OptionsStratQP
(130251586)
Subscription terms. Subscriptions to this system cost $19.00 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.
Volatility Long / Short
This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.Directional Bets
Uses primarily options to make bets about the direction or magnitude of price movements in assets.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%)  +14.1%  (0.5%)  (34.3%)  +50.7%  +41.2%  +55.6%  
2021  +82.6%  (37.3%)  (22.3%)  (25.9%)  (2.1%)          (35.5%) 
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  $10,000  
Buy Power  $10,763  
Cash  $10,763  
Equity  $0  
Cumulative $  $763  
Total System Equity  $10,763  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began7/23/2020

Suggested Minimum Cap$25,000

Strategy Age (days)425.96

Age14 months ago

What it tradesOptions

# Trades18

# Profitable11

% Profitable61.10%

Avg trade duration15.4 days

Max peaktovalley drawdown72.18%

drawdown periodJan 27, 2021  May 29, 2021

Annual Return (Compounded)0.4%

Avg win$1,676

Avg loss$2,525
 Model Account Values (Raw)

Cash$10,763

Margin Used$0

Buying Power$10,763
 Ratios

W:L ratio1.04:1

Sharpe Ratio0.37

Sortino Ratio0.73

Calmar Ratio0.124
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)35.43%

Correlation to SP5000.10550

Return Percent SP500 (cumu) during strategy life37.32%
 Return Statistics

Ann Return (w trading costs)0.4%
 Slump

Current Slump as Pcnt Equity259.40%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.56%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.004%
 Instruments

Percent Trades Options0.84%

Percent Trades Stocks0.16%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)6.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss97.50%

Chance of 20% account loss90.50%

Chance of 30% account loss84.50%

Chance of 40% account loss74.00%

Chance of 60% account loss (Monte Carlo)41.00%

Chance of 70% account loss (Monte Carlo)23.50%

Chance of 80% account loss (Monte Carlo)8.00%

Chance of 90% account loss (Monte Carlo)1.00%

Chance of 100% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss61.00%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,526

Avg Win$1,677

Sum Trade PL (losers)$17,681.000
 Age

Num Months filled monthly returns table15
 Win / Loss

Sum Trade PL (winners)$18,444.000

# Winners11

Num Months Winners4
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers7

% Winners61.1%
 Frequency

Avg Position Time (mins)22118.40

Avg Position Time (hrs)368.64

Avg Trade Length15.4 days

Last Trade Ago124
 Leverage

Daily leverage (average)0.96

Daily leverage (max)2.15
 Regression

Alpha0.08

Beta0.75

Treynor Index0.17
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.09

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.60

MAE:Equity, average, winning trades0.08

MAE:Equity, average, losing trades0.11

Avg(MAE) / Avg(PL)  All trades2.021

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 strat0.52

Avg(MAE) / Avg(PL)  Winning trades1.719

Avg(MAE) / Avg(PL)  Losing trades0.924

HoldandHope Ratio0.495
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.67239

SD1.15302

Sharpe ratio (Glass type estimate)0.58316

Sharpe ratio (Hedges UMVUE)0.53293

df9.00000

t0.53235

p0.30369

Lowerbound of 95% confidence interval for Sharpe Ratio1.59588

Upperbound of 95% confidence interval for Sharpe Ratio2.73092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.62817

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.69403
 Statistics related to Sortino ratio

Sortino ratio1.00620

Upside Potential Ratio2.84546

Upside part of mean1.90146

Downside part of mean1.22907

Upside SD0.88748

Downside SD0.66824

N nonnegative terms6.00000

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

N of observations10.00000

Mean of predictor0.33558

Mean of criterion0.67239

SD of predictor0.16279

SD of criterion1.15302

Covariance0.07782

r0.41459

b (slope, estimate of beta)2.93642

a (intercept, estimate of alpha)0.31301

Mean Square Error1.23856

DF error8.00000

t(b)1.28859

p(b)0.11678

t(a)0.21751

p(a)0.58337

Lowerbound of 95% confidence interval for beta2.31850

Upperbound of 95% confidence interval for beta8.19135

Lowerbound of 95% confidence interval for alpha3.63163

Upperbound of 95% confidence interval for alpha3.00560

Treynor index (mean / b)0.22898

Jensen alpha (a)0.31301
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06033

SD1.18343

Sharpe ratio (Glass type estimate)0.05098

Sharpe ratio (Hedges UMVUE)0.04659

df9.00000

t0.04654

p0.48195

Lowerbound of 95% confidence interval for Sharpe Ratio2.09754

Upperbound of 95% confidence interval for Sharpe Ratio2.19679

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10055

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19373
 Statistics related to Sortino ratio

