MT USA FUND
(85633603)
Subscription terms. You can subscribe to this system for free.
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  

2014  +7.9%  +1.1%  +4.8%  +5.7%  +7.2%  (1.2%)  +1.5%  (7.3%)  (3%)  +7.7%  (3.8%)  +21.2%  
2015  (2%)  +3.3%  +1.1%  (1.5%)  +3.5%  (1.5%)  +2.2%  +3.8%      (3%)  +1.4%  +7.1% 
2016  +10.8%  (0.3%)  +0.5%  +1.0%  +3.5%  (2%)  +2.4%  (2.3%)  (2.7%)  (0.6%)  (1.1%)  +2.3%  +11.3% 
2017  +5.5%  +3.4%  +0.5%  +1.9%  +2.4%  (1.4%)  +4.6%  (0.7%)  +0.4%  +3.6%  (2.5%)  (0.8%)  +18.1% 
2018                0.0 
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  $13,906  
Buy Power  $24,215  
Cash  $1  
Equity  $1  
Cumulative $  $10,309  
Includes dividends and cashsettled expirations:  $672  Itemized 
Total System Equity  $24,215  
Margined  $1  
Open P/L  $0  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began2/6/2014

Suggested Minimum Cap$15,000

Strategy Age (days)1621.07

Age54 months ago

What it tradesStocks

# Trades163

# Profitable78

% Profitable47.90%

Avg trade duration39.1 days

Max peaktovalley drawdown15.83%

drawdown periodJuly 23, 2014  Nov 04, 2014

Annual Return (Compounded)12.8%

Avg win$256.77

Avg loss$122.25
 Model Account Values (Raw)

Cash$24,215

Margin Used$0

Buying Power$24,215
 Ratios

W:L ratio2.07:1

Sharpe Ratio1.106

Sortino Ratio1.702

Calmar Ratio1.047
 CORRELATION STATISTICS

Correlation to SP5000.16200
 Return Statistics

Ann Return (w trading costs)12.8%

Ann Return (Compnd, No Fees)13.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss11.00%

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)735

C2 Score55.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days10
 Win / Loss

Avg Loss$122

Avg Win$257

# Winners78

# Losers85

% Winners47.9%
 Frequency

Avg Position Time (mins)56280.50

Avg Position Time (hrs)938.01

Avg Trade Length39.1 days

Last Trade Ago211
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12124

SD0.11860

Sharpe ratio (Glass type estimate)1.02226

Sharpe ratio (Hedges UMVUE)1.00548

df46.00000

t2.02310

p0.02445

Lowerbound of 95% confidence interval for Sharpe Ratio0.00493

Upperbound of 95% confidence interval for Sharpe Ratio2.02899

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00596

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.01692
 Statistics related to Sortino ratio

Sortino ratio2.06092

Upside Potential Ratio3.46774

Upside part of mean0.20400

Downside part of mean0.08276

Upside SD0.10738

Downside SD0.05883

N nonnegative terms27.00000

N negative terms20.00000
 Statistics related to linear regression on benchmark

N of observations47.00000

Mean of predictor0.09176

Mean of criterion0.12124

SD of predictor0.12136

SD of criterion0.11860

Covariance0.00161

r0.11161

b (slope, estimate of beta)0.10907

a (intercept, estimate of alpha)0.11123

Mean Square Error0.01420

DF error45.00000

t(b)0.75339

p(b)0.22757

t(a)1.80397

p(a)0.03897

Lowerbound of 95% confidence interval for beta0.18251

Upperbound of 95% confidence interval for beta0.40064

Lowerbound of 95% confidence interval for alpha0.01296

Upperbound of 95% confidence interval for alpha0.23542

Treynor index (mean / b)1.11162

Jensen alpha (a)0.11123
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11368

SD0.11655

Sharpe ratio (Glass type estimate)0.97540

Sharpe ratio (Hedges UMVUE)0.95940

df46.00000

t1.93038

p0.02987

Lowerbound of 95% confidence interval for Sharpe Ratio0.03976

Upperbound of 95% confidence interval for Sharpe Ratio1.98044

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05017

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.96897
 Statistics related to Sortino ratio

