WOversold
(98996797)
Subscription terms. Subscriptions to this system cost $25.00 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  

2016  +1.4%  +0.4%  +4.3%  +3.3%    +0.1%  +1.6%  (1.2%)  +2.1%  (1.5%)  +5.5%  +1.1%  +18.3% 
2017  +0.8%  (0.2%)  +1.9%  +0.8%  (1.2%)  (0.7%)  +2.5%  (1%)  (1.3%)  +0.6%  +0.3%  +0.1%  +2.5% 
2018  (0.9%)  (3.9%)  +2.1%  (1.1%)  +0.2%  +0.4%  (0.4%)    +1.1%  +0.4%  (1.2%)  (1.9%)  (5%) 
2019  +0.7%  +0.7% 
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  $106,640  
Cash  $1  
Equity  $1  
Cumulative $  $19,997  
Includes dividends and cashsettled expirations:  $3,170  Itemized 
Total System Equity  $119,997  
Margined  $1  
Open P/L  ($131)  
Data has been delayed by 72 hours for nonsubscribers 
System developer has asked us to delay this information by 72 hours.
Trading Record
Statistics

Strategy began1/3/2016

Suggested Minimum Cap$35,000

Strategy Age (days)1112.16

Age37 months ago

What it tradesStocks

# Trades507

# Profitable287

% Profitable56.60%

Avg trade duration4.1 days

Max peaktovalley drawdown9.85%

drawdown periodAug 16, 2017  Aug 17, 2018

Annual Return (Compounded)5.0%

Avg win$269.13

Avg loss$274.61
 Model Account Values (Raw)

Cash$106,925

Margin Used$0

Buying Power$106,640
 Ratios

W:L ratio1.38:1

Sharpe Ratio0.551

Sortino Ratio0.801

Calmar Ratio0.747
 CORRELATION STATISTICS

Correlation to SP5000.31400
 Return Statistics

Ann Return (w trading costs)5.0%

Ann Return (Compnd, No Fees)6.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss6.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)703

C2 Score82.0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$275

Avg Win$269

# Winners287

# Losers220

% Winners56.6%
 Frequency

Avg Position Time (mins)5947.70

Avg Position Time (hrs)99.13

Avg Trade Length4.1 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.03498

SD0.07231

Sharpe ratio (Glass type estimate)0.48369

Sharpe ratio (Hedges UMVUE)0.47324

df35.00000

t0.83779

p0.20392

Lowerbound of 95% confidence interval for Sharpe Ratio0.65690

Upperbound of 95% confidence interval for Sharpe Ratio1.61749

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.66376

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61025
 Statistics related to Sortino ratio

Sortino ratio0.77837

Upside Potential Ratio2.29678

Upside part of mean0.10321

Downside part of mean0.06823

Upside SD0.05627

Downside SD0.04494

N nonnegative terms17.00000

N negative terms19.00000
 Statistics related to linear regression on benchmark

N of observations36.00000

Mean of predictor0.06180

Mean of criterion0.03498

SD of predictor0.11393

SD of criterion0.07231

Covariance0.00539

r0.65398

b (slope, estimate of beta)0.41510

a (intercept, estimate of alpha)0.00933

Mean Square Error0.00308

DF error34.00000

t(b)5.04061

p(b)0.00001

t(a)0.28740

p(a)0.38778

Lowerbound of 95% confidence interval for beta0.24774

Upperbound of 95% confidence interval for beta0.58246

Lowerbound of 95% confidence interval for alpha0.05662

Upperbound of 95% confidence interval for alpha0.07527

Treynor index (mean / b)0.08426

Jensen alpha (a)0.00933
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03232

SD0.07207

Sharpe ratio (Glass type estimate)0.44854

Sharpe ratio (Hedges UMVUE)0.43885

df35.00000

t0.77690

p0.22122

Lowerbound of 95% confidence interval for Sharpe Ratio0.69103

Upperbound of 95% confidence interval for Sharpe Ratio1.58183

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69740

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57509
 Statistics related to Sortino ratio

