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 78.00
NoOfWins 44.00
NoOfLosses 34.00
SharpRatio 0.84
SortinoRatio 0.98
GrossProfit $72652.42
FirstDate 2010-01-29
LastDate 2021-07-30
FirstEquity $10000.00
FinalEquity $82652.42
OpenEquity $59734.17
LongEquity $72652.42
ShortEquity $0.00
PercentWins 56.41%
AveWin $1979.73
AveLoss $-425.16
AveWinLoss 4.66
Expectancy 6.51%
AveDrawUp 50.34%
AveDrawDown -14.47%
MaxDrawDown -39.64%
Kelly 47.05%
Thrope 51.54
APR 20.16%
CalmarRatio 1.39

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SHV 2010-01-29 2010-04-30 $103.97 $103.95 Long 27.0 -0.02% 1117.85 11310.50
SPXL 2010-01-29 2010-05-28 $3.56 $3.72 Long 799.0 4.42% 1075.94 10633.34
SHV 2010-05-28 2010-06-30 $103.96 $104.00 Long 29.0 0.03% 1591.40 10904.12
IAU 2010-01-29 2010-06-30 $21.20 $24.34 Long 134.0 14.79% 1591.40 10904.12
TLT 2010-04-30 2010-06-30 $67.94 $75.55 Long 47.0 11.20% 1591.40 10904.12
UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 455.0 -1.88% 1669.02 10729.42
SHV 2010-07-30 2010-08-31 $103.98 $104.00 Long 29.0 0.03% 1628.73 11155.76
TLT 2010-07-30 2010-08-31 $74.83 $81.11 Long 40.0 8.40% 1628.73 11155.76
IAU 2010-07-30 2010-08-31 $23.12 $24.44 Long 132.0 5.71% 1628.73 11155.76
TMF 2010-08-31 2010-09-30 $12.34 $11.23 Long 772.0 -9.02% 1517.76 10296.06
TLT 2010-09-30 2010-11-30 $79.07 $74.27 Long 37.0 -6.08% 1248.76 10636.33
SHV 2010-11-30 2011-05-31 $104.03 $104.12 Long 29.0 0.09% 687.15 12569.79
IAU 2010-09-30 2011-07-29 $25.60 $31.74 Long 114.0 23.98% 1779.01 12224.62
TLT 2011-05-31 2011-07-29 $74.61 $76.09 Long 48.0 1.98% 1779.01 12224.62
SPXL 2010-09-30 2011-07-29 $4.14 $6.02 Long 709.0 45.42% 1779.01 12224.62
TMF 2011-07-29 2012-01-31 $9.36 $16.60 Long 1116.0 77.38% 3020.04 20307.44
IAU 2012-01-31 2012-02-29 $33.96 $32.96 Long 170.0 -2.94% 2793.22 20741.14
TLT 2012-01-31 2012-03-30 $95.51 $89.09 Long 60.0 -6.72% 2151.17 21101.05
IAU 2012-03-30 2012-04-30 $32.54 $32.46 Long 184.0 -0.25% 2239.99 20912.51
SHV 2012-02-29 2012-06-29 $104.11 $104.12 Long 56.0 0.01% 2188.86 20682.04
IAU 2012-06-29 2012-07-31 $31.12 $31.44 Long 189.0 1.03% 2196.35 21180.11
SHV 2012-07-31 2012-08-31 $104.12 $104.14 Long 57.0 0.02% 2001.56 21529.43
TLT 2012-04-30 2012-11-30 $93.39 $100.85 Long 63.0 7.99% 2211.53 21639.44
IAU 2012-08-31 2013-02-28 $32.96 $30.74 Long 186.0 -6.74% 1470.88 22714.22
TLT 2013-02-28 2013-08-30 $96.39 $87.39 Long 67.0 -9.34% 398.69 24335.16
IAU 2013-08-30 2013-09-30 $27.06 $25.78 Long 256.0 -4.73% 6998.37 25073.27
SHV 2012-11-30 2014-02-28 $104.13 $104.18 Long 59.0 0.04% 4817.90 29232.50
IAU 2014-02-28 2014-03-31 $25.70 $24.88 Long 324.0 -3.19% 4534.44 29297.07
TLT 2014-03-31 2014-05-30 $91.70 $96.38 Long 91.0 5.11% 4526.40 31064.06
SPXL 2012-01-31 2014-05-30 $5.48 $16.83 Long 1055.0 207.04% 4526.40 31064.06
UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 888.0 -0.57% 4549.17 30913.20
IAU 2014-06-30 2014-07-31 $25.76 $24.84 Long 342.0 -3.57% 4391.70 30260.81
TLT 2014-06-30 2014-07-31 $96.14 $96.78 Long 91.0 0.67% 4391.70 30260.81
SPXL 2014-06-30 2014-07-31 $17.90 $17.09 Long 492.0 -4.50% 4391.70 30260.81
UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 858.0 8.72% 4859.41 32515.31
SPXL 2014-08-29 2014-09-30 $19.14 $18.27 Long 484.0 -4.54% 4627.93 31898.85
TLT 2014-08-29 2014-09-30 $101.35 $99.21 Long 91.0 -2.11% 4627.93 31898.85