Sortino ratio1.87470

Upside Potential Ratio3.26595

Upside part of mean0.19805

Downside part of mean0.08437

Upside SD0.10342

Downside SD0.06064

N nonnegative terms27.00000

N negative terms20.00000
 Statistics related to linear regression on benchmark

N of observations47.00000

Mean of predictor0.08408

Mean of criterion0.11368

SD of predictor0.12096

SD of criterion0.11655

Covariance0.00155

r0.10983

b (slope, estimate of beta)0.10583

a (intercept, estimate of alpha)0.10479

Mean Square Error0.01372

DF error45.00000

t(b)0.74125

p(b)0.23120

t(a)1.73523

p(a)0.04477

Lowerbound of 95% confidence interval for beta0.18173

Upperbound of 95% confidence interval for beta0.39339

Lowerbound of 95% confidence interval for alpha0.01684

Upperbound of 95% confidence interval for alpha0.22642

Treynor index (mean / b)1.07422

Jensen alpha (a)0.10479
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04483

Expected Shortfall on VaR0.05809
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01401

Expected Shortfall on VaR0.03029
 ORDER STATISTICS
 Quartiles of return rates

Number of observations47.00000

Minimum0.91432

Quartile 10.99846

Median1.00463

Quartile 31.02820

Maximum1.11010

Mean of quarter 10.97654

Mean of quarter 21.00174

Mean of quarter 31.01523

Mean of quarter 41.05645

Inter Quartile Range0.02974

Number outliers low1.00000

Percentage of outliers low0.02128

Mean of outliers low0.91432

Number of outliers high3.00000

Percentage of outliers high0.06383

Mean of outliers high1.09211
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.63775

VaR(95%) (moments method)0.00801

Expected Shortfall (moments method)0.00948

Extreme Value Index (regression method)0.05980

VaR(95%) (regression method)0.02589

Expected Shortfall (regression method)0.04269
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.01323

Quartile 10.01866

Median0.02005

Quartile 30.04310

Maximum0.08691

Mean of quarter 10.01583

Mean of quarter 20.01935

Mean of quarter 30.02076

Mean of quarter 40.06873

Inter Quartile Range0.02444

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 high0.08691
 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)0.18924

Compounded annual return (geometric extrapolation)0.15211

Calmar ratio (compounded annual return / max draw down)1.75024

Compounded annual return / average of 25% largest draw downs2.21321

Compounded annual return / Expected Shortfall lognormal2.61829

0.00000

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

Mean0.11895

SD0.10747

Sharpe ratio (Glass type estimate)1.10681

Sharpe ratio (Hedges UMVUE)1.10600

df1029.00000

t2.19453

p0.45658

Lowerbound of 95% confidence interval for Sharpe Ratio0.11690

Upperbound of 95% confidence interval for Sharpe Ratio2.09623

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11634

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.09566
 Statistics related to Sortino ratio

Sortino ratio1.70211

Upside Potential Ratio8.04096

Upside part of mean0.56193

Downside part of mean0.44298

Upside SD0.08191

Downside SD0.06988

N nonnegative terms447.00000

N negative terms583.00000
 Statistics related to linear regression on benchmark

N of observations1030.00000

Mean of predictor0.09680

Mean of criterion0.11895

SD of predictor0.13144

SD of criterion0.10747

Covariance0.00270

r0.19084

b (slope, estimate of beta)0.15604

a (intercept, estimate of alpha)0.10400

Mean Square Error0.01114

DF error1028.00000

t(b)6.23342

p(b)0.40458

t(a)1.94876

p(a)0.46967

Lowerbound of 95% confidence interval for beta0.10692

Upperbound of 95% confidence interval for beta0.20516

Lowerbound of 95% confidence interval for alpha0.00072

Upperbound of 95% confidence interval for alpha0.20841

Treynor index (mean / b)0.76232

Jensen alpha (a)0.10385
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11316

