Silicon Valley Quantitative Advisors : Contrarian S&P500 Quantitative Program (CSQP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since9/2013 Contrarian S&P500 Quantitative Program (CSQP) -5.45 - - - - 0.00 - -19.44 S&P 500 -1.75 - - - - 62.49 - 121.10 +/- S&P 500 -3.70 - - - - -62.49 - -140.53 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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 StrategySilicon 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 ManagementCSQP 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel