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 144.00
NoOfWins 72.00
NoOfLosses 72.00
SharpRatio 0.63
SortinoRatio 0.78
GrossProfit $61386.95
FirstDate 2010-02-25
LastDate 2022-09-16
FirstEquity $10000.00
FinalEquity $71386.95
OpenEquity $54609.39
LongEquity $61386.95
ShortEquity $0.00
PercentWins 50.00%
AveWin 16.15%
AveLoss -5.34%
AveWinLoss 3.02
Expectancy 5.40%
AveDrawUp 57.08%
AveDrawDown -16.08%
MaxDrawDown -52.95%
Kelly 33.46%
Thrope 40.49
APR 16.95%
CalmarRatio 1.05

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SHV 2010-02-25 2010-04-30 $103.34 $103.31 Long 24.0 -0.03% 2187.34 10816.72
SPXL 2010-02-25 2010-05-06 $3.89 $4.14 Long 656.0 6.58% 4903.84 10553.14
SPXL 2010-05-27 2010-05-28 $3.84 $3.71 Long 699.0 -3.29% 2232.32 10464.80
TLT 2010-04-30 2010-06-30 $66.54 $73.99 Long 41.0 11.20% 2531.03 10697.57
SHV 2010-05-28 2010-06-30 $103.33 $103.36 Long 25.0 0.03% 2531.03 10697.57
IAU 2010-02-25 2010-06-30 $21.67 $24.34 Long 117.0 12.33% 2531.03 10697.57
UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 399.0 -1.88% 2537.34 10544.37
TLT 2010-07-30 2010-08-31 $73.29 $79.44 Long 36.0 8.40% 2580.42 10919.70
SHV 2010-07-30 2010-08-31 $103.34 $103.36 Long 26.0 0.03% 2580.42 10919.70
IAU 2010-07-30 2010-08-31 $23.12 $24.44 Long 116.0 5.71% 2580.42 10919.70
UBT 2010-08-31 2010-09-10 $23.56 $21.02 Long 354.0 -10.76% 10022.16 10022.16
UBT 2010-09-29 2010-09-30 $22.35 $22.31 Long 343.0 -0.17% 2444.46 10008.90
TLT 2010-09-30 2010-10-29 $77.44 $73.98 Long 32.0 -4.47% 2139.20 10492.17
TQQQ 2010-09-30 2011-03-15 $0.57 $0.80 Long 4493.0 40.79% 5731.90 11860.44
SPXL 2010-10-29 2011-03-16 $4.62 $5.60 Long 579.0 21.22% 8971.72 11673.43
TQQQ 2011-03-30 2011-06-06 $0.88 $0.81 Long 3393.0 -8.48% 8448.57 11433.42
SPXL 2011-03-30 2011-06-06 $6.58 $5.99 Long 454.0 -9.02% 8448.57 11433.42
IAU 2010-09-30 2011-07-29 $25.60 $31.74 Long 99.0 23.98% 2755.43 11707.13
SPXL 2011-06-29 2011-07-29 $6.28 $6.01 Long 461.0 -4.39% 2755.43 11707.13
TQQQ 2011-06-29 2011-07-29 $0.82 $0.89 Long 3521.0 8.39% 2755.43 11707.13
TMF 2011-07-29 2011-10-10 $9.30 $15.09 Long 963.0 62.28% 17282.65 17282.65
TMF 2011-10-28 2012-01-20 $13.04 $15.00 Long 1014.0 15.10% 19278.76 19278.76
UBT 2012-01-30 2012-01-31 $30.23 $30.96 Long 487.0 2.42% 4678.82 19634.57
IAU 2012-01-31 2012-02-29 $33.96 $32.96 Long 147.0 -2.94% 4330.45 20367.17
TLT 2012-01-31 2012-03-30 $93.53 $87.25 Long 53.0 -6.72% 3455.46 21566.75
TQQQ 2012-01-31 2012-04-24 $0.90 $1.09 Long 5585.0 21.30% 9528.01 20165.49
IAU 2012-03-30 2012-04-30 $32.54 $32.46 Long 169.0 -0.25% 4637.38 20434.10
TQQQ 2012-04-27 2012-05-04 $1.22 $1.08 Long 4324.0 -11.00% 9313.69 19675.06
SPXL 2012-02-29 2012-05-14 $6.18 $5.80 Long 840.0 -6.15% 14187.55 19490.69
TLT 2012-04-30 2012-09-28 $91.47 $97.90 Long 56.0 7.03% 3855.02 22724.57
TQQQ 2012-05-30 2012-10-19 $0.96 $1.10 Long 5233.0 14.52% 9610.10 21615.10
TQQQ 2012-10-26 2012-10-31 $1.08 $1.06 Long 5010.0 -1.94% 4146.53 21204.45
SPXL 2012-05-30 2012-11-08 $5.45 $6.16 Long 921.0 12.97% 9819.19 20931.62
TLT 2012-10-31 2012-11-30 $97.43 $98.77 Long 55.0 1.38% 4627.95 20807.87
TQQQ 2012-11-30 2012-12-31 $1.10 $1.08 Long 4835.0 -1.93% 4654.24 20702.95
SHV 2012-12-31 2013-01-31 $103.53 $103.50 Long 50.0 -0.03% 4340.93 21525.21
IAU 2012-09-28 2013-02-20 $34.54 $30.42 Long 167.0 -11.93% 9421.07 21438.46
IAU 2013-02-27 2013-02-28 $31.06 $30.74 Long 176.0 -1.03% 3983.00 21359.23
SHV 2013-02-28 2013-04-30 $103.50 $103.52 Long 52.0 0.03% 3461.69 23402.05
TLT 2013-04-30 2013-05-31 $98.41 $91.75 Long 60.0 -6.76% 2859.55 24213.20
SPXL 2012-11-29 2013-06-24 $6.72 $9.18 Long 792.0 36.73% 16276.45 22383.80
TQQQ 2013-01-31 2013-06-24 $1.16 $1.30 Long 4738.0 11.97% 16276.45 22383.80
SHV 2013-05-31 2014-01-31 $103.51 $103.52 Long 59.0 0.00% 3697.79 28706.37
SPXL 2013-06-27 2014-02-03 $9.89 $12.47 Long 577.0 26.15% 10895.45 27613.14
TQQQ 2013-06-27 2014-04-07 $1.38 $2.37 Long 4148.0 71.99% 13114.55 27966.33
TLT 2014-01-31 2014-05-30 $88.69 $94.39 Long 82.0 6.43% 7136.92 30357.37
SPXL 2014-02-27 2014-05-30 $15.10 $16.80 Long 503.0 11.21% 7136.92 30357.37
TQQQ 2014-04-29 2014-05-30 $2.48 $2.84 Long 2925.0 14.51% 7136.92 30357.37
UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 777.0 -0.57% 7196.36 30225.37
TQQQ 2014-06-30 2014-07-31 $3.11 $3.20 Long 2478.0 3.05% 7099.75 30164.87
TLT 2014-06-30 2014-07-31 $94.16 $94.78 Long 81.0 0.67% 7099.75 30164.87
SPXL 2014-06-30 2014-07-31 $17.86 $17.06 Long 431.0 -4.50% 7099.75 30164.87
UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 765.0 8.72% 7638.70 32175.01
TLT 2014-08-29 2014-09-30 $99.26 $97.17 Long 82.0 -2.11% 7394.29 31403.91
SPXL 2014-08-29 2014-09-30 $19.10 $18.24 Long 429.0 -4.54% 7394.29 31403.91
TQQQ 2014-08-29 2014-09-30 $3.70 $3.60 Long 2217.0 -2.78% 7394.29 31403.91
UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 762.0 5.76% 7778.78 32786.42
TQQQ 2014-10-31 2014-12-16 $3.83 $3.65 Long 2180.0 -4.67% 15745.12 32515.97
TQQQ 2014-12-30 2015-01-06 $4.18 $3.69 Long 2055.0 -11.89% 14723.06 32122.96
SPXL 2014-10-31 2015-01-30 $19.35 $18.69 Long 432.0 -3.39% 6252.94 32288.68
IAU 2015-01-30 2015-02-27 $24.86 $23.42 Long 331.0 -5.79% 5583.68 33065.74
TLT 2014-10-31 2015-05-29 $99.90 $104.35 Long 83.0 4.45% 5842.48 33033.24
SPXL 2015-02-27 2015-06-30 $21.93 $20.66 Long 384.0 -5.78% 5802.31 31588.31
IAU 2015-05-29 2015-07-31 $23.02 $21.16 Long 365.0 -8.08% 7606.07 32304.74
TQQQ 2015-01-29 2015-07-31 $3.86 $5.01 Long 2155.0 29.92% 7606.07 32304.74
SHV 2015-06-30 2015-07-31 $103.56 $103.54 Long 77.0 -0.02% 7606.07 32304.74
TMF 2015-07-31 2015-09-15 $18.34 $16.95 Long 1347.0 -7.58% 30432.66 30432.66
TMF 2015-09-29 2015-11-06 $18.95 $16.89 Long 1228.0 -10.87% 27901.56 27901.56
TMF 2015-11-27 2016-04-29 $17.71 $21.70 Long 1204.0 22.53% 7708.00 32706.01
SPXL 2016-04-29 2016-06-27 $19.79 $17.91 Long 421.0 -9.46% 15249.80 32798.74
