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 139.00
NoOfWins 71.00
NoOfLosses 68.00
SharpRatio 0.75
SortinoRatio 0.95
GrossProfit $77679.49
FirstDate 2010-02-25
LastDate 2022-05-05
FirstEquity $10000.00
FinalEquity $87679.49
OpenEquity $0.00
LongEquity $77679.49
ShortEquity $0.00
PercentWins 51.08%
AveWin $2679.97
AveLoss $-1655.86
AveWinLoss 1.62
Expectancy 2.70%
AveDrawUp 57.00%
AveDrawDown -14.29%
MaxDrawDown -43.18%
Kelly 20.85%
Thrope 48.61
APR 19.50%
CalmarRatio 1.36

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SHV 2010-02-25 2010-04-30 $103.93 $103.90 Long 24.0 -0.03% 2160.71 10816.51
SPXL 2010-02-25 2010-05-06 $3.89 $4.15 Long 655.0 6.58% 4876.32 10554.57
SPXL 2010-05-27 2010-05-28 $3.84 $3.72 Long 698.0 -3.29% 2190.05 10466.17
IAU 2010-02-25 2010-06-30 $21.67 $24.34 Long 117.0 12.33% 2534.07 10700.61
TLT 2010-04-30 2010-06-30 $67.20 $74.73 Long 41.0 11.20% 2534.07 10700.61
SHV 2010-05-28 2010-06-30 $103.92 $103.95 Long 25.0 0.03% 2534.07 10700.61
UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 399.0 -1.88% 2602.39 10547.41
IAU 2010-07-30 2010-08-31 $23.12 $24.44 Long 116.0 5.71% 2585.67 10924.95
SHV 2010-07-30 2010-08-31 $103.93 $103.96 Long 25.0 0.03% 2585.67 10924.95
TLT 2010-07-30 2010-08-31 $74.02 $80.24 Long 36.0 8.40% 2585.67 10924.95
UBT 2010-08-31 2010-09-10 $23.56 $21.02 Long 354.0 -10.76% 10027.41 10027.41
UBT 2010-09-29 2010-09-30 $22.35 $22.31 Long 343.0 -0.17% 2423.07 10014.15
TLT 2010-09-30 2010-10-29 $78.22 $74.73 Long 32.0 -4.47% 2138.41 10496.64
TQQQ 2010-09-30 2011-03-15 $0.57 $0.80 Long 4496.0 40.79% 5733.52 11866.18
SPXL 2010-10-29 2011-03-16 $4.62 $5.60 Long 579.0 21.22% 8977.23 11678.94
TQQQ 2011-03-30 2011-06-06 $0.88 $0.81 Long 3395.0 -8.48% 8454.20 11439.05
SPXL 2011-03-30 2011-06-06 $6.59 $6.00 Long 453.0 -9.02% 8454.20 11439.05
TQQQ 2011-06-29 2011-07-29 $0.82 $0.89 Long 3523.0 8.39% 2755.66 11712.75
IAU 2010-09-30 2011-07-29 $25.60 $31.74 Long 99.0 23.98% 2755.66 11712.75
SPXL 2011-06-29 2011-07-29 $6.29 $6.01 Long 461.0 -4.39% 2755.66 11712.75
TMF 2011-07-29 2011-10-10 $9.35 $15.17 Long 958.0 62.28% 17291.62 17291.62
TMF 2011-10-28 2012-01-20 $13.11 $15.09 Long 1008.0 15.10% 19287.48 19287.48
TMF 2012-01-30 2012-01-31 $16.05 $16.58 Long 919.0 3.36% 4705.65 19782.91
IAU 2012-01-31 2012-02-29 $33.96 $32.96 Long 148.0 -2.94% 4353.04 20520.80
TLT 2012-01-31 2012-03-30 $94.48 $88.13 Long 53.0 -6.72% 3492.06 21728.71
TQQQ 2012-01-31 2012-04-24 $0.90 $1.09 Long 5627.0 21.30% 9610.28 20317.22
IAU 2012-03-30 2012-04-30 $32.54 $32.46 Long 170.0 -0.25% 4660.45 20587.60
TQQQ 2012-04-27 2012-05-04 $1.22 $1.08 Long 4357.0 -11.00% 9372.45 19823.05
SPXL 2012-02-29 2012-05-14 $6.19 $5.81 Long 845.0 -6.15% 14281.23 19637.73
TLT 2012-04-30 2012-09-28 $92.39 $98.89 Long 56.0 7.03% 3857.58 22896.89
TQQQ 2012-05-30 2012-10-19 $0.96 $1.10 Long 5273.0 14.52% 9656.65 21778.21
