VIX DayTrader 1
(98408819)
Subscription terms. Subscriptions to this system cost $189.00 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  +23.1%  +8.3%  +33.3%  
2016  +0.6%  (0.2%)  +18.8%  +10.3%  (0.2%)  +12.6%  +1.7%  +4.8%  (6.5%)  +7.2%  +16.2%  (7.3%)  +70.1% 
2017  (5.7%)  +1.9%  (5.7%)  (5.8%)  (2.1%)  (7.9%)  (4.4%)  (12.8%)  +8.2%  +5.6%  (1.5%)  +5.2%  (23.9%) 
2018  (7.4%)  +20.3%  +11.4% 
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  $10,000  
Buy Power  $29,284  
Cash  $29,284  
Equity  $0  
Cumulative $  $19,284  
Total System Equity  $29,284  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Suggested Minimum Cap$35,000

Strategy Age (days)829.36

Age28 months ago

What it tradesStocks

# Trades543

# Profitable307

% Profitable56.50%

Avg trade duration5.6 hours

Max peaktovalley drawdown47.11%

drawdown periodDec 07, 2016  Sept 05, 2017

Annual Return (Compounded)33.2%

Avg win$256.56

Avg loss$252.03
 Model Account Values (Raw)

Cash$29,284

Margin Used$0

Buying Power$29,284
 Ratios

W:L ratio1.32:1

Sharpe Ratio2.218

Sortino Ratio4.009

Calmar Ratio2.107
 CORRELATION STATISTICS

Correlation to SP5000.02600
 Return Statistics

Ann Return (w trading costs)33.2%

Ann Return (Compnd, No Fees)60.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss17.00%

Chance of 20% account loss1.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)816

Popularity (Last 6 weeks)929

C2 Score74.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$252

Avg Win$257

# Winners307

# Losers236

% Winners56.5%
 Frequency

Avg Position Time (mins)338.58

Avg Position Time (hrs)5.64

Avg Trade Length0.2 days

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

Mean0.43052

SD0.30310

Sharpe ratio (Glass type estimate)1.42040

Sharpe ratio (Hedges UMVUE)1.37728

df25.00000

t2.09077

p0.02344

Lowerbound of 95% confidence interval for Sharpe Ratio0.01946

Upperbound of 95% confidence interval for Sharpe Ratio2.79535

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00790

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76246
 Statistics related to Sortino ratio

Sortino ratio3.79028

Upside Potential Ratio5.36050

Upside part of mean0.60888

Downside part of mean0.17836

Upside SD0.30146

Downside SD0.11359

N nonnegative terms16.00000

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

N of observations26.00000

Mean of predictor0.12900

Mean of criterion0.43052

SD of predictor0.08460

SD of criterion0.30310

Covariance0.00062

r0.02422

b (slope, estimate of beta)0.08676

a (intercept, estimate of alpha)0.44171

Mean Square Error0.09564

DF error24.00000

t(b)0.11867

p(b)0.54674

t(a)1.91803

p(a)0.03354

Lowerbound of 95% confidence interval for beta1.59566

Upperbound of 95% confidence interval for beta1.42214

Lowerbound of 95% confidence interval for alpha0.03359

Upperbound of 95% confidence interval for alpha0.91702

Treynor index (mean / b)4.96216

Jensen alpha (a)0.44171
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.38248

SD0.28441

Sharpe ratio (Glass type estimate)1.34482

Sharpe ratio (Hedges UMVUE)1.30400

df25.00000

t1.97953

p0.02943

Lowerbound of 95% confidence interval for Sharpe Ratio0.04979

Upperbound of 95% confidence interval for Sharpe Ratio2.71461

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07572

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68372
 Statistics related to Sortino ratio

