Demla Index Trader
(115641407)
Subscription terms. Subscriptions to this system cost $29.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
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  

2018  +0.9%  +1.8%  +2.8%  (2.1%)  (0.2%)  +0.7%  (1.1%)  +2.6%  +0.1%  +0.6%  (1.7%)  +1.2%  +5.5% 
2019  +0.3%  +1.6%  (0.2%)  +0.6%  (1.3%)  +0.4%  (0.6%)  (1.9%)  (1%)  (2.2%) 
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  $30,000  
Buy Power  $31,699  
Cash  $31,699  
Equity  $0  
Cumulative $  $1,699  
Includes dividends and cashsettled expirations:  $75  Itemized 
Total System Equity  $31,699  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began1/2/2018

Suggested Minimum Cap$35,000

Strategy Age (days)626.77

Age21 months ago

What it tradesStocks

# Trades133

# Profitable62

% Profitable46.60%

Avg trade duration4.0 days

Max peaktovalley drawdown4.74%

drawdown periodApril 29, 2019  Sept 20, 2019

Annual Return (Compounded)1.8%

Avg win$118.24

Avg loss$80.38
 Model Account Values (Raw)

Cash$31,699

Margin Used$0

Buying Power$31,699
 Ratios

W:L ratio1.33:1

Sharpe Ratio0.07

Sortino Ratio0.09

Calmar Ratio0.929
 CORRELATION STATISTICS

Correlation to SP5000.06250
 Return Statistics

Ann Return (w trading costs)1.8%

Ann Return (Compnd, No Fees)3.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

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)716

C2 Score232
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$80

Avg Win$118

# Winners62

# Losers71

% Winners46.6%
 Frequency

Avg Position Time (mins)5759.08

Avg Position Time (hrs)95.98

Avg Trade Length4.0 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.52

Daily leverage (max)1.87
 Regression

Alpha0.00

Beta0.01

Treynor Index0.05
 Maximum Adverse Excursion (MAE)

Avg(MAE) / Avg(PL)  All trades8.056

Avg(MAE) / Avg(PL)  Winning trades0.298

Avg(MAE) / Avg(PL)  Losing trades1.468

HoldandHope Ratio0.124
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01249

SD0.04725

Sharpe ratio (Glass type estimate)0.26425

Sharpe ratio (Hedges UMVUE)0.25366

df19.00000

t0.34115

p0.45038

Lowerbound of 95% confidence interval for Sharpe Ratio1.25964

Upperbound of 95% confidence interval for Sharpe Ratio1.78128

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.26666

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.77398
 Statistics related to Sortino ratio

Sortino ratio0.39452

Upside Potential Ratio2.34995

Upside part of mean0.07438

Downside part of mean0.06189

Upside SD0.03365

Downside SD0.03165

N nonnegative terms12.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.04725

Mean of criterion0.01249

SD of predictor0.14063

SD of criterion0.04725

Covariance0.00068

r0.10219

b (slope, estimate of beta)0.03434

a (intercept, estimate of alpha)0.01411

Mean Square Error0.00233

DF error18.00000

t(b)0.43583

p(b)0.55110

t(a)0.37532

p(a)0.45594

Lowerbound of 95% confidence interval for beta0.19986

Upperbound of 95% confidence interval for beta0.13119

Lowerbound of 95% confidence interval for alpha0.06487

Upperbound of 95% confidence interval for alpha0.09309

Treynor index (mean / b)0.36365

Jensen alpha (a)0.01411
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01140

SD0.04712

Sharpe ratio (Glass type estimate)0.24186

Sharpe ratio (Hedges UMVUE)0.23216

df19.00000

t0.31224

p0.45455

Lowerbound of 95% confidence interval for Sharpe Ratio1.28136

Upperbound of 95% confidence interval for Sharpe Ratio1.75885

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.28781

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75213
 Statistics related to Sortino ratio

Sortino ratio0.35783

Upside Potential Ratio2.31235

Upside part of mean0.07365

Downside part of mean0.06225

Upside SD0.03326

Downside SD0.03185

N nonnegative terms12.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.03772

Mean of criterion0.01140

SD of predictor0.14036

SD of criterion0.04712

Covariance0.00067

r0.10170

b (slope, estimate of beta)0.03414

a (intercept, estimate of alpha)0.01269

Mean Square Error0.00232

DF error18.00000

t(b)0.43371

p(b)0.55085

t(a)0.33894

p(a)0.46018

Lowerbound of 95% confidence interval for beta0.19954

Upperbound of 95% confidence interval for beta0.13125

Lowerbound of 95% confidence interval for alpha0.06594

Upperbound of 95% confidence interval for alpha0.09131

Treynor index (mean / b)0.33381

Jensen alpha (a)0.01269
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02120

Expected Shortfall on VaR0.02673
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01051

Expected Shortfall on VaR0.01948
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.98343