SD0.10726

Sharpe ratio (Glass type estimate)1.05504

Sharpe ratio (Hedges UMVUE)1.05427

df1029.00000

t2.09189

p0.45860

Lowerbound of 95% confidence interval for Sharpe Ratio0.06524

Upperbound of 95% confidence interval for Sharpe Ratio2.04435

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.06472

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.04383
 Statistics related to Sortino ratio

Sortino ratio1.60487

Upside Potential Ratio7.92186

Upside part of mean0.55856

Downside part of mean0.44540

Upside SD0.08105

Downside SD0.07051

N nonnegative terms447.00000

N negative terms583.00000
 Statistics related to linear regression on benchmark

N of observations1030.00000

Mean of predictor0.08812

Mean of criterion0.11316

SD of predictor0.13173

SD of criterion0.10726

Covariance0.00272

r0.19249

b (slope, estimate of beta)0.15673

a (intercept, estimate of alpha)0.09935

Mean Square Error0.01109

DF error1028.00000

t(b)6.28932

p(b)0.40375

t(a)1.86906

p(a)0.47090

Lowerbound of 95% confidence interval for beta0.10783

Upperbound of 95% confidence interval for beta0.20563

Lowerbound of 95% confidence interval for alpha0.00495

Upperbound of 95% confidence interval for alpha0.20365

Treynor index (mean / b)0.72200

Jensen alpha (a)0.09935
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01041

Expected Shortfall on VaR0.01315
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00415

Expected Shortfall on VaR0.00871
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1030.00000

Minimum0.96698

Quartile 10.99865

Median1.00000

Quartile 31.00251

Maximum1.05298

Mean of quarter 10.99380

Mean of quarter 20.99969

Mean of quarter 31.00088

Mean of quarter 41.00788

Inter Quartile Range0.00386

Number outliers low71.00000

Percentage of outliers low0.06893

Mean of outliers low0.98632

Number of outliers high80.00000

Percentage of outliers high0.07767

Mean of outliers high1.01495
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.49058

VaR(95%) (moments method)0.00532

Expected Shortfall (moments method)0.01233

Extreme Value Index (regression method)0.18328

VaR(95%) (regression method)0.00543

Expected Shortfall (regression method)0.00900
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations37.00000

Minimum0.00009

Quartile 10.00319

Median0.01281

Quartile 30.02986

Maximum0.14471

Mean of quarter 10.00145

Mean of quarter 20.00822

Mean of quarter 30.01871

Mean of quarter 40.06441

Inter Quartile Range0.02667

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.08108

Mean of outliers high0.10629
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.15592

VaR(95%) (moments method)0.06478

Expected Shortfall (moments method)0.09429

Extreme Value Index (regression method)0.36461

VaR(95%) (regression method)0.07608

Expected Shortfall (regression method)0.13447
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.18854

Compounded annual return (geometric extrapolation)0.15150

Calmar ratio (compounded annual return / max draw down)1.04693

Compounded annual return / average of 25% largest draw downs2.35202

Compounded annual return / Expected Shortfall lognormal11.52450

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

Mean0.06919

SD0.02214

Sharpe ratio (Glass type estimate)3.12571

Sharpe ratio (Hedges UMVUE)3.10764

df130.00000

t2.21021

p0.59515

Lowerbound of 95% confidence interval for Sharpe Ratio5.91759

Upperbound of 95% confidence interval for Sharpe Ratio0.32214

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.90507

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31022
 Statistics related to Sortino ratio