Sortino ratio3.21847

Upside Potential Ratio4.77334

Upside part of mean0.56726

Downside part of mean0.18478

Upside SD0.27540

Downside SD0.11884

N nonnegative terms16.00000

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

N of observations26.00000

Mean of predictor0.12463

Mean of criterion0.38248

SD of predictor0.08403

SD of criterion0.28441

Covariance0.00047

r0.01957

b (slope, estimate of beta)0.06624

a (intercept, estimate of alpha)0.39074

Mean Square Error0.08423

DF error24.00000

t(b)0.09589

p(b)0.53780

t(a)1.81617

p(a)0.04093

Lowerbound of 95% confidence interval for beta1.49196

Upperbound of 95% confidence interval for beta1.35949

Lowerbound of 95% confidence interval for alpha0.05330

Upperbound of 95% confidence interval for alpha0.83477

Treynor index (mean / b)5.77439

Jensen alpha (a)0.39074
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09803

Expected Shortfall on VaR0.12805
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02852

Expected Shortfall on VaR0.06019
 ORDER STATISTICS
 Quartiles of return rates

Number of observations26.00000

Minimum0.88288

Quartile 10.99021

Median1.03038

Quartile 31.06347

Maximum1.26934

Mean of quarter 10.94961

Mean of quarter 21.00489

Mean of quarter 31.04245

Mean of quarter 41.15172

Inter Quartile Range0.07326

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.07692

Mean of outliers high1.24153
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.02806

VaR(95%) (moments method)0.03653

Expected Shortfall (moments method)0.05364

Extreme Value Index (regression method)0.19497

VaR(95%) (regression method)0.06258

Expected Shortfall (regression method)0.10755
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00402

Quartile 10.06094

Median0.11786

Quartile 30.17478

Maximum0.23170

Mean of quarter 10.00402

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.23170

Inter Quartile Range0.11384

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)0.66144

Compounded annual return (geometric extrapolation)0.50740

Calmar ratio (compounded annual return / max draw down)2.18988

Compounded annual return / average of 25% largest draw downs2.18988

Compounded annual return / Expected Shortfall lognormal3.96259

0.00000

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

Mean0.44904

SD0.20217

Sharpe ratio (Glass type estimate)2.22112

Sharpe ratio (Hedges UMVUE)2.21828

df586.00000

t3.32461

p0.00047

Lowerbound of 95% confidence interval for Sharpe Ratio0.90462

Upperbound of 95% confidence interval for Sharpe Ratio3.53578

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90271

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.53384
 Statistics related to Sortino ratio

Sortino ratio4.00891

Upside Potential Ratio11.65090

Upside part of mean1.30502

Downside part of mean0.85598

Upside SD0.17037

Downside SD0.11201

N nonnegative terms307.00000

N negative terms280.00000
 Statistics related to linear regression on benchmark

N of observations587.00000

Mean of predictor0.10946

Mean of criterion0.44904

SD of predictor0.11610

SD of criterion0.20217

Covariance0.00001

r0.00024

b (slope, estimate of beta)0.00041

a (intercept, estimate of alpha)0.44900

Mean Square Error0.04094

DF error585.00000

t(b)0.00574

p(b)0.49771

t(a)3.31581

p(a)0.00049

Lowerbound of 95% confidence interval for beta0.14099

Upperbound of 95% confidence interval for beta0.14182

Lowerbound of 95% confidence interval for alpha0.18305

Upperbound of 95% confidence interval for alpha0.71494

Treynor index (mean / b)1086.49000

Jensen alpha (a)0.44899
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.42849

SD0.20027

Sharpe ratio (Glass type estimate)2.13951

Sharpe ratio (Hedges UMVUE)2.13677

df586.00000

t3.20246

p0.00072

Lowerbound of 95% confidence interval for Sharpe Ratio0.82351

Upperbound of 95% confidence interval for Sharpe Ratio3.45379

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82165

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.45190
 Statistics related to Sortino ratio