Quartile 10.99045

Median1.00694

Quartile 31.01101

Maximum1.02794

Mean of quarter 10.98493

Mean of quarter 21.00020

Mean of quarter 31.00899

Mean of quarter 41.01935

Inter Quartile Range0.02056

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)18.97900

VaR(95%) (moments method)0.01548

Expected Shortfall (moments method)0.01548

Extreme Value Index (regression method)2.93377

VaR(95%) (regression method)0.01773

Expected Shortfall (regression method)0.01778
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00150

Quartile 10.01466

Median0.01657

Quartile 30.01766

Maximum0.02793

Mean of quarter 10.00808

Mean of quarter 20.01657

Mean of quarter 30.01766

Mean of quarter 40.02793

Inter Quartile Range0.00300

Number outliers low1.00000

Percentage of outliers low0.20000

Mean of outliers low0.00150

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.02793
 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)0.04062

Compounded annual return (geometric extrapolation)0.04009

Calmar ratio (compounded annual return / max draw down)1.43538

Compounded annual return / average of 25% largest draw downs1.43538

Compounded annual return / Expected Shortfall lognormal1.49949

0.00000

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

Mean0.00811

SD0.03736

Sharpe ratio (Glass type estimate)0.21698

Sharpe ratio (Hedges UMVUE)0.21661

df441.00000

t0.28183

p0.38910

Lowerbound of 95% confidence interval for Sharpe Ratio1.29215

Upperbound of 95% confidence interval for Sharpe Ratio1.72597

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.29245

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.72567
 Statistics related to Sortino ratio

Sortino ratio0.31467

Upside Potential Ratio7.65162

Upside part of mean0.19709

Downside part of mean0.18899

Upside SD0.02700

Downside SD0.02576

N nonnegative terms177.00000

N negative terms265.00000
 Statistics related to linear regression on benchmark

N of observations442.00000

Mean of predictor0.04646

Mean of criterion0.00811

SD of predictor0.15835

SD of criterion0.03736

Covariance0.00028

r0.04722

b (slope, estimate of beta)0.01114

a (intercept, estimate of alpha)0.00800

Mean Square Error0.00140

DF error440.00000

t(b)0.99161

p(b)0.16097

t(a)0.26379

p(a)0.39603

Lowerbound of 95% confidence interval for beta0.01094

Upperbound of 95% confidence interval for beta0.03322

Lowerbound of 95% confidence interval for alpha0.04895

Upperbound of 95% confidence interval for alpha0.06412

Treynor index (mean / b)0.72764

Jensen alpha (a)0.00759
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00741

SD0.03735

Sharpe ratio (Glass type estimate)0.19838

Sharpe ratio (Hedges UMVUE)0.19804

df441.00000

t0.25766

p0.39839

Lowerbound of 95% confidence interval for Sharpe Ratio1.31074

Upperbound of 95% confidence interval for Sharpe Ratio1.70736

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31101

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70709
 Statistics related to Sortino ratio

Sortino ratio0.28689

Upside Potential Ratio7.61719

Upside part of mean0.19671

Downside part of mean0.18930

Upside SD0.02692

Downside SD0.02582

N nonnegative terms177.00000

N negative terms265.00000
 Statistics related to linear regression on benchmark

N of observations442.00000

Mean of predictor0.03390

Mean of criterion0.00741

SD of predictor0.15873

SD of criterion0.03735

Covariance0.00028

r0.04645

b (slope, estimate of beta)0.01093

a (intercept, estimate of alpha)0.00704

Mean Square Error0.00139

DF error440.00000

t(b)0.97539

p(b)0.16495

t(a)0.24474

p(a)0.40338

Lowerbound of 95% confidence interval for beta0.01109

Upperbound of 95% confidence interval for beta0.03295

Lowerbound of 95% confidence interval for alpha0.04948

Upperbound of 95% confidence interval for alpha0.06356

Treynor index (mean / b)0.67790

Jensen alpha (a)0.00704
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00376

Expected Shortfall on VaR0.00472
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00185

Expected Shortfall on VaR0.00366
 ORDER STATISTICS
 Quartiles of return rates

Number of observations442.00000

Minimum0.99094

Quartile 10.99932

Median1.00000

Quartile 31.00093

Maximum1.01093

Mean of quarter 10.99753

Mean of quarter 20.99984

Mean of quarter 31.00032

Mean of quarter 41.00286

Inter Quartile Range0.00161

Number outliers low25.00000

Percentage of outliers low0.05656

Mean of outliers low0.99470

Number of outliers high33.00000

Percentage of outliers high0.07466

Mean of outliers high1.00502
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.17475

VaR(95%) (moments method)0.00237

Expected Shortfall (moments method)0.00369

Extreme Value Index (regression method)0.09452

VaR(95%) (regression method)0.00266

Expected Shortfall (regression method)0.00364
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations21.00000

Minimum0.00020

Quartile 10.00100

Median0.00459

Quartile 30.00845

Maximum0.03868

Mean of quarter 10.00054

Mean of quarter 20.00238

Mean of quarter 30.00630

Mean of quarter 40.02102

Inter Quartile Range0.00745

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.09524

Mean of outliers high0.03460
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.39971

