Contango and Cash VXX
(130132382)
Subscription terms. Subscriptions to this system cost $149.00 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.
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  +6.4%  +7.9%  (3.2%)  +13.1%  +3.9%  +1.7%  +32.8%  
2021  (15.9%)  +16.0%  +13.9%  +0.9%  +0.7%  +8.9%  (9.8%)  +9.1%  (7%)  +14.2%  (14.2%)  +10.3% 
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  $50,830  
Cash  $120,249  
Equity  ($1,055)  
Cumulative $  $26,640  
Total System Equity  $76,640  
Margined  $68,363  
Open P/L  ($1,055) 
Trading Record
Statistics

Strategy began7/17/2020

Suggested Minimum Cap$5,000

Strategy Age (days)498.74

Age17 months ago

What it tradesStocks

# Trades20

# Profitable8

% Profitable40.00%

Avg trade duration23.1 days

Max peaktovalley drawdown19.37%

drawdown periodAug 26, 2020  Sept 04, 2020

Annual Return (Compounded)32.0%

Avg win$6,712

Avg loss$2,255
 Model Account Values (Raw)

Cash$120,249

Margin Used$68,363

Buying Power$50,830
 Ratios

W:L ratio1.98:1

Sharpe Ratio1.12

Sortino Ratio1.54

Calmar Ratio2.606
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)3.97%

Correlation to SP5000.29810

Return Percent SP500 (cumu) during strategy life42.48%
 Return Statistics

Ann Return (w trading costs)32.0%
 Slump

Current Slump as Pcnt Equity6.70%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.04%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.320%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)36.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss46.50%

Chance of 20% account loss20.50%

Chance of 30% account loss4.50%

Chance of 40% account loss0.50%

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 Automated89.84%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)754
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score283

Popularity (7 days, Percentile 1000 scale)287
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,255

Avg Win$6,713

Sum Trade PL (losers)$27,061.000
 Age

Num Months filled monthly returns table17
 Win / Loss

Sum Trade PL (winners)$53,702.000

# Winners8

Num Months Winners12
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers12

% Winners40.0%
 Frequency

Avg Position Time (mins)33319.00

Avg Position Time (hrs)555.32

Avg Trade Length23.1 days

Last Trade Ago6
 Leverage

Daily leverage (average)0.69

Daily leverage (max)1.07
 Regression

Alpha0.06

Beta0.60

Treynor Index0.17
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.15

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.06

Avg(MAE) / Avg(PL)  All trades3.341

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 strat0.04

Avg(MAE) / Avg(PL)  Winning trades0.265

Avg(MAE) / Avg(PL)  Losing trades1.503

HoldandHope Ratio0.407
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.39366

SD0.26534

Sharpe ratio (Glass type estimate)1.48362

Sharpe ratio (Hedges UMVUE)1.40797

df15.00000

t1.71314

p0.24968

Lowerbound of 95% confidence interval for Sharpe Ratio0.31583

Upperbound of 95% confidence interval for Sharpe Ratio3.23839

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.36260

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.17854
 Statistics related to Sortino ratio

Sortino ratio3.49721

Upside Potential Ratio5.17695

Upside part of mean0.58274

Downside part of mean0.18908

Upside SD0.25738

Downside SD0.11256

N nonnegative terms11.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.25773

Mean of criterion0.39366

SD of predictor0.07484

SD of criterion0.26534

Covariance0.00873

r0.43943

b (slope, estimate of beta)1.55791

a (intercept, estimate of alpha)0.00787

Mean Square Error0.06087

DF error14.00000

t(b)1.83039

p(b)0.28029

t(a)0.02569

p(a)0.50343

Lowerbound of 95% confidence interval for beta0.26759

Upperbound of 95% confidence interval for beta3.38342

Lowerbound of 95% confidence interval for alpha0.66464

Upperbound of 95% confidence interval for alpha0.64891

Treynor index (mean / b)0.25268

Jensen alpha (a)0.00787
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.35588

SD0.25502

Sharpe ratio (Glass type estimate)1.39548

Sharpe ratio (Hedges UMVUE)1.32432

df15.00000

t1.61136

p0.26161

Lowerbound of 95% confidence interval for Sharpe Ratio0.39383

Upperbound of 95% confidence interval for Sharpe Ratio3.14236

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.43797

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.08661
 Statistics related to Sortino ratio

Sortino ratio3.05127

Upside Potential Ratio4.72550

Upside part of mean0.55115

Downside part of mean0.19527

Upside SD0.24067

Downside SD0.11663

N nonnegative terms11.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.25190

Mean of criterion0.35588

SD of predictor0.07337

SD of criterion0.25502

Covariance0.00823

r0.44009

b (slope, estimate of beta)1.52970

a (intercept, estimate of alpha)0.02945

Mean Square Error0.05619

DF error14.00000

t(b)1.83381

p(b)0.27995

t(a)0.10027

p(a)0.51339

Lowerbound of 95% confidence interval for beta0.25940

Upperbound of 95% confidence interval for beta3.31881

Lowerbound of 95% confidence interval for alpha0.65950

Upperbound of 95% confidence interval for alpha0.60059

Treynor index (mean / b)0.23265

Jensen alpha (a)0.02945
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08738

