31.00466

Maximum1.03071

Mean of quarter 10.98932

Mean of quarter 20.99763

Mean of quarter 31.00221

Mean of quarter 41.01171

Inter Quartile Range0.00999

Number outliers low3.00000

Percentage of outliers low0.02290

Mean of outliers low0.96798

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.02400
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.42546

VaR(95%) (moments method)0.01209

Expected Shortfall (moments method)0.02225

Extreme Value Index (regression method)0.46370

VaR(95%) (regression method)0.00959

Expected Shortfall (regression method)0.01656
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00553

Quartile 10.00797

Median0.03269

Quartile 30.04180

Maximum0.08024

Mean of quarter 10.00585

Mean of quarter 20.02123

Mean of quarter 30.03524

Mean of quarter 40.06430

Inter Quartile Range0.03383

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

Last 4 Months  Pcnt Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?296238000

Max Equity Drawdown (num days)57
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04136

Compounded annual return (geometric extrapolation)0.04179

Calmar ratio (compounded annual return / max draw down)0.52080

Compounded annual return / average of 25% largest draw downs0.64997

Compounded annual return / Expected Shortfall lognormal2.13488
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.