Sortino ratio3.78638

Upside Potential Ratio11.40570

Upside part of mean1.29074

Downside part of mean0.86225

Upside SD0.16714

Downside SD0.11317

N nonnegative terms307.00000

N negative terms280.00000
 Statistics related to linear regression on benchmark

N of observations587.00000

Mean of predictor0.10268

Mean of criterion0.42849

SD of predictor0.11642

SD of criterion0.20027

Covariance0.00002

r0.00089

b (slope, estimate of beta)0.00152

a (intercept, estimate of alpha)0.42864

Mean Square Error0.04018

DF error585.00000

t(b)0.02143

p(b)0.50855

t(a)3.19615

p(a)0.00073

Lowerbound of 95% confidence interval for beta0.14121

Upperbound of 95% confidence interval for beta0.13817

Lowerbound of 95% confidence interval for alpha0.16524

Upperbound of 95% confidence interval for alpha0.69205

Treynor index (mean / b)281.06900

Jensen alpha (a)0.42864
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01854

Expected Shortfall on VaR0.02359
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00728

Expected Shortfall on VaR0.01458
 ORDER STATISTICS
 Quartiles of return rates

Number of observations587.00000

Minimum0.95518

Quartile 10.99585

Median1.00053

Quartile 31.00666

Maximum1.09036

Mean of quarter 10.98833

Mean of quarter 20.99886

Mean of quarter 31.00323

Mean of quarter 41.01688

Inter Quartile Range0.01081

Number outliers low16.00000

Percentage of outliers low0.02726

Mean of outliers low0.97315

Number of outliers high31.00000

Percentage of outliers high0.05281

Mean of outliers high1.03481
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.08342

VaR(95%) (moments method)0.01046

Expected Shortfall (moments method)0.01504

Extreme Value Index (regression method)0.02179

VaR(95%) (regression method)0.01062

Expected Shortfall (regression method)0.01479
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations23.00000

Minimum0.00031

Quartile 10.00656

Median0.01831

Quartile 30.04363

Maximum0.27451

Mean of quarter 10.00289

Mean of quarter 20.01114

Mean of quarter 30.03400

Mean of quarter 40.10976

Inter Quartile Range0.03707

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08696

Mean of outliers high0.19103
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.10738

VaR(95%) (moments method)0.10185

Expected Shortfall (moments method)0.13484

Extreme Value Index (regression method)0.40610

VaR(95%) (regression method)0.13881

Expected Shortfall (regression method)0.27435
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.79458

Compounded annual return (geometric extrapolation)0.57837

Calmar ratio (compounded annual return / max draw down)2.10693

Compounded annual return / average of 25% largest draw downs5.26925

Compounded annual return / Expected Shortfall lognormal24.51460

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

Mean0.49167

SD0.20985

Sharpe ratio (Glass type estimate)2.34300

Sharpe ratio (Hedges UMVUE)2.32946

df130.00000

t1.65675

p0.42810

Lowerbound of 95% confidence interval for Sharpe Ratio0.44777

Upperbound of 95% confidence interval for Sharpe Ratio5.12503

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.45677

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.11569
 Statistics related to Sortino ratio

Sortino ratio5.67624

Upside Potential Ratio13.67170

Upside part of mean1.18422

Downside part of mean0.69256

Upside SD0.19266

Downside SD0.08662

N nonnegative terms57.00000

N negative terms74.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.20604

Mean of criterion0.49167

SD of predictor0.11670

SD of criterion0.20985

Covariance0.00368

r0.15013

b (slope, estimate of beta)0.26996

a (intercept, estimate of alpha)0.54729

Mean Square Error0.04338

DF error129.00000

t(b)1.72474

p(b)0.59522

t(a)1.84710

p(a)0.39825

Lowerbound of 95% confidence interval for beta0.57965

Upperbound of 95% confidence interval for beta0.03972

Lowerbound of 95% confidence interval for alpha0.03894

Upperbound of 95% confidence interval for alpha1.13352

Treynor index (mean / b)1.82123

Jensen alpha (a)0.54729
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.46999

SD0.20511

Sharpe ratio (Glass type estimate)2.29146

Sharpe ratio (Hedges UMVUE)2.27822

df130.00000

t1.62031

p0.42965

Lowerbound of 95% confidence interval for Sharpe Ratio0.49855

Upperbound of 95% confidence interval for Sharpe Ratio5.07286

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50739

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.06382
 Statistics related to Sortino ratio