Sortino ratio0.07055

Upside Potential Ratio1.86590

Upside part of mean1.59553

Downside part of mean1.53520

Upside SD0.72772

Downside SD0.85510

N nonnegative terms6.00000

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

N of observations10.00000

Mean of predictor0.31890

Mean of criterion0.06033

SD of predictor0.15885

SD of criterion1.18343

Covariance0.08266

r0.43972

b (slope, estimate of beta)3.27596

a (intercept, estimate of alpha)0.98438

Mean Square Error1.27094

DF error8.00000

t(b)1.38476

p(b)0.10176

t(a)0.68021

p(a)0.74222

Lowerbound of 95% confidence interval for beta2.17943

Upperbound of 95% confidence interval for beta8.73134

Lowerbound of 95% confidence interval for alpha4.32158

Upperbound of 95% confidence interval for alpha2.35281

Treynor index (mean / b)0.01842

Jensen alpha (a)0.98438
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.42702

Expected Shortfall on VaR0.49946
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.20676

Expected Shortfall on VaR0.39937
 ORDER STATISTICS
 Quartiles of return rates

Number of observations10.00000

Minimum0.53092

Quartile 10.82178

Median1.06387

Quartile 31.26467

Maximum1.56529

Mean of quarter 10.66416

Mean of quarter 21.00069

Mean of quarter 31.12434

Mean of quarter 41.44702

Inter Quartile Range0.44289

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.37444

VaR(95%) (moments method)0.39855

Expected Shortfall (moments method)0.41507

Extreme Value Index (regression method)0.28341

VaR(95%) (regression method)0.49970

Expected Shortfall (regression method)0.77379
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.23517

Quartile 10.32366

Median0.41216

Quartile 30.50065

Maximum0.58914

Mean of quarter 10.23517

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.58914

Inter Quartile Range0.17699

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)0.09156

Compounded annual return (geometric extrapolation)0.09224

Calmar ratio (compounded annual return / max draw down)0.15657

Compounded annual return / average of 25% largest draw downs0.15657

Compounded annual return / Expected Shortfall lognormal0.18469

0.00000

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

Mean0.60953

SD1.11999

Sharpe ratio (Glass type estimate)0.54423

Sharpe ratio (Hedges UMVUE)0.54251

df238.00000

t0.51979

p0.30185

Lowerbound of 95% confidence interval for Sharpe Ratio1.50899

Upperbound of 95% confidence interval for Sharpe Ratio2.59639

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.51017

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.59520
 Statistics related to Sortino ratio

Sortino ratio1.03671

Upside Potential Ratio7.89878

Upside part of mean4.64411

Downside part of mean4.03457

Upside SD0.95125

Downside SD0.58795

N nonnegative terms67.00000

N negative terms172.00000
 Statistics related to linear regression on benchmark

N of observations239.00000

Mean of predictor0.32147

Mean of criterion0.60953

SD of predictor0.16327

SD of criterion1.11999

Covariance0.01551

r0.08482

b (slope, estimate of beta)0.58186

a (intercept, estimate of alpha)0.42200

Mean Square Error1.25062

DF error237.00000

t(b)1.31054

p(b)0.09564

t(a)0.35818

p(a)0.36027

Lowerbound of 95% confidence interval for beta0.29280

Upperbound of 95% confidence interval for beta1.45652

Lowerbound of 95% confidence interval for alpha1.90126

Upperbound of 95% confidence interval for alpha2.74623

Treynor index (mean / b)1.04756

Jensen alpha (a)0.42249
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05270

SD1.03240

Sharpe ratio (Glass type estimate)0.05104

Sharpe ratio (Hedges UMVUE)0.05088

df238.00000

t0.04875

p0.48058

Lowerbound of 95% confidence interval for Sharpe Ratio2.00107

Upperbound of 95% confidence interval for Sharpe Ratio2.10316

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.00123

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10299
 Statistics related to Sortino ratio

Sortino ratio0.08422

Upside Potential Ratio6.83151

Upside part of mean4.27455

Downside part of mean4.22185

Upside SD0.81846

Downside SD0.62571

N nonnegative terms67.00000

N negative terms172.00000
 Statistics related to linear regression on benchmark

N of observations239.00000

Mean of predictor0.30796

Mean of criterion0.05270

SD of predictor0.16341

SD of criterion1.03240

Covariance0.01711

r0.10143

b (slope, estimate of beta)0.64082

a (intercept, estimate of alpha)0.14465

Mean Square Error1.05933

DF error237.00000

t(b)1.56960

p(b)0.05892

t(a)0.13332

p(a)0.55297

Lowerbound of 95% confidence interval for beta0.16348

Upperbound of 95% confidence interval for beta1.44512

Lowerbound of 95% confidence interval for alpha2.28199

Upperbound of 95% confidence interval for alpha1.99269

Treynor index (mean / b)0.08224

Jensen alpha (a)0.14465
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09941

Expected Shortfall on VaR0.12286
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04406

Expected Shortfall on VaR0.08768
 ORDER STATISTICS
 Quartiles of return rates

Number of observations239.00000

Minimum0.80043

Quartile 10.98937

Median1.00000

Quartile 31.00247

Maximum1.60604

Mean of quarter 10.94077

Mean of quarter 20.99820

Mean of quarter 31.00014

Mean of quarter 41.07059

Inter Quartile Range0.01310

Number outliers low42.00000

Percentage of outliers low0.17573

Mean of outliers low0.92340

Number of outliers high44.00000

Percentage of outliers high0.18410

Mean of outliers high1.09281
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.06040

