Strategy - GrayBeard


Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use assets proposed by SeekingAlpha’s Graybeard for an all weather portfolio.

This strategy uses the following risk-on assets: IAU, SPXL, TLT, SHV with UBT being the risk off haven.

It will buy only three risk on asset at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 142.00
NoOfWins 73.00
NoOfLosses 69.00
SharpRatio 0.67
SortinoRatio 0.78
GrossProfit $80880.30
FirstDate 2010-12-30
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $90880.30
OpenEquity $65642.60
LongEquity $80880.30
ShortEquity $0.00
PercentWins 51.41%
AveWin 14.62%
AveLoss -4.86%
AveWinLoss 3.01
Expectancy 5.16%
AveDrawUp 55.22%
AveDrawDown -17.08%
MaxDrawDown -31.85%
Kelly 35.26%
Thorpe 41.47
Rachev 0.87
APR 19.03%
CalmarRatio 1.11

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TQQQ 2010-12-30 2011-03-15 $0.76 $0.78 Long 3163.0 3.10% 5282.20 10203.03
SPXL 2010-12-30 2011-03-16 $5.53 $5.53 Long 435.0 0.08% 7689.44 10063.67
TQQQ 2011-03-30 2011-06-06 $0.86 $0.79 Long 2815.0 -8.48% 7263.89 9886.94
SPXL 2011-03-30 2011-06-06 $6.51 $5.92 Long 373.0 -9.02% 7263.89 9886.94
IAU 2010-12-30 2011-07-29 $27.44 $31.74 Long 87.0 15.67% 2817.11 10120.14
TQQQ 2011-06-29 2011-07-29 $0.81 $0.88 Long 2929.0 8.39% 2817.11 10120.14
SPXL 2011-06-29 2011-07-29 $6.21 $5.94 Long 381.0 -4.39% 2817.11 10120.14
TMF 2011-07-29 2011-10-10 $9.07 $14.72 Long 805.0 62.28% 14668.79 14668.79
TMF 2011-10-28 2012-01-20 $12.72 $14.64 Long 833.0 15.10% 16269.16 16269.16
TMF 2012-01-30 2012-01-31 $15.57 $16.09 Long 754.0 3.36% 4682.53 16663.56
IAU 2012-01-31 2012-02-29 $33.96 $32.96 Long 118.0 -2.94% 4420.00 17250.82
TLT 2012-01-31 2012-03-30 $90.03 $83.98 Long 44.0 -6.72% 3754.91 18211.75
TQQQ 2012-01-31 2012-04-24 $0.88 $1.07 Long 4560.0 21.30% 8621.80 17090.42
IAU 2012-03-30 2012-04-30 $32.54 $32.46 Long 134.0 -0.25% 4633.68 17304.62
TQQQ 2012-04-27 2012-05-04 $1.19 $1.06 Long 3521.0 -11.00% 8371.53 16698.28
SPXL 2012-02-29 2012-05-14 $6.11 $5.74 Long 679.0 -6.15% 12267.83 16552.00
TLT 2012-04-30 2012-09-28 $88.04 $94.23 Long 47.0 7.03% 4047.17 19146.10
TQQQ 2012-05-30 2012-10-19 $0.94 $1.08 Long 4273.0 14.52% 8660.05 18257.62
SPXL 2012-05-30 2012-11-08 $5.39 $6.09 Long 747.0 12.97% 8896.56 17793.90
TLT 2012-10-31 2012-11-30 $93.78 $95.07 Long 46.0 1.38% 4738.71 17694.85
TQQQ 2012-11-30 2012-12-31 $1.08 $1.06 Long 3956.0 -1.93% 4684.34 17611.46
SHV 2012-12-31 2013-01-31 $98.44 $98.42 Long 43.0 -0.03% 4516.85 18271.82
IAU 2012-09-28 2013-02-20 $34.54 $30.42 Long 133.0 -11.93% 8562.71 18204.25
IAU 2013-02-27 2013-02-28 $31.06 $30.74 Long 141.0 -1.03% 4187.61 18140.77
SHV 2013-02-28 2013-04-30 $98.41 $98.44 Long 44.0 0.03% 3782.58 19779.78
TLT 2013-04-30 2013-05-31 $94.72 $88.32 Long 50.0 -6.76% 3375.54 20430.46
SPXL 2012-11-29 2013-06-24 $6.64 $9.08 Long 643.0 36.73% 14139.96 18962.89
TQQQ 2013-01-31 2013-06-24 $1.14 $1.27 Long 3869.0 11.97% 14139.96 18962.89
