Carma Dynamic
(106183568)
Subscription terms. Subscriptions to this system cost $99.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one 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  

2016  (1.2%)  +5.0%  +0.6%  +4.4%  
2017  +10.5%  +3.8%  +2.9%  +0.4%  (8.2%)  +2.0%  +0.5%  +1.6%  +0.6%  (1.6%)  +1.7%  +5.4%  +20.1% 
2018  (1.7%)  (11.5%)  +5.7%  +2.3%  (1.2%)  (4.7%)  +5.4%  +2.3%  +3.0%  (2.1%)  +0.6%  +1.3%  (2%) 
2019  +1.2%  (1.2%)  +2.3%  +5.0%  (15.5%)  +6.7%  +1.9%  (1.3%) 
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  $100,000  
Buy Power  $115,976  
Cash  $116,128  
Equity  ($151)  
Cumulative $  $28,040  
Includes dividends and cashsettled expirations:  $2,991  Itemized 
Total System Equity  $128,040  
Margined  $0  
Open P/L  ($151) 
Trading Record
Statistics

Strategy began10/3/2016

Suggested Minimum Cap$35,000

Strategy Age (days)1015.61

Age34 months ago

What it tradesStocks

# Trades486

# Profitable300

% Profitable61.70%

Avg trade duration6.1 days

Max peaktovalley drawdown17.55%

drawdown periodJan 03, 2018  Feb 09, 2018

Annual Return (Compounded)7.2%

Avg win$539.57

Avg loss$735.60
 Model Account Values (Raw)

Cash$116,128

Margin Used$0

Buying Power$115,976
 Ratios

W:L ratio1.23:1

Sharpe Ratio0.38

Sortino Ratio0.52

Calmar Ratio0.615
 CORRELATION STATISTICS

Correlation to SP5000.34160
 Return Statistics

Ann Return (w trading costs)7.2%

Ann Return (Compnd, No Fees)9.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss37.00%

Chance of 20% account loss8.50%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)576

C2 Score64.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$736

Avg Win$540

# Winners300

# Losers186

% Winners61.7%
 Frequency

Avg Position Time (mins)8760.55

Avg Position Time (hrs)146.01

Avg Trade Length6.1 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.86

Daily leverage (max)4.31
 Unknown

Alpha0.01

Beta0.35

Treynor Index0.05
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.06164

SD0.13339

Sharpe ratio (Glass type estimate)0.46210

Sharpe ratio (Hedges UMVUE)0.45081

df31.00000

t0.75460

p0.22809

Lowerbound of 95% confidence interval for Sharpe Ratio0.74724

Upperbound of 95% confidence interval for Sharpe Ratio1.66411

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75465

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.65627
 Statistics related to Sortino ratio

Sortino ratio0.63586

Upside Potential Ratio1.94616

Upside part of mean0.18865

Downside part of mean0.12702

Upside SD0.09031

Downside SD0.09694

N nonnegative terms22.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations32.00000

Mean of predictor0.08947

Mean of criterion0.06164

SD of predictor0.09431

SD of criterion0.13339

Covariance0.00495

r0.39361

b (slope, estimate of beta)0.55673

a (intercept, estimate of alpha)0.01183

Mean Square Error0.01554

DF error30.00000

t(b)2.34518

p(b)0.01291

t(a)0.14927

p(a)0.44117

Lowerbound of 95% confidence interval for beta0.07191

Upperbound of 95% confidence interval for beta1.04154

Lowerbound of 95% confidence interval for alpha0.14998

Upperbound of 95% confidence interval for alpha0.17364

Treynor index (mean / b)0.11072

Jensen alpha (a)0.01183
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05260

SD0.13538

Sharpe ratio (Glass type estimate)0.38851

Sharpe ratio (Hedges UMVUE)0.37902

df31.00000

t0.63443

p0.26523

Lowerbound of 95% confidence interval for Sharpe Ratio0.81863

Upperbound of 95% confidence interval for Sharpe Ratio1.58950

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82491

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.58295
 Statistics related to Sortino ratio

Sortino ratio0.51843

Upside Potential Ratio1.81667

Upside part of mean0.18430

Downside part of mean0.13170

Upside SD0.08771

Downside SD0.10145

N nonnegative terms22.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations32.00000

Mean of predictor0.08465

Mean of criterion0.05260

SD of predictor0.09440

SD of criterion0.13538

Covariance0.00497

r0.38888

b (slope, estimate of beta)0.55770

a (intercept, estimate of alpha)0.00539

Mean Square Error0.01607

DF error30.00000

t(b)2.31198

p(b)0.01391

t(a)0.06709

p(a)0.47348

Lowerbound of 95% confidence interval for beta0.06506

Upperbound of 95% confidence interval for beta1.05035

Lowerbound of 95% confidence interval for alpha0.15856

Upperbound of 95% confidence interval for alpha0.16934

Treynor index (mean / b)0.09431

Jensen alpha (a)0.00539
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05814

Expected Shortfall on VaR0.07330
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01698