VaR(95%) (moments method)0.03670

Expected Shortfall (moments method)0.05119

Extreme Value Index (regression method)0.08901

VaR(95%) (regression method)0.04625

Expected Shortfall (regression method)0.07211
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.01314

Quartile 10.05508

Median0.08949

Quartile 30.30886

Maximum0.67907

Mean of quarter 10.02853

Mean of quarter 20.08888

Mean of quarter 30.28418

Mean of quarter 40.51075

Inter Quartile Range0.25378

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)0.09860

VaR(95%) (moments method)0.52998

Expected Shortfall (moments method)0.70682

Extreme Value Index (regression method)2.32565

VaR(95%) (regression method)1.02321

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.08364

Compounded annual return (geometric extrapolation)0.08394

Calmar ratio (compounded annual return / max draw down)0.12362

Compounded annual return / average of 25% largest draw downs0.16435

Compounded annual return / Expected Shortfall lognormal0.68326

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

Mean0.59124

SD0.97504

Sharpe ratio (Glass type estimate)0.60638

Sharpe ratio (Hedges UMVUE)0.60287

df130.00000

t0.42878

p0.51879

Lowerbound of 95% confidence interval for Sharpe Ratio3.37808

Upperbound of 95% confidence interval for Sharpe Ratio2.16750

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.37565

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.16990
 Statistics related to Sortino ratio

Sortino ratio0.99602

Upside Potential Ratio6.96102

Upside part of mean4.13211

Downside part of mean4.72335

Upside SD0.76968

Downside SD0.59361

N nonnegative terms35.00000

N negative terms96.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.31070

Mean of criterion0.59124

SD of predictor0.14948

SD of criterion0.97504

Covariance0.00083

r0.00570

b (slope, estimate of beta)0.03715

a (intercept, estimate of alpha)0.60279

Mean Square Error0.95804

DF error129.00000

t(b)0.06469

p(b)0.49637

t(a)0.43189

p(a)0.52419

Lowerbound of 95% confidence interval for beta1.09908

Upperbound of 95% confidence interval for beta1.17339

Lowerbound of 95% confidence interval for alpha3.36417

Upperbound of 95% confidence interval for alpha2.15860

Treynor index (mean / b)15.91370

Jensen alpha (a)0.60279
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.03916

SD0.93746

Sharpe ratio (Glass type estimate)1.10849

Sharpe ratio (Hedges UMVUE)1.10208

df130.00000

t0.78382

p0.53429

Lowerbound of 95% confidence interval for Sharpe Ratio3.88151

Upperbound of 95% confidence interval for Sharpe Ratio1.66865

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.87712

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.67296
 Statistics related to Sortino ratio

Sortino ratio1.66819

Upside Potential Ratio6.21509

Upside part of mean3.87153

Downside part of mean4.91069

Upside SD0.69871

Downside SD0.62292

N nonnegative terms35.00000

N negative terms96.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.29941

Mean of criterion1.03916

SD of predictor0.14946

SD of criterion0.93746

Covariance0.00200

r0.01424

b (slope, estimate of beta)0.08932

a (intercept, estimate of alpha)1.06590

Mean Square Error0.88546

DF error129.00000

t(b)0.16176

p(b)0.49094

t(a)0.79486

p(a)0.54441

VAR (95 Confidence Intrvl)0.09900

Lowerbound of 95% confidence interval for beta1.00316

Upperbound of 95% confidence interval for beta1.18180

Lowerbound of 95% confidence interval for alpha3.71907

Upperbound of 95% confidence interval for alpha1.58728

Treynor index (mean / b)11.63450

Jensen alpha (a)1.06590
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09447

Expected Shortfall on VaR0.11592
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05219

Expected Shortfall on VaR0.09719
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.85967

Quartile 10.97819

Median1.00000

Quartile 31.00110

Maximum1.32021

Mean of quarter 10.93429

Mean of quarter 20.99445

Mean of quarter 31.00003

Mean of quarter 41.06269

Inter Quartile Range0.02291

Number outliers low18.00000

Percentage of outliers low0.13740

Mean of outliers low0.91155

Number of outliers high19.00000

Percentage of outliers high0.14504

Mean of outliers high1.09881
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.81228

VaR(95%) (moments method)0.05799

Expected Shortfall (moments method)0.06412

Extreme Value Index (regression method)0.26855

VaR(95%) (regression method)0.06435

Expected Shortfall (regression method)0.08090
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.15330

Quartile 10.28474

Median0.41618

Quartile 30.54762

Maximum0.67907

Mean of quarter 10.15330

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.67907

Inter Quartile Range0.26288

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 Negativen/a

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?287714000

Max Equity Drawdown (num days)122
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.79374

Compounded annual return (geometric extrapolation)0.63624

Calmar ratio (compounded annual return / max draw down)0.93693

Compounded annual return / average of 25% largest draw downs0.93693

Compounded annual return / Expected Shortfall lognormal5.48883
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.