SHV 2013-05-31 2014-01-31 $98.43 $98.43 Long 49.0 0.00% 9839.07 29738.76
SPXL 2013-06-27 2014-02-03 $9.78 $12.34 Long 466.0 26.15% 9868.08 17354.19
TQQQ 2013-06-27 2014-04-07 $1.35 $2.32 Long 3381.0 71.99% 13106.58 17643.61
SPXL 2014-02-27 2014-05-30 $14.94 $16.61 Long 309.0 11.21% 11332.57 24952.37
TQQQ 2014-04-29 2014-05-30 $2.43 $2.79 Long 1768.0 14.51% 11332.57 24952.37
TLT 2014-01-31 2014-05-30 $85.37 $90.86 Long 67.0 6.43% 11332.57 24952.37
TMF 2014-05-30 2014-06-30 $14.28 $14.13 Long 954.0 -1.00% 6979.33 24816.40
TQQQ 2014-06-30 2014-07-31 $3.05 $3.15 Long 1958.0 3.05% 6874.79 24769.32
SPXL 2014-06-30 2014-07-31 $17.66 $16.87 Long 338.0 -4.50% 6874.79 24769.32
TLT 2014-06-30 2014-07-31 $90.63 $91.24 Long 65.0 0.67% 6874.79 24769.32
TMF 2014-07-31 2014-08-29 $14.36 $16.43 Long 1246.0 14.42% 7694.87 27350.24
SPXL 2014-08-29 2014-09-30 $18.89 $18.03 Long 348.0 -4.54% 7433.30 26732.20
TLT 2014-08-29 2014-09-30 $95.54 $93.53 Long 68.0 -2.11% 7433.30 26732.20
TQQQ 2014-08-29 2014-09-30 $3.63 $3.53 Long 1813.0 -2.78% 7433.30 26732.20
TMF 2014-09-30 2014-10-31 $15.34 $16.58 Long 1258.0 8.06% 7933.53 28288.15
TQQQ 2014-10-31 2014-12-16 $3.76 $3.59 Long 1810.0 -4.67% 14426.14 28065.74
TQQQ 2014-12-30 2015-01-06 $4.11 $3.62 Long 1703.0 -11.89% 13594.72 27746.03
SPXL 2014-10-31 2015-01-30 $19.14 $18.49 Long 356.0 -3.39% 6686.56 27879.62
IAU 2015-01-30 2015-02-27 $24.86 $23.42 Long 270.0 -5.79% 6156.31 28514.30
TLT 2014-10-31 2015-05-29 $96.16 $100.44 Long 70.0 4.45% 6327.37 28489.09
SPXL 2015-02-27 2015-06-30 $21.69 $20.43 Long 316.0 -5.78% 6285.36 27311.99
SHV 2015-06-30 2015-07-31 $98.47 $98.46 Long 66.0 -0.02% 7764.10 27894.94
IAU 2015-05-29 2015-07-31 $23.02 $21.16 Long 298.0 -8.08% 7764.10 27894.94
TQQQ 2015-01-29 2015-07-31 $3.79 $4.92 Long 1789.0 29.92% 7764.10 27894.94
TBF 2015-07-31 2015-09-30 $23.49 $23.03 Long 857.0 -1.96% 7663.18 27500.54
UBT 2015-09-30 2015-10-30 $35.42 $34.92 Long 560.0 -1.43% 7563.63 27217.84
TBF 2015-10-30 2015-11-30 $23.10 $23.26 Long 851.0 0.69% 7597.32 27353.72
UBT 2015-11-30 2015-12-31 $34.42 $33.76 Long 574.0 -1.91% 7488.95 26977.36
TMF 2015-12-31 2016-04-29 $17.07 $21.18 Long 1142.0 24.13% 8868.72 31679.47
SPXL 2016-04-29 2016-06-27 $19.57 $17.72 Long 389.0 -9.46% 15760.49 31761.88
IAU 2016-04-29 2016-06-30 $24.96 $25.52 Long 305.0 2.24% 8901.51 32022.74
SPXL 2016-06-29 2016-06-30 $19.65 $20.43 Long 387.0 3.96% 8901.51 32022.74
TLT 2016-04-29 2016-06-30 $108.37 $116.82 Long 70.0 7.80% 8901.51 32022.74
TMF 2016-06-30 2016-07-29 $26.16 $27.74 Long 884.0 6.07% 9292.23 33427.04
IAU 2016-07-29 2016-08-31 $26.04 $25.20 Long 309.0 -3.23% 9050.38 33408.15
TLT 2016-08-31 2016-09-30 $118.07 $116.29 Long 68.0 -1.51% 8861.70 33715.87
IAU 2016-09-30 2016-10-31 $25.38 $24.64 Long 319.0 -2.92% 8913.92 32623.26
SPXL 2016-07-29 2016-11-03 $22.72 $20.19 Long 354.0 -11.12% 16062.18 31617.41
SHV 2016-10-31 2017-02-28 $98.83 $98.94 Long 79.0 0.11% 7113.34 37106.13