Expected Shortfall on VaR0.03969
 ORDER STATISTICS
 Quartiles of return rates

Number of observations32.00000

Minimum0.89627

Quartile 11.00047

Median1.01001

Quartile 31.02387

Maximum1.07588

Mean of quarter 10.96008

Mean of quarter 21.00520

Mean of quarter 31.01532

Mean of quarter 41.04926

Inter Quartile Range0.02340

Number outliers low3.00000

Percentage of outliers low0.09375

Mean of outliers low0.91682

Number of outliers high3.00000

Percentage of outliers high0.09375

Mean of outliers high1.06864
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.55161

VaR(95%) (moments method)0.01661

Expected Shortfall (moments method)0.02021

Extreme Value Index (regression method)0.08695

VaR(95%) (regression method)0.04201

Expected Shortfall (regression method)0.06275
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.01338

Quartile 10.01897

Median0.05892

Quartile 30.09868

Maximum0.10373

Mean of quarter 10.01338

Mean of quarter 20.02084

Mean of quarter 30.09700

Mean of quarter 40.10373

Inter Quartile Range0.07971

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)0.08980

Compounded annual return (geometric extrapolation)0.08383

Calmar ratio (compounded annual return / max draw down)0.80814

Compounded annual return / average of 25% largest draw downs0.80814

Compounded annual return / Expected Shortfall lognormal1.14371

0.00000

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

Mean0.07098

SD0.12960

Sharpe ratio (Glass type estimate)0.54766

Sharpe ratio (Hedges UMVUE)0.54708

df717.00000

t0.90661

p0.18246

Lowerbound of 95% confidence interval for Sharpe Ratio0.63682

Upperbound of 95% confidence interval for Sharpe Ratio1.73178

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63721

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.73138
 Statistics related to Sortino ratio

Sortino ratio0.74571

Upside Potential Ratio6.42374

Upside part of mean0.61143

Downside part of mean0.54045

Upside SD0.08794

Downside SD0.09518

N nonnegative terms346.00000

N negative terms372.00000
 Statistics related to linear regression on benchmark

N of observations718.00000

Mean of predictor0.10143

Mean of criterion0.07098

SD of predictor0.12570

SD of criterion0.12960

Covariance0.00575

r0.35317

b (slope, estimate of beta)0.36414

a (intercept, estimate of alpha)0.03400

Mean Square Error0.01472

DF error716.00000

t(b)10.10100

p(b)0.00000

t(a)0.46388

p(a)0.32144

Lowerbound of 95% confidence interval for beta0.29337

Upperbound of 95% confidence interval for beta0.43492

Lowerbound of 95% confidence interval for alpha0.11004

Upperbound of 95% confidence interval for alpha0.17813

Treynor index (mean / b)0.19492

Jensen alpha (a)0.03404
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06254

SD0.13001

Sharpe ratio (Glass type estimate)0.48108

Sharpe ratio (Hedges UMVUE)0.48058

df717.00000

t0.79640

p0.21303

Lowerbound of 95% confidence interval for Sharpe Ratio0.70327

Upperbound of 95% confidence interval for Sharpe Ratio1.66517

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.70364

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.66480
 Statistics related to Sortino ratio

Sortino ratio0.64747

Upside Potential Ratio6.28960

Upside part of mean0.60756

Downside part of mean0.54501

Upside SD0.08696

Downside SD0.09660

N nonnegative terms346.00000

N negative terms372.00000
 Statistics related to linear regression on benchmark

N of observations718.00000

Mean of predictor0.09350

Mean of criterion0.06254

SD of predictor0.12591

SD of criterion0.13001

Covariance0.00582

r0.35544

b (slope, estimate of beta)0.36699

a (intercept, estimate of alpha)0.02823

Mean Square Error0.01479

DF error716.00000

t(b)10.17540

p(b)0.00000

t(a)0.38392

p(a)0.35058

Lowerbound of 95% confidence interval for beta0.29618

Upperbound of 95% confidence interval for beta0.43780

Lowerbound of 95% confidence interval for alpha0.11614

Upperbound of 95% confidence interval for alpha0.17260

Treynor index (mean / b)0.17042

Jensen alpha (a)0.02823
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01289

Expected Shortfall on VaR0.01619
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00474

Expected Shortfall on VaR0.01037
 ORDER STATISTICS
 Quartiles of return rates

Number of observations718.00000

Minimum0.94920

Quartile 10.99848

Median1.00000

Quartile 31.00265

Maximum1.05425

Mean of quarter 10.99226

Mean of quarter 20.99972

Mean of quarter 31.00111

Mean of quarter 41.00841

Inter Quartile Range0.00418

Number outliers low54.00000

Percentage of outliers low0.07521

Mean of outliers low0.98276

Number of outliers high62.00000

Percentage of outliers high0.08635

Mean of outliers high1.01523
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.64189

VaR(95%) (moments method)0.00680

Expected Shortfall (moments method)0.02148

Extreme Value Index (regression method)0.38154

VaR(95%) (regression method)0.00693

Expected Shortfall (regression method)0.01419
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations31.00000

Minimum0.00005

Quartile 10.00333

Median0.00798

Quartile 30.02266

Maximum0.15399

Mean of quarter 10.00114

Mean of quarter 20.00653

Mean of quarter 30.01267

Mean of quarter 40.06980

Inter Quartile Range0.01933

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high4.00000

Percentage of outliers high0.12903

Mean of outliers high0.11132
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.44122

VaR(95%) (moments method)0.07099

Expected Shortfall (moments method)0.14930

Extreme Value Index (regression method)0.19887

VaR(95%) (regression method)0.07650

Expected Shortfall (regression method)0.12516
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.10265

Compounded annual return (geometric extrapolation)0.09467

Calmar ratio (compounded annual return / max draw down)0.61475

Compounded annual return / average of 25% largest draw downs1.35628

Compounded annual return / Expected Shortfall lognormal5.84669

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

Mean0.03874

SD0.12562

Sharpe ratio (Glass type estimate)0.30842

Sharpe ratio (Hedges UMVUE)0.30664

df130.00000

t0.21809

p0.50956

Lowerbound of 95% confidence interval for Sharpe Ratio3.08000

Upperbound of 95% confidence interval for Sharpe Ratio2.46412

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07869

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46542
 Statistics related to Sortino ratio

Sortino ratio0.41199

Upside Potential Ratio6.28049

Upside part of mean0.59061

Downside part of mean0.62936

Upside SD0.08259

Downside SD0.09404

N nonnegative terms60.00000

N negative terms71.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.29382

Mean of criterion0.03874

SD of predictor0.11033

SD of criterion0.12562

Covariance0.00820

r0.59142

b (slope, estimate of beta)0.67336

a (intercept, estimate of alpha)0.23659

Mean Square Error0.01034

DF error129.00000

t(b)8.33019

p(b)0.14677

t(a)1.62323

p(a)0.58977

Lowerbound of 95% confidence interval for beta0.51343

Upperbound of 95% confidence interval for beta0.83329

Lowerbound of 95% confidence interval for alpha0.52497

Upperbound of 95% confidence interval for alpha0.05178

Treynor index (mean / b)0.05754

Jensen alpha (a)0.23659
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.04659

SD0.12590

Sharpe ratio (Glass type estimate)0.37010

Sharpe ratio (Hedges UMVUE)0.36796

df130.00000

t0.26170

p0.51147

Lowerbound of 95% confidence interval for Sharpe Ratio3.14167

Upperbound of 95% confidence interval for Sharpe Ratio2.40268

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14012

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40421
 Statistics related to Sortino ratio

Sortino ratio0.49024

Upside Potential Ratio6.17789

Upside part of mean0.58718

Downside part of mean0.63377

Upside SD0.08188

Downside SD0.09505

N nonnegative terms60.00000

N negative terms71.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.28759

Mean of criterion0.04659

SD of predictor0.11040

SD of criterion0.12590

Covariance0.00823

r0.59210

b (slope, estimate of beta)0.67520

a (intercept, estimate of alpha)0.24077

Mean Square Error0.01037

DF error129.00000

t(b)8.34491

p(b)0.14642

t(a)1.65020

p(a)0.59122

Lowerbound of 95% confidence interval for beta0.51511

Upperbound of 95% confidence interval for beta0.83528

Lowerbound of 95% confidence interval for alpha0.52945

Upperbound of 95% confidence interval for alpha0.04790

Treynor index (mean / b)0.06901

Jensen alpha (a)0.24077
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01289

Expected Shortfall on VaR0.01609
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00575

Expected Shortfall on VaR0.01194
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96753

Quartile 10.99790

Median1.00000

Quartile 31.00266

Maximum1.02782

Mean of quarter 10.99125

Mean of quarter 20.99945

Mean of quarter 31.00102

Mean of quarter 41.00815

Inter Quartile Range0.00476

Number outliers low10.00000

Percentage of outliers low0.07634

Mean of outliers low0.98223

Number of outliers high10.00000

Percentage of outliers high0.07634

Mean of outliers high1.01586
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.29837

VaR(95%) (moments method)0.00721

Expected Shortfall (moments method)0.01291

Extreme Value Index (regression method)0.26033

VaR(95%) (regression method)0.00907

Expected Shortfall (regression method)0.01618
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00121

Quartile 10.00983

Median0.02180

Quartile 30.03032

Maximum0.13967

Mean of quarter 10.00408

Mean of quarter 20.01849

Mean of quarter 30.02511

Mean of quarter 40.08586

Inter Quartile Range0.02049

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.13967
 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)0.01860

Compounded annual return (geometric extrapolation)0.01851

Calmar ratio (compounded annual return / max draw down)0.13256

Compounded annual return / average of 25% largest draw downs0.21563

Compounded annual return / Expected Shortfall lognormal1.15089
Strategy Description
 Signals generated once a day, before market opens.
 Exposure per symbol: 20%
 Maximum exposure: 200% (10 positions)
 Long/short
 Only higly liquid US stocks traded
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.