Sortino ratio0.70374

Upside Potential Ratio2.20839

Upside part of mean0.10144

Downside part of mean0.06911

Upside SD0.05501

Downside SD0.04593

N nonnegative terms17.00000

N negative terms19.00000
 Statistics related to linear regression on benchmark

N of observations36.00000

Mean of predictor0.05521

Mean of criterion0.03232

SD of predictor0.11409

SD of criterion0.07207

Covariance0.00538

r0.65393

b (slope, estimate of beta)0.41308

a (intercept, estimate of alpha)0.00952

Mean Square Error0.00306

DF error34.00000

t(b)5.03999

p(b)0.00001

t(a)0.29513

p(a)0.38485

Lowerbound of 95% confidence interval for beta0.24651

Upperbound of 95% confidence interval for beta0.57964

Lowerbound of 95% confidence interval for alpha0.05603

Upperbound of 95% confidence interval for alpha0.07507

Treynor index (mean / b)0.07825

Jensen alpha (a)0.00952
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03103

Expected Shortfall on VaR0.03939
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01344

Expected Shortfall on VaR0.02739
 ORDER STATISTICS
 Quartiles of return rates

Number of observations36.00000

Minimum0.93982

Quartile 10.99638

Median1.00193

Quartile 31.01566

Maximum1.06361

Mean of quarter 10.98242

Mean of quarter 20.99953

Mean of quarter 31.00835

Mean of quarter 41.03067

Inter Quartile Range0.01928

Number outliers low1.00000

Percentage of outliers low0.02778

Mean of outliers low0.93982

Number of outliers high2.00000

Percentage of outliers high0.05556

Mean of outliers high1.05454
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.42366

VaR(95%) (moments method)0.01565

Expected Shortfall (moments method)0.03284

Extreme Value Index (regression method)0.26339

VaR(95%) (regression method)0.01666

Expected Shortfall (regression method)0.02922
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00083

Quartile 10.00958

Median0.01798

Quartile 30.02211

Maximum0.07332

Mean of quarter 10.00520

Mean of quarter 20.01798

Mean of quarter 30.02211

Mean of quarter 40.07332

Inter Quartile Range0.01254

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.07332
 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)0.06602

Compounded annual return (geometric extrapolation)0.06208

Calmar ratio (compounded annual return / max draw down)0.84675

Compounded annual return / average of 25% largest draw downs0.84675

Compounded annual return / Expected Shortfall lognormal1.57603

0.00000

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

Mean0.03455

SD0.06260

Sharpe ratio (Glass type estimate)0.55183

Sharpe ratio (Hedges UMVUE)0.55131

df789.00000

t0.95823

p0.16912

Lowerbound of 95% confidence interval for Sharpe Ratio0.57737

Upperbound of 95% confidence interval for Sharpe Ratio1.68072

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57773

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.68035
 Statistics related to Sortino ratio

Sortino ratio0.80082

Upside Potential Ratio6.99693

Upside part of mean0.30183

Downside part of mean0.26729

Upside SD0.04536

Downside SD0.04314

N nonnegative terms373.00000

N negative terms417.00000
 Statistics related to linear regression on benchmark

N of observations790.00000

Mean of predictor0.07466

Mean of criterion0.03455

SD of predictor0.13208

SD of criterion0.06260

Covariance0.00268

r0.32381

b (slope, estimate of beta)0.15347

a (intercept, estimate of alpha)0.02300

Mean Square Error0.00351

DF error788.00000

t(b)9.60731

p(b)0.00000

t(a)0.67603

p(a)0.24961

Lowerbound of 95% confidence interval for beta0.12212

Upperbound of 95% confidence interval for beta0.18483

Lowerbound of 95% confidence interval for alpha0.04395

Upperbound of 95% confidence interval for alpha0.09013

Treynor index (mean / b)0.22509

Jensen alpha (a)0.02309
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03258

SD0.06261

Sharpe ratio (Glass type estimate)0.52037

Sharpe ratio (Hedges UMVUE)0.51988

df789.00000

t0.90360

p0.18324

Lowerbound of 95% confidence interval for Sharpe Ratio0.60880

Upperbound of 95% confidence interval for Sharpe Ratio1.64922

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60913

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64889
 Statistics related to Sortino ratio