IAU 2017-02-28 2017-03-31 $24.08 $24.02 Long 371.0 -0.25% 7019.65 37708.51
SHV 2017-03-31 2017-04-28 $98.96 $98.95 Long 91.0 -0.00% 6647.26 38939.74
IAU 2017-04-28 2017-06-30 $24.42 $23.88 Long 384.0 -2.21% 6329.19 39566.70
TLT 2017-06-30 2017-07-31 $107.82 $107.11 Long 88.0 -0.66% 5709.92 41788.71
TQQQ 2016-07-29 2017-08-31 $4.82 $9.43 Long 1670.0 95.70% 11942.44 42976.51
SPXL 2016-11-29 2017-08-31 $23.80 $33.64 Long 329.0 41.30% 11942.44 42976.51
IAU 2017-07-31 2017-08-31 $24.44 $25.44 Long 411.0 4.09% 11942.44 42976.51
TMF 2017-08-31 2017-09-29 $20.72 $19.21 Long 1498.0 -7.29% 11370.65 40715.47
TLT 2017-09-29 2017-12-29 $108.19 $110.92 Long 90.0 2.52% 10519.60 45072.72
SPXL 2017-09-29 2018-02-05 $35.52 $40.89 Long 276.0 15.11% 34114.55 45242.65
TQQQ 2017-09-29 2018-02-05 $9.33 $11.71 Long 1051.0 25.56% 34114.55 45242.65
SPXL 2018-02-27 2018-03-22 $45.18 $40.26 Long 240.0 -10.88% 31855.69 42897.19
TQQQ 2018-02-27 2018-03-22 $13.85 $12.47 Long 783.0 -9.95% 31855.69 42897.19
SPXL 2018-03-29 2018-04-30 $39.87 $39.81 Long 258.0 -0.17% 11330.63 42723.44
IAU 2017-12-29 2018-05-31 $25.02 $24.92 Long 433.0 -0.40% 11479.96 44347.22
SHV 2018-04-30 2018-08-31 $99.91 $100.52 Long 102.0 0.62% 9701.46 50314.59
TLT 2018-08-31 2018-09-28 $107.43 $104.35 Long 112.0 -2.86% 9410.06 49886.38
TQQQ 2018-03-29 2018-10-10 $11.75 $13.66 Long 878.0 16.25% 21404.12 44926.98
SPXL 2018-05-31 2018-10-11 $42.39 $42.85 Long 251.0 1.08% 32160.42 44145.70
SPXL 2018-10-30 2018-10-31 $40.39 $41.63 Long 263.0 3.09% 12552.97 45205.22
SHV 2018-09-28 2018-10-31 $100.66 $100.84 Long 119.0 0.17% 12552.97 45205.22
TQQQ 2018-10-30 2018-10-31 $11.98 $12.79 Long 887.0 6.75% 12552.97 45205.22
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 1434.0 -6.86% 11934.55 42966.90
TMF 2018-12-31 2019-06-28 $18.17 $23.50 Long 1708.0 29.35% 14484.26 52073.52
SPXL 2019-06-28 2019-07-31 $50.32 $52.12 Long 249.0 3.58% 14818.33 53318.06
IAU 2019-06-28 2019-07-31 $27.00 $27.04 Long 464.0 0.15% 14818.33 53318.06
TQQQ 2019-06-28 2019-07-31 $15.15 $16.09 Long 827.0 6.20% 14818.33 53318.06
TMF 2019-07-31 2019-09-12 $23.58 $27.08 Long 1633.0 14.85% 59035.99 59035.99
TMF 2019-09-27 2019-10-21 $28.81 $26.27 Long 1480.0 -8.83% 55271.41 55271.41
TMF 2019-10-30 2019-11-29 $26.71 $27.21 Long 1494.0 1.88% 15622.21 56020.15
IAU 2019-11-29 2020-01-31 $27.96 $30.34 Long 482.0 8.51% 16922.34 60927.63
TQQQ 2019-11-29 2020-01-31 $19.07 $22.98 Long 707.0 20.50% 16922.34 60927.63
SPXL 2019-11-29 2020-01-31 $59.99 $64.44 Long 224.0 7.42% 16922.34 60927.63
TMF 2020-01-31 2020-03-10 $30.31 $41.00 Long 1452.0 35.29% 76458.10 76458.10
TMF 2020-03-30 2020-05-28 $40.87 $37.69 Long 1351.0 -7.78% 20030.49 72159.97
TMF 2020-05-28 2020-06-05 $37.69 $33.51 Long 1383.0 -11.09% 66380.94 66380.94
TMF 2020-06-29 2020-06-30 $39.10 $38.61 Long 1226.0 -1.24% 18327.36 65787.14
TLT 2020-06-30 2020-08-31 $151.78 $150.51 Long 104.0 -0.83% 15307.42 77648.78
TQQQ 2020-06-30 2020-09-03 $23.96 $36.25 Long 661.0 51.29% 39270.76 74405.21