Expected Shortfall on VaR0.11470
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02636

Expected Shortfall on VaR0.05608
 ORDER STATISTICS
 Quartiles of return rates

Number of observations16.00000

Minimum0.91120

Quartile 10.99011

Median1.02735

Quartile 31.08193

Maximum1.18590

Mean of quarter 10.94009

Mean of quarter 21.00889

Mean of quarter 31.05744

Mean of quarter 41.13411

Inter Quartile Range0.09182

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)2.53705

VaR(95%) (moments method)0.06578

Expected Shortfall (moments method)0.06653

Extreme Value Index (regression method)0.30986

VaR(95%) (regression method)0.07728

Expected Shortfall (regression method)0.09273
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00084

Quartile 10.03705

Median0.05406

Quartile 30.05972

Maximum0.08880

Mean of quarter 10.01894

Mean of quarter 20.05406

Mean of quarter 30.05972

Mean of quarter 40.08880

Inter Quartile Range0.02267

Number outliers low1.00000

Percentage of outliers low0.20000

Mean of outliers low0.00084

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)0.50111

Compounded annual return (geometric extrapolation)0.46783

Calmar ratio (compounded annual return / max draw down)5.26837

Compounded annual return / average of 25% largest draw downs5.26837

Compounded annual return / Expected Shortfall lognormal4.07873

0.00000

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

Mean0.35036

SD0.28831

Sharpe ratio (Glass type estimate)1.21524

Sharpe ratio (Hedges UMVUE)1.21265

df352.00000

t1.41058

p0.07963

Lowerbound of 95% confidence interval for Sharpe Ratio0.47649

Upperbound of 95% confidence interval for Sharpe Ratio2.90531

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47827

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.90356
 Statistics related to Sortino ratio

Sortino ratio1.67320

Upside Potential Ratio8.48689

Upside part of mean1.77713

Downside part of mean1.42677

Upside SD0.19876

Downside SD0.20940

N nonnegative terms199.00000

N negative terms154.00000
 Statistics related to linear regression on benchmark

N of observations353.00000

Mean of predictor0.24504

Mean of criterion0.35036

SD of predictor0.14176

SD of criterion0.28831

Covariance0.01317

r0.32219

b (slope, estimate of beta)0.65529

a (intercept, estimate of alpha)0.19000

Mean Square Error0.07470

DF error351.00000

t(b)6.37633

p(b)0.00000

t(a)0.80143

p(a)0.21171

Lowerbound of 95% confidence interval for beta0.45317

Upperbound of 95% confidence interval for beta0.85741

Lowerbound of 95% confidence interval for alpha0.27596

Upperbound of 95% confidence interval for alpha0.65554

Treynor index (mean / b)0.53467

Jensen alpha (a)0.18979
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.30840

SD0.28986

Sharpe ratio (Glass type estimate)1.06397

Sharpe ratio (Hedges UMVUE)1.06170

df352.00000

t1.23499

p0.10883

Lowerbound of 95% confidence interval for Sharpe Ratio0.62712

Upperbound of 95% confidence interval for Sharpe Ratio2.75362

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62866

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75206
 Statistics related to Sortino ratio

Sortino ratio1.43751

Upside Potential Ratio8.19276

Upside part of mean1.75766

Downside part of mean1.44926

Upside SD0.19523

Downside SD0.21454

N nonnegative terms199.00000

N negative terms154.00000
 Statistics related to linear regression on benchmark

N of observations353.00000

Mean of predictor0.23486

Mean of criterion0.30840

SD of predictor0.14205

SD of criterion0.28986

Covariance0.01341

r0.32561

b (slope, estimate of beta)0.66444

a (intercept, estimate of alpha)0.15235

Mean Square Error0.07532

DF error351.00000

t(b)6.45201

p(b)0.00000

t(a)0.64098

p(a)0.26098

Lowerbound of 95% confidence interval for beta0.46190

Upperbound of 95% confidence interval for beta0.86698

Lowerbound of 95% confidence interval for alpha0.31511

Upperbound of 95% confidence interval for alpha0.61980

Treynor index (mean / b)0.46415

Jensen alpha (a)0.15235
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02788

Expected Shortfall on VaR0.03511
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01130

Expected Shortfall on VaR0.02404
 ORDER STATISTICS
 Quartiles of return rates

Number of observations353.00000

Minimum0.92171

Quartile 10.99498

Median1.00259

Quartile 31.01049

Maximum1.08690

Mean of quarter 10.97987

Mean of quarter 20.99903

Mean of quarter 31.00637

Mean of quarter 41.02075

Inter Quartile Range0.01551

Number outliers low15.00000

Percentage of outliers low0.04249

Mean of outliers low0.95157

Number of outliers high9.00000

Percentage of outliers high0.02550

Mean of outliers high1.04556
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.09967

