Silicon Valley Quantitative Advisors : Contrarian S&P500 Quantitative Program (CSQP)

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-5.45%
Min Investment
$ 100k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
27.55%
Sharpe (RFR=1%)
-0.22
CAROR
-8.85%
Assets
$ 117k
Worst DD
-32.49
S&P Correlation
-0.08

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Contrarian S&P500 Quantitative Program (CSQP) -5.45 - - - - -12.72 - -19.44
S&P 500 -1.75 - - - - 62.49 - 106.04
+/- S&P 500 -3.70 - - - - -75.22 - -125.48

Strategy Description

Summary

The nature of CQSP is short-term and the average trade length is projected to be under 5 trading days although it could be as short as minutes and as long as weeks. The current trading method relies on two types of analysis - pattern recognition and forecasts based on technical indicators.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 2.00
Management Fee 1.20%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 15.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 95.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
50.00%
Pattern Recognition
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The nature of CQSP is short-term and the average trade length is projected to be under 5 trading days although it could be as short as minutes and as long as weeks. The current trading method relies on two types of analysis - pattern recognition and forecasts based on technical indicators. Multiple systems with varying timeframes are used in each area to generate entry and exits in the traded markets. Forecast based systems are designed to take long or short positions. Pattern based strategies consist of some systems that are long-only and others that are long/short depending on the pattern used.

Investment Strategy

Silicon Valley Quantitative Advisors' CSQP trading methodology relies on an ongoing quantitative study of a database of historical prices of stock index markets. The nature of CQSP is short-term and the average trade length is projected to be under 5 trading days although it could be as short as minutes and as long as weeks. The current trading method relies on two types of analysis - pattern recognition and forecasts based on technical indicators. Multiple systems with varying timeframes are used in each area to generate entry and exits in the eMini S&P500. Forecast based systems are designed to take long or short positions and are symetric in design. Pattern based strategies consist of some systems that are long-only and others that are long/short depending on the pattern used.

Risk Management

CSQP uses a unit based trading strategy where one unit corresponds to a $50K trading level. The minimal account size is two units ($100K) and only full units can be added or subtracted from the strategy. Multiple eMini contracts maybe traded in a given unit depending on market conditions. Risk control is an important element in Silicon Valley Quantitative Advisors' CSQP trading strategy. The targeted maximum margin-to-equity ratio is 25% and position sizes are adjusted according to recent historical volatility and account size, e.g. number of units. Silicon Valley Quantitative Advisors may use stop-loss orders in both winning and losing positions based on technical levels and money management principles. The Advisor has also developed an Auto-Ratchet based system to dynamically scale up or down the number of units traded based on the account equity. Clients may choose this algorithm to manage trading levels, number of units traded, or may specify the number of units they wish to have traded.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Max Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-32.49 4 - 6/1/2014 10/1/2014
-7.18 2 1 12/1/2013 2/1/2014
-5.28 2 2 1/1/0001 10/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
20.76 4 3/1/2014 6/1/2014
15.57 4 2/1/2015 5/1/2015
12.01 2 11/1/2013 12/1/2013
9.38 2 11/1/2014 12/1/2014
6.96 1 7/1/2015 7/1/2015
4.99 1 9/1/2015 9/1/2015
2.08 1 11/1/2015 11/1/2015
1.76 2 8/1/2014 9/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.65 1 10/1/2014 10/1/2014
-13.87 1 10/1/2015 10/1/2015
-7.18 2 1/1/2014 2/1/2014
-7.01 1 1/1/2015 1/1/2015
-6.06 1 6/1/2015 6/1/2015
-5.70 1 7/1/2014 7/1/2014
-5.45 1 12/1/2015 12/1/2015
-5.28 2 9/1/2013 10/1/2013
-2.65 1 8/1/2015 8/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable60.7150.0056.5223.530.00
Average Period Return-0.43-1.03-1.50-10.88-14.38
Average Gain4.197.8811.789.32
Average Loss-7.55-9.95-18.76-17.09-14.38
Best Period12.8619.3220.0717.40-2.24
Worst Period-29.65-28.41-29.74-25.46-32.26
Standard Deviation7.9512.1017.3512.4510.22
Gain Standard Deviation3.034.995.866.90
Loss Standard Deviation8.0110.3910.234.1410.22
Sharpe Ratio (1%)-0.06-0.11-0.12-0.95-1.55
Average Gain / Average Loss0.550.790.630.55
Profit / Loss Ratio0.860.790.820.17
Downside Deviation (10%)6.9110.6015.4019.6324.04
Downside Deviation (5%)6.7710.0914.2216.2018.64
Downside Deviation (0%)6.739.9713.9315.3417.37
Sortino Ratio (10%)-0.12-0.21-0.26-0.81-0.91
Sortino Ratio (5%)-0.08-0.13-0.14-0.73-0.85
Sortino Ratio (0%)-0.06-0.10-0.11-0.71-0.83

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.