TQQQ 2012-10-26 2012-10-31 $1.08 $1.06 Long 5048.0 -1.94% 4138.36 21364.39
SPXL 2012-05-30 2012-11-08 $5.46 $6.17 Long 927.0 12.97% 9854.84 21089.88
TLT 2012-10-31 2012-11-30 $98.41 $99.77 Long 55.0 1.38% 4637.66 20964.81
TQQQ 2012-11-30 2012-12-31 $1.10 $1.08 Long 4872.0 -1.93% 4570.03 20858.49
SHV 2012-12-31 2013-01-31 $104.12 $104.09 Long 51.0 -0.03% 4348.72 21686.79
IAU 2012-09-28 2013-02-20 $34.54 $30.42 Long 169.0 -11.93% 9489.70 21597.92
IAU 2013-02-27 2013-02-28 $31.06 $30.74 Long 177.0 -1.03% 4020.52 21518.20
SHV 2013-02-28 2013-04-30 $104.09 $104.12 Long 52.0 0.03% 3470.58 23576.45
TLT 2013-04-30 2013-05-31 $99.40 $92.68 Long 60.0 -6.76% 2888.91 24392.74
SPXL 2012-11-29 2013-06-24 $6.72 $9.19 Long 797.0 36.73% 16407.21 22549.50
TQQQ 2013-01-31 2013-06-24 $1.16 $1.30 Long 4774.0 11.97% 16407.21 22549.50
SHV 2013-05-31 2014-01-31 $104.11 $104.11 Long 59.0 0.00% 4813.86 30017.56
SPXL 2013-06-27 2014-02-03 $9.90 $12.49 Long 580.0 26.15% 12159.93 27728.11
TQQQ 2013-06-27 2014-04-07 $1.38 $2.37 Long 4178.0 71.99% 14395.52 28060.40
TQQQ 2014-04-29 2014-05-30 $2.48 $2.84 Long 2924.0 14.51% 8765.25 37920.56
SPXL 2014-02-27 2014-05-30 $15.12 $16.82 Long 506.0 11.21% 8765.25 37920.56
TLT 2014-01-31 2014-05-30 $89.59 $95.34 Long 82.0 6.43% 8765.25 37920.56
UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 770.0 -0.57% 2784.43 37789.75
SPXL 2014-06-30 2014-07-31 $17.88 $17.08 Long 538.0 -4.50% 2723.26 37714.27
TQQQ 2014-06-30 2014-07-31 $3.11 $3.20 Long 3099.0 3.05% 2723.26 37714.27
TLT 2014-06-30 2014-07-31 $95.11 $95.74 Long 101.0 0.67% 2723.26 37714.27
TMF 2014-07-31 2014-08-29 $14.80 $16.94 Long 1949.0 14.42% 3754.90 41875.48
TQQQ 2014-08-29 2014-09-30 $3.70 $3.60 Long 2886.0 -2.78% 3470.18 40869.72
TLT 2014-08-29 2014-09-30 $100.26 $98.15 Long 106.0 -2.11% 3470.18 40869.72
SPXL 2014-08-29 2014-09-30 $19.13 $18.26 Long 558.0 -4.54% 3470.18 40869.72
UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 992.0 5.76% 3982.20 42670.67
TQQQ 2014-10-31 2014-12-16 $3.83 $3.65 Long 2838.0 -4.67% 14353.06 42319.06
TQQQ 2014-12-30 2015-01-06 $4.18 $3.69 Long 2675.0 -11.89% 13022.64 41806.00
SPXL 2014-10-31 2015-01-30 $19.37 $18.72 Long 561.0 -3.39% 1981.97 42023.21
IAU 2015-01-30 2015-02-27 $24.86 $23.42 Long 431.0 -5.79% 1119.55 43035.23
TLT 2014-10-31 2015-05-29 $100.91 $105.40 Long 107.0 4.45% 1439.92 42992.68
SPXL 2015-02-27 2015-06-30 $21.96 $20.69 Long 499.0 -5.78% 1347.09 41112.49
SHV 2015-06-30 2015-07-31 $104.16 $104.14 Long 100.0 -0.02% 3752.53 42042.51
TQQQ 2015-01-29 2015-07-31 $3.86 $5.01 Long 2805.0 29.92% 3752.53 42042.51
IAU 2015-05-29 2015-07-31 $23.02 $21.16 Long 476.0 -8.08% 3752.53 42042.51
TMF 2015-07-31 2015-09-15 $18.44 $17.04 Long 1743.0 -7.58% 33461.86 39604.37
TMF 2015-09-29 2015-11-06 $19.06 $16.99 Long 1589.0 -10.87% 30167.61 36309.87