TLT 2016-04-29 2016-06-30 $112.59 $121.37 Long 74.0 7.80% 7785.28 33084.25
SPXL 2016-06-29 2016-06-30 $19.87 $20.66 Long 419.0 3.96% 7785.28 33084.25
IAU 2016-04-29 2016-06-30 $24.96 $25.52 Long 334.0 2.24% 7785.28 33084.25
TMF 2016-06-30 2016-07-29 $26.80 $28.43 Long 944.0 6.07% 8147.04 34620.82
IAU 2016-07-29 2016-08-31 $26.04 $25.20 Long 339.0 -3.23% 7980.87 34600.03
TLT 2016-08-31 2016-09-30 $122.66 $120.81 Long 71.0 -1.51% 7650.08 34939.01
IAU 2016-09-30 2016-10-31 $25.38 $24.64 Long 351.0 -2.92% 7775.40 33739.78
SPXL 2016-07-29 2016-11-03 $22.97 $20.42 Long 384.0 -11.12% 15615.83 32636.54
SHV 2016-10-31 2017-02-28 $103.94 $104.06 Long 82.0 0.11% 5706.91 38657.32
IAU 2017-02-28 2017-03-31 $24.08 $24.02 Long 409.0 -0.25% 5540.19 39317.90
SHV 2017-03-31 2017-04-28 $104.07 $104.07 Long 96.0 -0.00% 5176.78 40668.42
IAU 2017-04-28 2017-06-30 $24.42 $23.88 Long 424.0 -2.21% 4772.72 41354.76
TLT 2017-06-30 2017-07-31 $112.01 $111.28 Long 94.0 -0.66% 4087.98 43791.33
SPXL 2016-11-29 2017-08-31 $24.07 $34.01 Long 357.0 41.30% 10637.27 45099.34
TQQQ 2016-07-29 2017-08-31 $4.91 $9.60 Long 1798.0 95.70% 10637.27 45099.34
IAU 2017-07-31 2017-08-31 $24.44 $25.44 Long 456.0 4.09% 10637.27 45099.34
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 848.0 -4.79% 10298.49 43446.90
TLT 2017-09-29 2017-12-29 $112.40 $115.23 Long 98.0 2.52% 9281.47 48366.03
TQQQ 2017-09-29 2018-02-05 $9.50 $11.93 Long 1165.0 25.56% 35916.04 48560.44
SPXL 2017-09-29 2018-02-05 $35.92 $41.34 Long 308.0 15.11% 35916.04 48560.44
SPXL 2018-02-27 2018-03-22 $45.68 $40.71 Long 269.0 -10.88% 33351.91 45897.91
TQQQ 2018-02-27 2018-03-22 $14.11 $12.71 Long 874.0 -9.95% 33351.91 45897.91
SPXL 2018-03-28 2018-04-30 $38.71 $40.25 Long 302.0 3.99% 10250.35 46831.08
IAU 2017-12-29 2018-05-31 $25.02 $24.92 Long 492.0 -0.40% 10079.58 48781.36
SHV 2018-04-30 2018-08-31 $105.07 $105.72 Long 113.0 0.62% 7851.78 55851.45
TLT 2018-08-31 2018-09-28 $111.60 $108.41 Long 127.0 -2.86% 7539.98 55340.83
TQQQ 2018-03-28 2018-10-10 $11.34 $13.92 Long 1031.0 22.69% 21888.00 49454.46
SPXL 2018-05-31 2018-10-11 $42.87 $43.33 Long 290.0 1.08% 34454.07 48541.73
SPXL 2018-10-30 2018-10-31 $40.84 $42.10 Long 303.0 3.09% 11698.00 49775.91
SHV 2018-09-28 2018-10-31 $105.86 $106.05 Long 133.0 0.17% 11698.00 49775.91
TQQQ 2018-10-30 2018-10-31 $12.20 $13.03 Long 1014.0 6.75% 11698.00 49775.91
TMF 2018-10-31 2019-06-28 $15.07 $24.08 Long 2527.0 59.80% 17089.17 72547.34
IAU 2019-06-28 2019-07-31 $27.00 $27.04 Long 685.0 0.15% 17481.33 74383.23
TQQQ 2019-06-28 2019-07-31 $15.44 $16.39 Long 1198.0 6.20% 17481.33 74383.23
SPXL 2019-06-28 2019-07-31 $50.88 $52.70 Long 363.0 3.58% 17481.33 74383.23
UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 1257.0 4.07% 76697.41 76697.41
UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 1158.0 -0.49% 18010.89 76409.96
IAU 2019-11-29 2020-01-31 $27.96 $30.34 Long 696.0 8.51% 19623.76 83500.81
TQQQ 2019-11-29 2020-01-31 $19.43 $23.41 Long 1002.0 20.50% 19623.76 83500.81
SPXL 2019-11-29 2020-01-31 $60.66 $65.16 Long 321.0 7.42% 19623.76 83500.81
TMF 2020-01-31 2020-03-10 $31.05 $42.01 Long 2057.0 35.29% 106044.48 106044.48
TMF 2020-03-30 2020-05-28 $41.88 $38.62 Long 1936.0 -7.78% 23455.21 99733.42
TMF 2020-05-28 2020-06-05 $38.62 $34.34 Long 1975.0 -11.09% 91277.28 91277.28
TMF 2020-06-29 2020-06-30 $40.06 $39.57 Long 1742.0 -1.24% 21306.83 90412.77
TLT 2020-06-30 2020-08-31 $157.69 $156.37 Long 146.0 -0.83% 16710.85 107669.84
TQQQ 2020-06-30 2020-09-03 $24.41 $36.93 Long 944.0 51.29% 51575.05 102941.26
SPXL 2020-08-31 2020-09-08 $59.75 $51.47 Long 459.0 -13.87% 75197.98 100161.94
SPXL 2020-09-29 2020-10-28 $51.25 $48.11 Long 496.0 -6.12% 72010.53 96269.37
TQQQ 2020-09-29 2020-10-28 $32.09 $30.03 Long 792.0 -6.42% 72010.53 96269.37
IAU 2020-06-30 2020-11-30 $33.98 $33.90 Long 678.0 -0.24% 18288.31 108746.58
SHV 2020-11-30 2020-12-31 $109.83 $109.85 Long 252.0 0.02% 16164.90 116960.98
IAU 2020-12-31 2021-01-29 $36.26 $35.10 Long 822.0 -3.20% 15909.37 114497.31
TQQQ 2020-10-29 2021-02-25 $31.56 $43.95 Long 777.0 39.27% 20304.36 116779.89
TQQQ 2021-02-25 2021-03-04 $43.95 $40.08 Long 677.0 -8.79% 47441.89 112420.23
TQQQ 2021-03-30 2021-05-12 $43.67 $44.12 Long 689.0 1.04% 47755.38 121374.91
SHV 2021-01-29 2021-05-28 $109.84 $109.83 Long 265.0 -0.01% 12483.51 126576.19
IAU 2021-05-28 2021-06-30 $36.26 $33.71 Long 890.0 -7.03% 8444.09 133843.67
SHV 2021-06-30 2021-07-30 $109.81 $109.81 Long 310.0 0.00% 6697.52 140685.56
TQQQ 2021-05-27 2021-09-28 $50.80 $63.41 Long 632.0 24.83% 46775.77 135855.14
TQQQ 2021-09-29 2021-09-30 $62.99 $62.28 Long 551.0 -1.13% 31477.00 133859.35
TLT 2021-07-30 2021-09-30 $146.07 $141.34 Long 245.0 -3.24% 31477.00 133859.35
SPXL 2020-10-29 2021-09-30 $49.51 $106.76 Long 495.0 115.61% 31477.00 133859.35
UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 1967.0 4.50% 32751.21 138462.13
TLT 2021-10-29 2021-11-30 $144.83 $148.84 Long 243.0 2.77% 32998.28 140397.22
TQQQ 2021-10-29 2021-11-30 $77.58 $81.74 Long 455.0 5.37% 32998.28 140397.22
SPXL 2021-10-29 2021-11-30 $129.96 $126.51 Long 271.0 -2.66% 32998.28 140397.22
UBT 2021-11-30 2022-01-04 $57.31 $51.45 Long 1874.0 -10.23% 129412.21 129412.21
TMF 2022-01-28 2022-02-10 $25.06 $21.65 Long 3950.0 -13.63% 115914.26 115914.26
TMF 2022-02-25 2022-03-14 $21.89 $19.43 Long 4050.0 -11.25% 105936.83 105936.83
TMF 2022-03-30 2022-04-07 $19.28 $17.08 Long 4203.0 -11.40% 96701.98 96701.98
UBT 2022-04-28 2022-05-06 $36.29 $32.11 Long 2038.0 -11.52% 88183.14 88183.14
UBT 2022-05-27 2022-06-13 $34.81 $30.18 Long 1937.0 -13.30% 79214.83 79214.83
TMF 2022-06-29 2022-08-19 $12.12 $11.74 Long 5001.0 -3.12% 77321.43 77321.43
UBT 2022-08-30 2022-09-16 $31.49 $28.33 Long 1878.0 -10.03% 71386.95 71386.95

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
GrayBeard 0.90 0.76 UBT 2022-09-29 Hold Long -3.03% EOM
momentum  IAU  SPXL  TQQQ  TLT  SHV  UBT  TMF