SHV 2014-08-29 2014-09-30 $104.18 $104.17 Long 88.0 -0.02% 4627.93 31898.85
TMF 2014-09-30 2014-10-31 $15.83 $17.10 Long 1723.0 8.06% 5003.79 34097.52
SHV 2014-10-31 2015-01-30 $104.19 $104.18 Long 93.0 -0.01% 4623.86 35390.95
IAU 2015-01-30 2015-02-27 $24.86 $23.42 Long 405.0 -5.79% 4002.06 35738.23
TLT 2014-10-31 2015-05-29 $102.01 $106.55 Long 95.0 4.45% 4064.46 35298.73
SPXL 2014-10-31 2015-07-31 $19.39 $21.97 Long 501.0 13.29% 5005.87 34422.49
SHV 2015-02-27 2015-07-31 $104.19 $104.19 Long 97.0 -0.01% 5005.87 34422.49
IAU 2015-05-29 2015-07-31 $23.02 $21.16 Long 437.0 -8.08% 5005.87 34422.49
UBT 2015-07-31 2016-04-29 $35.74 $40.39 Long 823.0 13.01% 5674.45 38248.13
IAU 2016-04-29 2016-10-31 $24.96 $24.64 Long 436.0 -1.28% 5226.78 39351.39
TLT 2016-04-29 2016-11-30 $114.96 $108.26 Long 94.0 -5.82% 4091.08 39721.40
IAU 2016-11-30 2016-12-30 $22.58 $22.16 Long 501.0 -1.86% 3770.04 40308.01
TLT 2016-12-30 2017-01-31 $107.77 $108.64 Long 106.0 0.81% 3592.91 41104.87
SHV 2016-10-31 2017-05-31 $104.59 $104.77 Long 107.0 0.18% 2207.90 44420.03
IAU 2017-01-31 2017-10-31 $23.34 $24.42 Long 501.0 4.63% 772.19 48300.02
SHV 2017-10-31 2017-12-29 $105.15 $105.30 Long 130.0 0.14% 14461.29 51335.17
TLT 2017-05-31 2018-01-31 $113.47 $113.83 Long 111.0 0.31% 11492.10 54944.27
SPXL 2016-04-29 2018-04-30 $19.83 $40.33 Long 549.0 103.43% 5596.07 49281.43
IAU 2018-04-30 2018-05-31 $25.24 $24.92 Long 556.0 -1.27% 5405.13 49408.96
SHV 2018-01-31 2018-10-31 $105.43 $106.70 Long 148.0 1.20% 7048.80 48530.51
TLT 2018-04-30 2018-10-31 $111.15 $107.45 Long 126.0 -3.33% 7048.80 48530.51
SPXL 2018-05-31 2018-10-31 $42.96 $42.18 Long 327.0 -1.79% 7048.80 48530.51
TMF 2018-10-31 2019-04-30 $15.17 $19.65 Long 2734.0 29.49% 8847.81 60761.85
SPXL 2019-04-30 2019-05-31 $51.63 $41.97 Long 335.0 -18.70% 8580.01 59021.44
TLT 2019-04-30 2019-05-31 $118.59 $126.70 Long 146.0 6.84% 8580.01 59021.44
IAU 2019-04-30 2019-05-31 $24.58 $25.02 Long 704.0 1.79% 8580.01 59021.44
TMF 2019-05-31 2019-06-28 $23.79 $24.25 Long 2120.0 1.90% 8799.05 59981.63
SPXL 2019-06-28 2019-07-31 $50.99 $52.81 Long 335.0 3.58% 8830.83 60662.71
IAU 2019-06-28 2019-07-31 $27.00 $27.04 Long 633.0 0.15% 8830.83 60662.71
TLT 2019-06-28 2019-07-31 $127.90 $128.23 Long 133.0 0.26% 8830.83 60662.71
UBT 2019-07-31 2019-11-29 $45.27 $50.39 Long 1145.0 11.32% 9832.67 66528.13
TLT 2019-11-29 2019-12-31 $136.48 $132.12 Long 138.0 -3.20% 8657.57 68213.34
IAU 2019-11-29 2020-01-31 $27.96 $30.34 Long 678.0 8.51% 10031.64 68971.92
SPXL 2019-11-29 2020-01-31 $60.79 $65.30 Long 311.0 7.42% 10031.64 68971.92
SHV 2019-12-31 2020-01-31 $109.65 $109.81 Long 177.0 0.15% 10031.64 68971.92
TMF 2020-01-31 2020-06-30 $31.27 $39.84 Long 1885.0 27.41% 12508.45 85128.41
TLT 2020-06-30 2020-09-30 $161.01 $160.90 Long 150.0 -0.07% 10229.23 92828.49
IAU 2020-06-30 2020-11-30 $33.98 $33.90 Long 713.0 -0.24% 6427.62 98549.89
TLT 2020-11-30 2020-12-31 $158.04 $156.10 Long 177.0 -1.23% 4867.71 102434.16
IAU 2020-12-31 2021-06-30 $36.26 $33.71 Long 805.0 -7.03% 32004.26 120334.35
SHV 2020-09-30 2021-07-30 $110.52 $110.49 Long 239.0 -0.03% 22918.25 124575.65

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
GrayBeard 0.90 0.28 IAU 2021-07-30 Hold Long -3.39% EOM
GrayBeard 0.90 0.28 SPXL 2020-06-30 Hold Long 188.14% EOM
momentum  IAU  SPXL  TLT  SHV  UBT  TMF