XessIVol
(91851468)
Subscription terms. Subscriptions to this system cost $150.00 per month.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2015  (3.5%)  +40.1%  +7.3%  +15.4%  +3.8%  +0.7%  +5.1%  (3.6%)  (2.8%)  +9.2%  (2.8%)  +3.1%  +88.6% 
2016  (1.3%)  (2.5%)  +17.6%  +0.4%  +5.3%  (2.7%)  +6.2%  +1.4%  +4.3%  +1.0%  +3.5%  (0.2%)  +36.3% 
2017  (0.2%)  (0.2%)  +1.3%  +2.6%  +0.6%  (2.3%)  +8.8%  (3.2%)  +6.2%  +6.0%  +1.7%  +3.0%  +26.2% 
2018  (3.6%)  (29.5%)  (1.4%)  +1.7%  +1.8%  (0.7%)  +2.9%  (29.1%) 
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  $25,000  
Buy Power  $44,776  
Cash  $1  
Equity  $1  
Cumulative $  $39,026  
Total System Equity  $64,026  
Margined  $1  
Open P/L  $1,063  
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 began1/14/2015

Suggested Minimum Cap$25,000

Strategy Age (days)1278.78

Age43 months ago

What it tradesStocks, Options

# Trades29

# Profitable26

% Profitable89.70%

Avg trade duration33.4 days

Max peaktovalley drawdown35.1%

drawdown periodJan 22, 2018  April 02, 2018

Annual Return (Compounded)26.8%

Avg win$2,534

Avg loss$8,955
 Model Account Values (Raw)

Cash$42,821

Margin Used$0

Buying Power$44,776
 Ratios

W:L ratio2.45:1

Sharpe Ratio1.273

Sortino Ratio1.682

Calmar Ratio1.017
 CORRELATION STATISTICS

Correlation to SP5000.37600
 Return Statistics

Ann Return (w trading costs)26.8%

Ann Return (Compnd, No Fees)30.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)664
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$8,955

Avg Win$2,534

# Winners26

# Losers3

% Winners89.7%
 Frequency

Avg Position Time (mins)48133.30

Avg Position Time (hrs)802.22

Avg Trade Length33.4 days

Last Trade Ago143
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.29139

SD0.27027

Sharpe ratio (Glass type estimate)1.07813

Sharpe ratio (Hedges UMVUE)1.05724

df39.00000

t1.96838

p0.02808

Lowerbound of 95% confidence interval for Sharpe Ratio0.02810

Upperbound of 95% confidence interval for Sharpe Ratio2.17127

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04162

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15610
 Statistics related to Sortino ratio

Sortino ratio1.78270

Upside Potential Ratio2.77016

Upside part of mean0.45279

Downside part of mean0.16140

Upside SD0.22711

Downside SD0.16345

N nonnegative terms29.00000

N negative terms11.00000
 Statistics related to linear regression on benchmark

N of observations40.00000

Mean of predictor0.07221

Mean of criterion0.29139

SD of predictor0.10503

SD of criterion0.27027

Covariance0.01112

r0.39176

b (slope, estimate of beta)1.00812

a (intercept, estimate of alpha)0.21860

Mean Square Error0.06346

DF error38.00000

t(b)2.62480

p(b)0.00621

t(a)1.55318

p(a)0.06434

Lowerbound of 95% confidence interval for beta0.23060

Upperbound of 95% confidence interval for beta1.78563

Lowerbound of 95% confidence interval for alpha0.06632

Upperbound of 95% confidence interval for alpha0.50351

Treynor index (mean / b)0.28904

Jensen alpha (a)0.21860
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25144

SD0.27599

Sharpe ratio (Glass type estimate)0.91105

Sharpe ratio (Hedges UMVUE)0.89340

df39.00000

t1.66335

p0.05213

Lowerbound of 95% confidence interval for Sharpe Ratio0.18685

Upperbound of 95% confidence interval for Sharpe Ratio1.99772

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19827

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.98507
 Statistics related to Sortino ratio