Sortino ratio3.73360

Upside Potential Ratio2.75480

Upside part of mean0.05105

Downside part of mean0.12024

Upside SD0.01269

Downside SD0.01853

N nonnegative terms14.00000

N negative terms117.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15556

Mean of criterion0.06919

SD of predictor0.15782

SD of criterion0.02214

Covariance0.00001

r0.00240

b (slope, estimate of beta)0.00034

a (intercept, estimate of alpha)0.06924

Mean Square Error0.00049

DF error129.00000

t(b)0.02727

p(b)0.49847

t(a)2.19926

p(a)0.62029

Lowerbound of 95% confidence interval for beta0.02409

Upperbound of 95% confidence interval for beta0.02477

Lowerbound of 95% confidence interval for alpha0.13153

Upperbound of 95% confidence interval for alpha0.00695

Treynor index (mean / b)205.45500

Jensen alpha (a)0.06924
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06943

SD0.02215

Sharpe ratio (Glass type estimate)3.13469

Sharpe ratio (Hedges UMVUE)3.11657

df130.00000

t2.21656

p0.59542

Lowerbound of 95% confidence interval for Sharpe Ratio5.92660

Upperbound of 95% confidence interval for Sharpe Ratio0.33097

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.91415

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31900
 Statistics related to Sortino ratio

Sortino ratio3.73886

Upside Potential Ratio2.74432

Upside part of mean0.05096

Downside part of mean0.12040

Upside SD0.01267

Downside SD0.01857

N nonnegative terms14.00000

N negative terms117.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.14308

Mean of criterion0.06943

SD of predictor0.15849

SD of criterion0.02215

Covariance0.00001

r0.00173

b (slope, estimate of beta)0.00024

a (intercept, estimate of alpha)0.06947

Mean Square Error0.00049

DF error129.00000

t(b)0.01967

p(b)0.49890

t(a)2.20567

p(a)0.62062

Lowerbound of 95% confidence interval for beta0.02410

Upperbound of 95% confidence interval for beta0.02459

Lowerbound of 95% confidence interval for alpha0.13178

Upperbound of 95% confidence interval for alpha0.00715

Treynor index (mean / b)286.90500

Jensen alpha (a)0.06947
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00251

Expected Shortfall on VaR0.00308
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00149

Expected Shortfall on VaR0.00296
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99345

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00572

Mean of quarter 10.99856

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00082

Inter Quartile Range0.00000

Number outliers low26.00000

Percentage of outliers low0.19847

Mean of outliers low0.99817

Number of outliers high14.00000

Percentage of outliers high0.10687

Mean of outliers high1.00193
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.52668

VaR(95%) (moments method)0.00190

Expected Shortfall (moments method)0.00254

Extreme Value Index (regression method)0.22226

VaR(95%) (regression method)0.00231

Expected Shortfall (regression method)0.00352
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00032

Quartile 10.00771

Median0.01509

Quartile 30.02248

Maximum0.02986

Mean of quarter 10.00032

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.02986

Inter Quartile Range0.01477

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)0.04110

Compounded annual return (geometric extrapolation)0.04068

Calmar ratio (compounded annual return / max draw down)1.36209

Compounded annual return / average of 25% largest draw downs1.36209

Compounded annual return / Expected Shortfall lognormal13.19450
Strategy Description
We track records on the Italian market since 12/22/2009 , and since 02/06/12 on the U.S. market .
We only do trading following the dominant trend in the market . We use our proprietary algorithm to calculate levels of support and resistance. We also use the classical rules of technical analysis.Our order are given only when the market is closed, at the weekend, after analysis of previous week 19s data . Only in very rare cases we carry out modifications to the active orders during the week , when volatility increases wide.
Our analyzes are to 70% automatic , while 30% are analyzed by at least 3 traders to eliminate emotionality and errors by the choices of trading.
We believe that a fully automated trading system can be very dangerous when the market changes , while human intelligence knows when it's time to break the rules.
Our trading system is not based on past data, this way there is no 18overfitting 19 , instead the system is based on our own trading theory (such as Fibonacci or Elliott) that we call Mirror Trading because it uses levels of trading of our invention. For this reason, we expect that in the future we will continue to achieve good results.
We had some good results in the past performances with low draw down .
We're here to get involved in Collective2 100% , a website that we believe ingenious and well built.
To maintain the highest quality of the signals we will accept a maximum of 50 followers.
Summary Statistics
Latest Activity
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.