VaR(95%) (moments method)0.01522

Expected Shortfall (moments method)0.02285

Extreme Value Index (regression method)0.12477

VaR(95%) (regression method)0.01650

Expected Shortfall (regression method)0.02546
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00023

Quartile 10.00459

Median0.01295

Quartile 30.04067

Maximum0.15339

Mean of quarter 10.00280

Mean of quarter 20.00935

Mean of quarter 30.03016

Mean of quarter 40.13845

Inter Quartile Range0.03608

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.24000

Mean of outliers high0.13845
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)64.04700

VaR(95%) (moments method)0.09104

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)2.85405

VaR(95%) (regression method)0.11008

Expected Shortfall (regression method)0.11051
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.42544

Compounded annual return (geometric extrapolation)0.39977

Calmar ratio (compounded annual return / max draw down)2.60627

Compounded annual return / average of 25% largest draw downs2.88750

Compounded annual return / Expected Shortfall lognormal11.38690

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

Mean0.08049

SD0.25063

Sharpe ratio (Glass type estimate)0.32116

Sharpe ratio (Hedges UMVUE)0.31930

df130.00000

t0.22709

p0.49004

Lowerbound of 95% confidence interval for Sharpe Ratio2.45153

Upperbound of 95% confidence interval for Sharpe Ratio3.09264

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.45278

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.09138
 Statistics related to Sortino ratio

Sortino ratio0.41008

Upside Potential Ratio7.29495

Upside part of mean1.43187

Downside part of mean1.35138

Upside SD0.15438

Downside SD0.19628

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.08049

SD of predictor0.10630

SD of criterion0.25063

Covariance0.01468

r0.55092

b (slope, estimate of beta)1.29898

a (intercept, estimate of alpha)0.12339

Mean Square Error0.04409

DF error129.00000

t(b)7.49773

p(b)0.16792

t(a)0.41381

p(a)0.52317

Lowerbound of 95% confidence interval for beta0.95620

Upperbound of 95% confidence interval for beta1.64176

Lowerbound of 95% confidence interval for alpha0.71336

Upperbound of 95% confidence interval for alpha0.46658

Treynor index (mean / b)0.06196

Jensen alpha (a)0.12339
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.04890

SD0.25315

Sharpe ratio (Glass type estimate)0.19314

Sharpe ratio (Hedges UMVUE)0.19203

df130.00000

t0.13657

p0.49401

Lowerbound of 95% confidence interval for Sharpe Ratio2.57912

Upperbound of 95% confidence interval for Sharpe Ratio2.96469

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57988

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.96393
 Statistics related to Sortino ratio

Sortino ratio0.24361

Upside Potential Ratio7.07475

Upside part of mean1.41997

Downside part of mean1.37108

Upside SD0.15272

Downside SD0.20071

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.04890

SD of predictor0.10647

SD of criterion0.25315

Covariance0.01492

r0.55349

b (slope, estimate of beta)1.31611

a (intercept, estimate of alpha)0.15020

Mean Square Error0.04480

DF error129.00000

t(b)7.54813

p(b)0.16656

t(a)0.49986

p(a)0.52798

VAR (95 Confidence Intrvl)0.02800

Lowerbound of 95% confidence interval for beta0.97113

Upperbound of 95% confidence interval for beta1.66109

Lowerbound of 95% confidence interval for alpha0.74472

Upperbound of 95% confidence interval for alpha0.44432

Treynor index (mean / b)0.03715

Jensen alpha (a)0.15020
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02522

Expected Shortfall on VaR0.03155
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01107

Expected Shortfall on VaR0.02330
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.93167

Quartile 10.99427

Median1.00073

Quartile 31.00878

Maximum1.03739

Mean of quarter 10.98123

Mean of quarter 20.99860

Mean of quarter 31.00510

Mean of quarter 41.01687

Inter Quartile Range0.01451

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.95007

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.03519
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.41375

VaR(95%) (moments method)0.01886

Expected Shortfall (moments method)0.03722

Extreme Value Index (regression method)0.41461

VaR(95%) (regression method)0.01601

Expected Shortfall (regression method)0.03007
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00193

Quartile 10.00902

Median0.02626

Quartile 30.07594

Maximum0.13021

Mean of quarter 10.00448

Mean of quarter 20.01864

Mean of quarter 30.03730

Mean of quarter 40.12240

Inter Quartile Range0.06692

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 Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?312674000

Max Equity Drawdown (num days)9
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.07830

Compounded annual return (geometric extrapolation)0.07983

Calmar ratio (compounded annual return / max draw down)0.61309

Compounded annual return / average of 25% largest draw downs0.65222

Compounded annual return / Expected Shortfall lognormal2.53032
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.