Sortino ratio1.33515

Upside Potential Ratio2.27569

Upside part of mean0.42857

Downside part of mean0.17713

Upside SD0.20993

Downside SD0.18832

N nonnegative terms29.00000

N negative terms11.00000
 Statistics related to linear regression on benchmark

N of observations40.00000

Mean of predictor0.06648

Mean of criterion0.25144

SD of predictor0.10505

SD of criterion0.27599

Covariance0.01180

r0.40709

b (slope, estimate of beta)1.06949

a (intercept, estimate of alpha)0.18035

Mean Square Error0.06522

DF error38.00000

t(b)2.74747

p(b)0.00457

t(a)1.26781

p(a)0.10629

Lowerbound of 95% confidence interval for beta0.28147

Upperbound of 95% confidence interval for beta1.85751

Lowerbound of 95% confidence interval for alpha0.10763

Upperbound of 95% confidence interval for alpha0.46832

Treynor index (mean / b)0.23511

Jensen alpha (a)0.18035
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10425

Expected Shortfall on VaR0.13321
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01887

Expected Shortfall on VaR0.04812
 ORDER STATISTICS
 Quartiles of return rates

Number of observations40.00000

Minimum0.72335

Quartile 11.00000

Median1.02166

Quartile 31.04628

Maximum1.25619

Mean of quarter 10.94876

Mean of quarter 21.01097

Mean of quarter 31.03185

Mean of quarter 41.11487

Inter Quartile Range0.04628

Number outliers low2.00000

Percentage of outliers low0.05000

Mean of outliers low0.82515

Number of outliers high3.00000

Percentage of outliers high0.07500

Mean of outliers high1.19203
 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)1.04003

VaR(95%) (regression method)0.04063

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.04134

Quartile 10.04541

Median0.05991

Quartile 30.13267

Maximum0.31152

Mean of quarter 10.04134

Mean of quarter 20.04676

Mean of quarter 30.07306

Mean of quarter 40.31152

Inter Quartile Range0.08727

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.31152
 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)0.46124

Compounded annual return (geometric extrapolation)0.32227

Calmar ratio (compounded annual return / max draw down)1.03450

Compounded annual return / average of 25% largest draw downs1.03450

Compounded annual return / Expected Shortfall lognormal2.41932

0.00000

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

Mean0.27666

SD0.21717

Sharpe ratio (Glass type estimate)1.27392

Sharpe ratio (Hedges UMVUE)1.27282

df876.00000

t2.33072

p0.01000

Lowerbound of 95% confidence interval for Sharpe Ratio0.20062

Upperbound of 95% confidence interval for Sharpe Ratio2.34648

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19990

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34575
 Statistics related to Sortino ratio

Sortino ratio1.68224

Upside Potential Ratio6.37153

Upside part of mean1.04786

Downside part of mean0.77120

Upside SD0.14267

Downside SD0.16446

N nonnegative terms373.00000

N negative terms504.00000
 Statistics related to linear regression on benchmark

N of observations877.00000

Mean of predictor0.07690

Mean of criterion0.27666

SD of predictor0.13206

SD of criterion0.21717

Covariance0.01093

r0.38104

b (slope, estimate of beta)0.62661

a (intercept, estimate of alpha)0.22800

Mean Square Error0.04036

DF error875.00000

t(b)12.19110

p(b)0.00000

t(a)2.07929

p(a)0.01894

Lowerbound of 95% confidence interval for beta0.52573

Upperbound of 95% confidence interval for beta0.72749

Lowerbound of 95% confidence interval for alpha0.01281

Upperbound of 95% confidence interval for alpha0.44414

Treynor index (mean / b)0.44152

Jensen alpha (a)0.22847
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25200

SD0.22387

Sharpe ratio (Glass type estimate)1.12567

Sharpe ratio (Hedges UMVUE)1.12471

df876.00000

t2.05950

p0.01987

Lowerbound of 95% confidence interval for Sharpe Ratio0.05282

Upperbound of 95% confidence interval for Sharpe Ratio2.19795

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05215

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19727
 Statistics related to Sortino ratio