Sortino ratio0.75016

Upside Potential Ratio6.92501

Upside part of mean0.30078

Downside part of mean0.26820

Upside SD0.04509

Downside SD0.04343

N nonnegative terms373.00000

N negative terms417.00000
 Statistics related to linear regression on benchmark

N of observations790.00000

Mean of predictor0.06591

Mean of criterion0.03258

SD of predictor0.13232

SD of criterion0.06261

Covariance0.00268

r0.32399

b (slope, estimate of beta)0.15331

a (intercept, estimate of alpha)0.02248

Mean Square Error0.00351

DF error788.00000

t(b)9.61321

p(b)0.00000

t(a)0.65818

p(a)0.25531

Lowerbound of 95% confidence interval for beta0.12200

Upperbound of 95% confidence interval for beta0.18461

Lowerbound of 95% confidence interval for alpha0.04456

Upperbound of 95% confidence interval for alpha0.08952

Treynor index (mean / b)0.21253

Jensen alpha (a)0.02248
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00622

Expected Shortfall on VaR0.00782
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00239

Expected Shortfall on VaR0.00509
 ORDER STATISTICS
 Quartiles of return rates

Number of observations790.00000

Minimum0.97173

Quartile 10.99913

Median1.00000

Quartile 31.00125

Maximum1.02699

Mean of quarter 10.99638

Mean of quarter 20.99977

Mean of quarter 31.00052

Mean of quarter 41.00428

Inter Quartile Range0.00212

Number outliers low53.00000

Percentage of outliers low0.06709

Mean of outliers low0.99197

Number of outliers high63.00000

Percentage of outliers high0.07975

Mean of outliers high1.00828
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.48914

VaR(95%) (moments method)0.00339

Expected Shortfall (moments method)0.00771

Extreme Value Index (regression method)0.37744

VaR(95%) (regression method)0.00319

Expected Shortfall (regression method)0.00618
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations36.00000

Minimum0.00006

Quartile 10.00049

Median0.00243

Quartile 30.00887

Maximum0.08351

Mean of quarter 10.00025

Mean of quarter 20.00125

Mean of quarter 30.00551

Mean of quarter 40.02925

Inter Quartile Range0.00838

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.13889

Mean of outliers high0.04153
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.01419

VaR(95%) (moments method)0.02365

Expected Shortfall (moments method)0.03308

Extreme Value Index (regression method)0.32948

VaR(95%) (regression method)0.03978

Expected Shortfall (regression method)0.07674
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06636

Compounded annual return (geometric extrapolation)0.06236

Calmar ratio (compounded annual return / max draw down)0.74672

Compounded annual return / average of 25% largest draw downs2.13181

Compounded annual return / Expected Shortfall lognormal7.97088

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

Mean0.04818

SD0.06356

Sharpe ratio (Glass type estimate)0.75805

Sharpe ratio (Hedges UMVUE)0.75366

df130.00000

t0.53602

p0.52348

Lowerbound of 95% confidence interval for Sharpe Ratio3.52994

Upperbound of 95% confidence interval for Sharpe Ratio2.01674

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.52698

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.01966
 Statistics related to Sortino ratio

Sortino ratio1.00070

Upside Potential Ratio5.26285

Upside part of mean0.25339

Downside part of mean0.30157

Upside SD0.04123

Downside SD0.04815

N nonnegative terms60.00000

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

N of observations131.00000

Mean of predictor0.11177

Mean of criterion0.04818

SD of predictor0.18773

SD of criterion0.06356

Covariance0.00206

r0.17238

b (slope, estimate of beta)0.05836

a (intercept, estimate of alpha)0.04166

Mean Square Error0.00395

DF error129.00000

t(b)1.98760

p(b)0.39081

t(a)0.46836

p(a)0.52622

Lowerbound of 95% confidence interval for beta0.00027

Upperbound of 95% confidence interval for beta0.11646

Lowerbound of 95% confidence interval for alpha0.21764

Upperbound of 95% confidence interval for alpha0.13432

Treynor index (mean / b)0.82555

Jensen alpha (a)0.04166
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05019