TMF 2015-11-27 2016-04-29 $17.82 $21.83 Long 1559.0 22.53% 3908.05 42580.28
SPXL 2016-04-29 2016-06-27 $19.81 $17.94 Long 548.0 -9.46% 13736.75 42701.78
TLT 2016-04-29 2016-06-30 $113.72 $122.59 Long 95.0 7.80% 3993.28 43074.24
IAU 2016-04-29 2016-06-30 $24.96 $25.52 Long 435.0 2.24% 3993.28 43074.24
SPXL 2016-06-29 2016-06-30 $19.90 $20.68 Long 545.0 3.96% 3993.28 43074.24
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 707.0 4.34% 4328.63 44503.89
IAU 2016-07-29 2016-08-31 $26.04 $25.20 Long 435.0 -3.23% 4016.08 44477.91
TLT 2016-08-31 2016-09-30 $123.90 $122.03 Long 91.0 -1.51% 3674.17 44916.75
IAU 2016-09-30 2016-10-31 $25.38 $24.64 Long 451.0 -2.92% 3810.36 43377.60
SPXL 2016-07-29 2016-11-03 $23.00 $20.44 Long 493.0 -11.12% 13888.45 41958.94
SHV 2016-10-31 2017-02-28 $104.54 $104.65 Long 105.0 0.11% 1173.68 49705.17
IAU 2017-02-28 2017-03-31 $24.08 $24.02 Long 526.0 -0.25% 934.13 50555.38
SHV 2017-03-31 2017-04-28 $104.67 $104.66 Long 123.0 -0.00% 474.58 52291.43
IAU 2017-04-28 2017-06-30 $24.42 $23.88 Long 546.0 -2.21% 49.41 53181.01
TLT 2017-06-30 2017-07-31 $113.14 $112.40 Long 119.0 -0.66% 13424.47 56319.93
TQQQ 2016-07-29 2017-08-31 $4.91 $9.60 Long 2312.0 95.70% 7335.36 57419.80
SPXL 2016-11-29 2017-08-31 $24.10 $34.05 Long 458.0 41.30% 7335.36 57419.80
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 1080.0 -4.79% 6844.75 55319.69
TLT 2017-09-29 2017-12-29 $113.53 $116.39 Long 124.0 2.52% 5589.91 61599.33
SPXL 2017-09-29 2018-02-05 $35.96 $41.39 Long 392.0 15.11% 39523.14 61854.81
TQQQ 2017-09-29 2018-02-05 $9.50 $11.93 Long 1484.0 25.56% 39523.14 61854.81
TQQQ 2018-02-27 2018-03-22 $14.11 $12.71 Long 1113.0 -9.95% 36253.59 58465.17
SPXL 2018-02-27 2018-03-22 $45.73 $40.76 Long 343.0 -10.88% 36253.59 58465.17
SPXL 2018-03-28 2018-04-30 $38.75 $40.30 Long 384.0 3.99% 6842.49 59664.70
IAU 2017-12-29 2018-05-31 $25.02 $24.92 Long 627.0 -0.40% 6630.40 62158.08
SHV 2018-04-30 2018-08-31 $105.67 $106.32 Long 143.0 0.62% 3685.18 71191.75
TLT 2018-08-31 2018-09-28 $112.73 $109.50 Long 161.0 -2.86% 3428.01 70547.43
TQQQ 2018-03-28 2018-10-10 $11.34 $13.92 Long 1313.0 22.69% 21700.52 63053.10
SPXL 2018-05-31 2018-10-11 $42.92 $43.38 Long 369.0 1.08% 37708.99 61890.91
TQQQ 2018-10-30 2018-10-31 $12.20 $13.03 Long 1293.0 6.75% 8649.85 63472.12
SHV 2018-09-28 2018-10-31 $106.47 $106.65 Long 168.0 0.17% 8649.85 63472.12
SPXL 2018-10-30 2018-10-31 $40.88 $42.15 Long 386.0 3.09% 8649.85 63472.12
UBT 2018-10-31 2019-06-28 $32.61 $45.17 Long 1488.0 38.51% 13016.10 82268.01
TQQQ 2019-06-28 2019-07-31 $15.44 $16.39 Long 1358.0 6.20% 13442.78 84359.45
SPXL 2019-06-28 2019-07-31 $50.94 $52.77 Long 411.0 3.58% 13442.78 84359.45
IAU 2019-06-28 2019-07-31 $27.00 $27.04 Long 776.0 0.15% 13442.78 84359.45
UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 1425.0 4.07% 80573.19 87024.11
UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 1314.0 -0.49% 13942.53 86702.02
SPXL 2019-11-29 2020-01-31 $60.73 $65.24 Long 364.0 7.42% 15820.81 94774.61
TQQQ 2019-11-29 2020-01-31 $19.43 $23.41 Long 1138.0 20.50% 15820.81 94774.61
IAU 2019-11-29 2020-01-31 $27.96 $30.34 Long 790.0 8.51% 15820.81 94774.61
UBT 2020-01-31 2020-03-10 $54.45 $65.42 Long 1331.0 20.14% 102897.72 109406.68
UBT 2020-03-30 2020-06-04 $69.06 $61.70 Long 1212.0 -10.66% 93971.34 100487.69
UBT 2020-06-29 2020-06-30 $67.31 $66.78 Long 1142.0 -0.79% 17122.76 99878.49
TLT 2020-06-30 2020-08-31 $159.27 $157.94 Long 159.0 -0.83% 11905.30 118945.68
TQQQ 2020-06-30 2020-09-03 $24.41 $36.93 Long 1043.0 51.29% 50425.80 113719.89
SPXL 2020-08-31 2020-09-08 $59.82 $51.53 Long 507.0 -13.87% 76550.50 110646.21
TQQQ 2020-09-29 2020-10-28 $32.09 $30.03 Long 875.0 -6.42% 73030.02 106346.35
SPXL 2020-09-29 2020-10-28 $51.31 $48.17 Long 547.0 -6.12% 73030.02 106346.35
IAU 2020-06-30 2020-11-30 $33.98 $33.90 Long 749.0 -0.24% 13681.05 120124.34
SHV 2020-11-30 2020-12-31 $110.46 $110.48 Long 277.0 0.02% 11359.61 129196.78
IAU 2020-12-31 2021-01-29 $36.26 $35.10 Long 908.0 -3.20% 11083.97 126475.19
TQQQ 2020-10-29 2021-02-25 $31.56 $43.95 Long 858.0 39.27% 15918.47 128995.48
TQQQ 2021-02-25 2021-03-04 $43.95 $40.08 Long 748.0 -8.79% 45902.03 124179.52
TQQQ 2021-03-30 2021-05-12 $43.67 $44.12 Long 761.0 1.04% 46248.28 134068.72
SHV 2021-01-29 2021-05-28 $110.47 $110.46 Long 291.0 -0.01% 7289.86 139812.82
IAU 2021-05-28 2021-06-30 $36.26 $33.71 Long 983.0 -7.03% 2767.13 147837.69
SHV 2021-06-30 2021-07-30 $110.44 $110.44 Long 341.0 0.00% 885.21 155393.81
TQQQ 2021-05-27 2021-09-28 $50.80 $63.41 Long 698.0 24.83% 45148.85 150056.76
TQQQ 2021-09-29 2021-09-30 $62.99 $62.28 Long 608.0 -1.13% 28234.30 147853.66
SPXL 2020-10-29 2021-09-30 $49.57 $106.89 Long 546.0 115.61% 28234.30 147853.66
TLT 2021-07-30 2021-09-30 $147.54 $142.77 Long 268.0 -3.24% 28234.30 147853.66
UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 2173.0 4.50% 29662.20 152936.71
TQQQ 2021-10-29 2021-11-30 $77.58 $81.74 Long 502.0 5.37% 29931.93 155069.79
SPXL 2021-10-29 2021-11-30 $130.12 $126.66 Long 299.0 -2.66% 29931.93 155069.79
TLT 2021-10-29 2021-11-30 $146.28 $150.34 Long 266.0 2.77% 29931.93 155069.79
TMF 2021-11-30 2022-01-03 $30.19 $26.00 Long 3929.0 -13.89% 132078.40 138588.98
UBT 2022-01-28 2022-02-15 $51.00 $45.39 Long 2078.0 -11.00% 120420.82 126922.56
UBT 2022-02-25 2022-03-21 $46.74 $42.27 Long 2077.0 -9.57% 111134.55 117636.29
UBT 2022-03-30 2022-04-11 $43.09 $37.67 Long 2088.0 -12.58% 99817.59 106316.83
TMF 2022-04-28 2022-05-05 $14.95 $12.94 Long 5440.0 -13.44% 88883.19 95382.63

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
GrayBeard 0.90 0.00 Out EOM
momentum  IAU  SPXL  TQQQ  TLT  SHV  UBT  TMF