Sortino ratio1.44222

Upside Potential Ratio5.93915

Upside part of mean1.03777

Downside part of mean0.78577

Upside SD0.14061

Downside SD0.17473

N nonnegative terms373.00000

N negative terms504.00000
 Statistics related to linear regression on benchmark

N of observations877.00000

Mean of predictor0.06815

Mean of criterion0.25200

SD of predictor0.13236

SD of criterion0.22387

Covariance0.01087

r0.36673

b (slope, estimate of beta)0.62029

a (intercept, estimate of alpha)0.20973

Mean Square Error0.04343

DF error875.00000

t(b)11.66030

p(b)0.00000

t(a)1.84041

p(a)0.03302

Lowerbound of 95% confidence interval for beta0.51588

Upperbound of 95% confidence interval for beta0.72470

Lowerbound of 95% confidence interval for alpha0.01393

Upperbound of 95% confidence interval for alpha0.43340

Treynor index (mean / b)0.40627

Jensen alpha (a)0.20973
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02155

Expected Shortfall on VaR0.02718
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00719

Expected Shortfall on VaR0.01611
 ORDER STATISTICS
 Quartiles of return rates

Number of observations877.00000

Minimum0.79828

Quartile 10.99908

Median1.00000

Quartile 31.00470

Maximum1.06715

Mean of quarter 10.98857

Mean of quarter 20.99994

Mean of quarter 31.00170

Mean of quarter 41.01450

Inter Quartile Range0.00561

Number outliers low96.00000

Percentage of outliers low0.10946

Mean of outliers low0.97859

Number of outliers high100.00000

Percentage of outliers high0.11403

Mean of outliers high1.02247
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.69931

VaR(95%) (moments method)0.00657

Expected Shortfall (moments method)0.02584

Extreme Value Index (regression method)0.23193

VaR(95%) (regression method)0.00955

Expected Shortfall (regression method)0.01787
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations52.00000

Minimum0.00041

Quartile 10.00204

Median0.00885

Quartile 30.03430

Maximum0.31768

Mean of quarter 10.00107

Mean of quarter 20.00457

Mean of quarter 30.02068

Mean of quarter 40.09313

Inter Quartile Range0.03226

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.11539

Mean of outliers high0.13625
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.18219

VaR(95%) (moments method)0.09296

Expected Shortfall (moments method)0.13990

Extreme Value Index (regression method)0.24676

VaR(95%) (regression method)0.09873

Expected Shortfall (regression method)0.15627
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.46371

Compounded annual return (geometric extrapolation)0.32301

Calmar ratio (compounded annual return / max draw down)1.01678

Compounded annual return / average of 25% largest draw downs3.46851

Compounded annual return / Expected Shortfall lognormal11.88520

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

Mean0.59074

SD0.30947

Sharpe ratio (Glass type estimate)1.90887

Sharpe ratio (Hedges UMVUE)1.89784

df130.00000

t1.34977

p0.55878

Lowerbound of 95% confidence interval for Sharpe Ratio4.68674

Upperbound of 95% confidence interval for Sharpe Ratio0.87614

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.67922

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.88355
 Statistics related to Sortino ratio

Sortino ratio1.93928

Upside Potential Ratio1.57233

Upside part of mean0.47896

Downside part of mean1.06970

Upside SD0.05984

Downside SD0.30462

N nonnegative terms47.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.08556

Mean of criterion0.59074

SD of predictor0.16734

SD of criterion0.30947

Covariance0.00493

r0.09514

b (slope, estimate of beta)0.17594

a (intercept, estimate of alpha)0.60579

Mean Square Error0.09564

DF error129.00000

t(b)1.08547

p(b)0.43953

t(a)1.38442

p(a)0.57684

Lowerbound of 95% confidence interval for beta0.14476

Upperbound of 95% confidence interval for beta0.49664

Lowerbound of 95% confidence interval for alpha1.47155

Upperbound of 95% confidence interval for alpha0.25997

Treynor index (mean / b)3.35754

Jensen alpha (a)0.60579
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.64541

SD0.34072

Sharpe ratio (Glass type estimate)1.89429

Sharpe ratio (Hedges UMVUE)1.88334

df130.00000

t1.33947

p0.55834

Lowerbound of 95% confidence interval for Sharpe Ratio4.67201

Upperbound of 95% confidence interval for Sharpe Ratio0.89058

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.66458

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.89790
 Statistics related to Sortino ratio

Sortino ratio1.91791

Upside Potential Ratio1.41784

Upside part of mean0.47713

Downside part of mean1.12255

Upside SD0.05955

Downside SD0.33652

N nonnegative terms47.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.07155

Mean of criterion0.64541

SD of predictor0.16813

SD of criterion0.34072

Covariance0.00429

r0.07489

b (slope, estimate of beta)0.15176

a (intercept, estimate of alpha)0.65627

Mean Square Error0.11633

DF error129.00000

t(b)0.85296

p(b)0.45237

t(a)1.36010

p(a)0.57552

Lowerbound of 95% confidence interval for beta0.20026

Upperbound of 95% confidence interval for beta0.50378

Lowerbound of 95% confidence interval for alpha1.61095

Upperbound of 95% confidence interval for alpha0.29840

Treynor index (mean / b)4.25290

Jensen alpha (a)0.65627
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03641

Expected Shortfall on VaR0.04482
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01065

Expected Shortfall on VaR0.02438
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.79828

Quartile 10.99860

Median1.00000

Quartile 31.00325

Maximum1.01800

Mean of quarter 10.98434

Mean of quarter 20.99972

Mean of quarter 31.00072

Mean of quarter 41.00672

Inter Quartile Range0.00465

Number outliers low16.00000

Percentage of outliers low0.12214

Mean of outliers low0.97180

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.01428
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.83542

VaR(95%) (moments method)0.01011

Expected Shortfall (moments method)0.06899

Extreme Value Index (regression method)0.64409

VaR(95%) (regression method)0.01139

Expected Shortfall (regression method)0.03884
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00160

Quartile 10.00269

Median0.00379

Quartile 30.16073

Maximum0.31768

Mean of quarter 10.00160

Mean of quarter 20.00379

Mean of quarter 30.00000

Mean of quarter 40.31768

Inter Quartile Range0.15804

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)0.53128

Compounded annual return (geometric extrapolation)0.46071

Calmar ratio (compounded annual return / max draw down)1.45023

Compounded annual return / average of 25% largest draw downs1.45023

Compounded annual return / Expected Shortfall lognormal10.28000
Strategy Description
The excess volatility implied in options premium has been and continues to be a good fount of added value. As managing an options portfolio is always a challenge, our team closely manage the risk and continuously apply strict risk management rules (defined before the trade entry) regarding stop losses levels and global exposures.
In addition to this strategy on options market, we have discovered some cyclical and structural negative bias in the pricing of various financial instruments. Our investment team has built a long/short subportfolio with these instruments which is expected to generate a good risk/reward profiled PnL.
*** Asset allocation purpose ***
From an investor's point of view, XessIVol structure seeks to offer a complement to the traditional equity  fixed income portfolio strategy, in an attempt to contribute to the overall portfolio performance while reducing its volatility.
The strategy is structured trough the Collective2 platform as an individual managed account, and is not appropriate for all investors. With the assistance of its financial advisor, the client will have to define its investment objectives and confirm its interest for this vehicle.
*** Disclaimer ***
We want to inform the investor that our signal generating system can maintain the strategy off the market for long periods (from few days to few months) in certain market's conditions.
The investment management team will not be blamed for not investing during these periods, as by the nature of volatility markets, most interesting entry levels usually emerge after inactivity periods.
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.