SPXL 2020-08-31 2020-09-08 $59.09 $50.90 Long 316.0 -13.87% 55354.83 72512.95
TQQQ 2020-09-29 2020-10-28 $31.50 $29.48 Long 552.0 -6.42% 53174.50 69847.98
SPXL 2020-09-29 2020-10-28 $50.68 $47.58 Long 343.0 -6.12% 53174.50 69847.98
IAU 2020-06-30 2020-11-30 $33.98 $33.90 Long 466.0 -0.24% 16588.58 78392.45
SHV 2020-11-30 2020-12-31 $104.43 $104.45 Long 180.0 0.02% 15156.81 84019.07
IAU 2020-12-31 2021-01-29 $36.26 $35.10 Long 558.0 -3.20% 15003.02 82336.99
TQQQ 2020-10-29 2021-02-25 $30.98 $43.14 Long 542.0 39.27% 18195.50 83901.81
TQQQ 2021-02-25 2021-03-04 $43.14 $39.35 Long 468.0 -8.79% 36610.25 80931.76
TQQQ 2021-03-30 2021-05-12 $42.87 $43.31 Long 476.0 1.04% 36822.84 87066.10
SHV 2021-01-29 2021-05-28 $104.44 $104.43 Long 189.0 -0.01% 13052.77 90416.12
IAU 2021-05-28 2021-06-30 $36.26 $33.71 Long 600.0 -7.03% 10412.12 95331.65
SHV 2021-06-30 2021-07-30 $104.41 $104.41 Long 219.0 0.00% 9235.62 99974.02
TQQQ 2021-05-28 2021-09-28 $50.35 $62.25 Long 432.0 23.63% 36127.04 96706.86
SPXL 2020-10-29 2021-09-30 $48.97 $105.58 Long 343.0 115.61% 26480.53 95343.76
TLT 2021-07-30 2021-09-30 $140.60 $136.05 Long 171.0 -3.24% 26480.53 95343.76
TQQQ 2021-09-29 2021-09-30 $61.84 $61.14 Long 377.0 -1.13% 26480.53 95343.76
TMF 2021-09-30 2021-10-29 $25.48 $27.28 Long 2703.0 7.08% 28001.72 100217.64
TQQQ 2021-10-29 2021-11-30 $76.15 $80.24 Long 316.0 5.37% 28182.11 101539.66
TLT 2021-10-29 2021-11-30 $139.40 $143.27 Long 173.0 2.77% 28182.11 101539.66
SPXL 2021-10-29 2021-11-30 $128.53 $125.11 Long 187.0 -2.66% 28182.11 101539.66
TMF 2021-11-30 2022-01-03 $29.30 $25.23 Long 2504.0 -13.89% 91347.83 91347.83
TMF 2022-01-28 2022-01-31 $24.46 $24.06 Long 2698.0 -1.63% 25057.56 90275.41
TBF 2022-01-31 2022-12-07 $16.04 $20.01 Long 4066.0 24.73% 106403.29 106403.29
TBF 2022-12-29 2023-01-31 $21.73 $20.46 Long 3537.0 -5.84% 28364.35 101914.67
TLT 2023-01-31 2023-02-28 $103.90 $98.85 Long 236.0 -4.85% 27625.40 99476.07
SHV 2023-01-31 2023-02-28 $105.67 $105.98 Long 232.0 0.29% 27625.40 99476.07
IAU 2023-01-31 2023-02-28 $36.59 $34.62 Long 670.0 -5.38% 27625.40 99476.07
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 3323.0 -4.41% 26733.57 96306.28
TMF 2023-03-31 2023-05-09 $8.75 $7.93 Long 7952.0 -9.35% 89803.42 89803.42
TMF 2023-05-30 2023-05-31 $7.62 $7.80 Long 8519.0 2.46% 25373.16 91398.17
TBF 2023-05-31 2023-06-30 $21.40 $21.50 Long 3085.0 0.44% 25598.67 91689.34
TLT 2023-06-30 2023-07-31 $101.08 $98.51 Long 218.0 -2.54% 24153.36 95430.39
TQQQ 2023-06-30 2023-08-11 $40.85 $38.95 Long 540.0 -4.66% 45184.72 90133.73
SPXL 2023-06-30 2023-08-31 $89.78 $91.71 Long 245.0 2.14% 25237.71 90880.30
TQQQ 2023-08-30 2023-08-31 $41.91 $42.28 Long 521.0 0.90% 25237.71 90880.30
SHV 2023-07-31 2023-08-31 $108.12 $108.63 Long 212.0 0.48% 25237.71 90880.30

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
GrayBeard 0.72 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  IAU  SPXL  TQQQ  TLT  SHV  UBT  TMF  TBF