SD0.06363

Sharpe ratio (Glass type estimate)0.78870

Sharpe ratio (Hedges UMVUE)0.78414

df130.00000

t0.55770

p0.52443

Lowerbound of 95% confidence interval for Sharpe Ratio3.56072

Upperbound of 95% confidence interval for Sharpe Ratio1.98621

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.55759

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.98930
 Statistics related to Sortino ratio

Sortino ratio1.03512

Upside Potential Ratio5.20826

Upside part of mean0.25252

Downside part of mean0.30271

Upside SD0.04095

Downside SD0.04849

N nonnegative terms60.00000

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

N of observations131.00000

Mean of predictor0.12927

Mean of criterion0.05019

SD of predictor0.18772

SD of criterion0.06363

Covariance0.00207

r0.17288

b (slope, estimate of beta)0.05860

a (intercept, estimate of alpha)0.04261

Mean Square Error0.00396

DF error129.00000

t(b)1.99356

p(b)0.39049

t(a)0.47847

p(a)0.52679

Lowerbound of 95% confidence interval for beta0.00044

Upperbound of 95% confidence interval for beta0.11676

Lowerbound of 95% confidence interval for alpha0.21882

Upperbound of 95% confidence interval for alpha0.13360

Treynor index (mean / b)0.85640

Jensen alpha (a)0.04261
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00664

Expected Shortfall on VaR0.00827
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00274

Expected Shortfall on VaR0.00581
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98053

Quartile 10.99886

Median1.00000

Quartile 31.00129

Maximum1.01849

Mean of quarter 10.99596

Mean of quarter 20.99969

Mean of quarter 31.00056

Mean of quarter 41.00350

Inter Quartile Range0.00243

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.98608

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.01046
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.44783

VaR(95%) (moments method)0.00382

Expected Shortfall (moments method)0.00800

Extreme Value Index (regression method)0.32265

VaR(95%) (regression method)0.00357

Expected Shortfall (regression method)0.00637
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00048

Quartile 10.00068

Median0.00509

Quartile 30.03496

Maximum0.05187

Mean of quarter 10.00058

Mean of quarter 20.00509

Mean of quarter 30.03496

Mean of quarter 40.05187

Inter Quartile Range0.03429

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)0.02216

Compounded annual return (geometric extrapolation)0.02203

Calmar ratio (compounded annual return / max draw down)0.42484

Compounded annual return / average of 25% largest draw downs0.42484

Compounded annual return / Expected Shortfall lognormal2.66595
Strategy Description
by combining proprietary technical and fundamental indicators.
This strategy is optimized to trade each ticker individually and then the
aggregate strategy is traded into this one account (with appropriate
position adjustments for the combined risk). Currently shorts are
never taken. I believe the fundamental strategy can be modified to
trade long many instrument and I might expand it to trade more
individual instruments (stocks and ETFs) as time goes on. The goal behind
each additional symbol that is added is to increase the total account value by
taking high probability trades.
Margin is not used.
WOversold posts trades at around 3:45 Eastern Time as limit orders to
be filled in the market before the close. Each day the strategy looks
if a ticker is oversold "enough" and when it is found to be so it will
put on an opening trade. When a ticker is no longer oversold the
strategy will exit. A typical trade should have you in the market
long for 23 days and there can be a gap of 34 days between trades on
any given symbol.
There is currently no stop loss logic in place, so if you decide to
trade this strategy and you desire that logic you should enforce it
yourself. The placement of these stops is somewhat dependent on how
much capital you can risk and is therefore more of a trader dependent
consideration.
I have backtested this strategy on the current symbol list from 2000
to the present date and it has seemed to perform well. I can provide
these backtest results to paying strategy subscribers.
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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Strategy is now visible
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Strategy is no longer visible
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Finally, please note that you can restore public visibility at any time.
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You can restore public visibility at any time.
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.