Sortino ratio5.38739

Upside Potential Ratio13.36850

Upside part of mean1.16626

Downside part of mean0.69627

Upside SD0.18703

Downside SD0.08724

N nonnegative terms57.00000

N negative terms74.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.19911

Mean of criterion0.46999

SD of predictor0.11769

SD of criterion0.20511

Covariance0.00376

r0.15565

b (slope, estimate of beta)0.27126

a (intercept, estimate of alpha)0.52400

Mean Square Error0.04137

DF error129.00000

t(b)1.78967

p(b)0.59869

t(a)1.81181

p(a)0.40013

Lowerbound of 95% confidence interval for beta0.57115

Upperbound of 95% confidence interval for beta0.02863

Lowerbound of 95% confidence interval for alpha0.04822

Upperbound of 95% confidence interval for alpha1.09622

Treynor index (mean / b)1.73260

Jensen alpha (a)0.52400
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01887

Expected Shortfall on VaR0.02404
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00657

Expected Shortfall on VaR0.01258
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97561

Quartile 10.99700

Median1.00000

Quartile 31.00560

Maximum1.09036

Mean of quarter 10.99084

Mean of quarter 20.99891

Mean of quarter 31.00187

Mean of quarter 41.01631

Inter Quartile Range0.00860

Number outliers low3.00000

Percentage of outliers low0.02290

Mean of outliers low0.97977

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.03948
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.21568

VaR(95%) (moments method)0.00791

Expected Shortfall (moments method)0.01004

Extreme Value Index (regression method)0.22392

VaR(95%) (regression method)0.01141

Expected Shortfall (regression method)0.01494
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations10.00000

Minimum0.00030

Quartile 10.00364

Median0.01348

Quartile 30.03239

Maximum0.09377

Mean of quarter 10.00205

Mean of quarter 20.00504

Mean of quarter 30.02626

Mean of quarter 40.05501

Inter Quartile Range0.02876

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.10000

Mean of outliers high0.09377
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.16849

VaR(95%) (moments method)0.06381

Expected Shortfall (moments method)0.09408

Extreme Value Index (regression method)2.23296

VaR(95%) (regression method)0.12451

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.56535

Compounded annual return (geometric extrapolation)0.64526

Calmar ratio (compounded annual return / max draw down)6.88114

Compounded annual return / average of 25% largest draw downs11.72960

Compounded annual return / Expected Shortfall lognormal26.84220
Strategy Description
VIX DayTrader 1 is now closed to new subscribers. However, a "sister strategy" VIX DayTrader 2 has now been opened:https://collective2.com/details/107301515
Strategy description: Volatility/VIX has recently become a popular asset class amongst sophisticated investors  it has historically generated large returns, can be used to hedge risk, and may act as a diversification tool for typical portfolios. This strategy provides access to a professionally managed, academically evidenced and thoroughly backtested strategy, giving the user access to a professional volatility day trader. Despite the sophistication of the underlying system, it has been designed to be incredibly simple for the end user. It achieves this by being using exchangetraded products such as VXX and XIV (inverse VIX), so that the user does not need access to futures. Moreover, the use of long XIV positions allows the strategy to “short” volatility without actually having to borrow stock, as this can lead to problems for the endusers of the system.
Using these products, the strategy switches between “riskon” (VXX) and “riskoff” (XIV) according to a variety of metrics and indicators. The biggest advantage is the ability of this flexible strategy to buy volatility (long VXX) at times of market stress, downturns and crashes. In this way, the system can be profitable when many other successful “longonly” stock strategies will be suffering some serious losses.
The trading system is implemented as a discretionary/semiautomated strategy – the final judgement is made by a human, and includes a range of technical, fundamental, economic and news factors. Trading size might vary according to market conditions.
LOYALTY SCHEME: Continuous subscriptions of more than 6months are eligible to receive a $20 reduction below the standard subscription price. Simply send me a message after this period has elapsed, and I will apply the reduction to your account.
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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Strategy is now visible
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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.