VaR(95%) (moments method)0.02216

Expected Shortfall (moments method)0.04184

Extreme Value Index (regression method)0.65882

VaR(95%) (regression method)0.02501

Expected Shortfall (regression method)0.07251
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.03639

Compounded annual return (geometric extrapolation)0.03595

Calmar ratio (compounded annual return / max draw down)0.92935

Compounded annual return / average of 25% largest draw downs1.71020

Compounded annual return / Expected Shortfall lognormal7.61679

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

Mean0.09255

SD0.03339

Sharpe ratio (Glass type estimate)2.77201

Sharpe ratio (Hedges UMVUE)2.75598

df130.00000

t1.96010

p0.58471

Lowerbound of 95% confidence interval for Sharpe Ratio5.55899

Upperbound of 95% confidence interval for Sharpe Ratio0.02531

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.54796

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.03599
 Statistics related to Sortino ratio

Sortino ratio3.24656

Upside Potential Ratio4.41855

Upside part of mean0.12595

Downside part of mean0.21850

Upside SD0.01806

Downside SD0.02851

N nonnegative terms40.00000

N negative terms91.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.09827

Mean of criterion0.09255

SD of predictor0.13770

SD of criterion0.03339

Covariance0.00081

r0.17617

b (slope, estimate of beta)0.04271

a (intercept, estimate of alpha)0.09674

Mean Square Error0.00109

DF error129.00000

t(b)2.03268

p(b)0.38843

t(a)2.07151

p(a)0.61361

Lowerbound of 95% confidence interval for beta0.00114

Upperbound of 95% confidence interval for beta0.08428

Lowerbound of 95% confidence interval for alpha0.18914

Upperbound of 95% confidence interval for alpha0.00434

Treynor index (mean / b)2.16678

Jensen alpha (a)0.09674
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09311

SD0.03343

Sharpe ratio (Glass type estimate)2.78514

Sharpe ratio (Hedges UMVUE)2.76904

df130.00000

t1.96939

p0.58510

Lowerbound of 95% confidence interval for Sharpe Ratio5.57232

Upperbound of 95% confidence interval for Sharpe Ratio0.01249

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.56121

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02312
 Statistics related to Sortino ratio

Sortino ratio3.25749

Upside Potential Ratio4.40056

Upside part of mean0.12578

Downside part of mean0.21888

Upside SD0.01803

Downside SD0.02858

N nonnegative terms40.00000

N negative terms91.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.08879

Mean of criterion0.09311

SD of predictor0.13818

SD of criterion0.03343

Covariance0.00082

r0.17712

b (slope, estimate of beta)0.04285

a (intercept, estimate of alpha)0.09691

Mean Square Error0.00109

DF error129.00000

t(b)2.04400

p(b)0.38783

t(a)2.07313

p(a)0.61370

Lowerbound of 95% confidence interval for beta0.00137

Upperbound of 95% confidence interval for beta0.08433

Lowerbound of 95% confidence interval for alpha0.18940

Upperbound of 95% confidence interval for alpha0.00442

Treynor index (mean / b)2.17282

Jensen alpha (a)0.09691
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00375

Expected Shortfall on VaR0.00460
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00234

Expected Shortfall on VaR0.00447
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99094

Quartile 10.99906

Median1.00000

Quartile 31.00034

Maximum1.00460

Mean of quarter 10.99721

Mean of quarter 20.99976

Mean of quarter 31.00005

Mean of quarter 41.00199

Inter Quartile Range0.00128

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.99457

Number of outliers high12.00000

Percentage of outliers high0.09160

Mean of outliers high1.00334
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.04928

VaR(95%) (moments method)0.00241

Expected Shortfall (moments method)0.00343

Extreme Value Index (regression method)0.31229

VaR(95%) (regression method)0.00255

Expected Shortfall (regression method)0.00440
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00251

Quartile 10.00442

Median0.00633

Quartile 30.02251

Maximum0.03868

Mean of quarter 10.00251

Mean of quarter 20.00633

Mean of quarter 30.00000

Mean of quarter 40.03868

Inter Quartile Range0.01808

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)0.06415

Compounded annual return (geometric extrapolation)0.06312

Calmar ratio (compounded annual return / max draw down)1.63186

Compounded annual return / average of 25% largest draw downs1.63186

Compounded annual return / Expected Shortfall lognormal13.70810
Strategy Description
The strategy is a hybrid rulebased system: the program quantitatively determines entry level, target and stoploss for each trade by analyzing price and volume patterns of market indices at multitime frame level and ranks the prospective trades based on their risk/reward. Position sizing is calculated at portfolio level commensurate with the risk of each trade. The strategy can go Long and Short. The strategy will strive to maintain low correlation to US markets along with lower volatility and drawdown.
Capital preservation and risk management are key components of the strategy and the goal will be to achieve capital growth through compounding. Leverage may be rarely used in strong uptrends on a limited basis. Most of the time, signals will be sent out before the market opens the next day therefore the strategy can be easily followed and signals can be entered manually.
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.
Not available
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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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This strategy is no longer visible to anyone except current subscribers.
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Finally, please note that you can restore public visibility at any time.
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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.