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

MetricMeasure
AccountNamedefault
NoOfTrades147.00
NoOfWins76.00
NoOfLosses71.00
SharpRatio0.82
SortinoRatio1.03
GrossProfit$118982.25
FirstDate2010-02-25
LastDate2023-02-28
FirstEquity$10000.00
FinalEquity$128982.25
OpenEquity$98655.51
LongEquity$118982.25
ShortEquity$0.00
PercentWins51.70%
AveWin15.58%
AveLoss-4.81%
AveWinLoss3.24
Expectancy5.73%
AveDrawUp56.15%
AveDrawDown-14.63%
MaxDrawDown-26.26%
Kelly36.79%
Thorpe54.59
APR21.72%
CalmarRatio1.48

Trades

SymbolOpenCloseOpen PriceClose PriceTypeSizeProfitBalanceEquity
SHV2010-02-252010-04-30$101.93$101.91Long25.0-0.03%2219.7310816.86
SPXL2010-02-252010-05-06$3.86$4.12Long660.06.58%4936.8710551.37
SPXL2010-05-272010-05-28$3.82$3.69Long703.0-3.29%2198.5510463.15
SHV2010-05-282010-06-30$101.92$101.95Long26.00.03%2518.8710693.92
TLT2010-04-302010-06-30$65.73$73.09Long41.011.20%2518.8710693.92
IAU2010-02-252010-06-30$21.67$24.34Long117.012.33%2518.8710693.92
TMF2010-06-302010-07-30$10.03$9.64Long815.0-3.90%2584.8710375.27
TLT2010-07-302010-08-31$72.40$78.48Long36.08.40%2526.2910745.25
SHV2010-07-302010-08-31$101.93$101.96Long25.00.03%2526.2910745.25
IAU2010-07-302010-08-31$23.12$24.44Long114.05.71%2526.2910745.25
TMF2010-08-312010-09-03$12.14$10.50Long677.0-13.52%9634.139634.13
TMF2010-09-292010-09-30$11.06$11.04Long666.0-0.12%2291.209625.29
TLT2010-09-302010-10-29$76.51$73.09Long32.0-4.47%2060.0610086.90
TQQQ2010-09-302011-03-15$0.56$0.79Long4371.040.79%5514.8311402.45
SPXL2010-10-292011-03-16$4.59$5.56Long560.021.22%8630.0811222.63
SPXL2011-03-302011-06-06$6.54$5.95Long439.0-9.02%8127.1510991.40
TQQQ2011-03-302011-06-06$0.87$0.80Long3300.0-8.48%8127.1510991.40
TQQQ2011-06-292011-07-29$0.81$0.88Long3425.08.39%2644.9111254.23
SPXL2011-06-292011-07-29$6.24$5.97Long446.0-4.39%2644.9111254.23
IAU2010-09-302011-07-29$25.60$31.74Long95.023.98%2644.9111254.23
TMF2011-07-292011-10-10$9.21$14.94Long935.062.28%16616.5016616.50
TMF2011-10-282012-01-20$12.91$14.86Long984.015.10%18535.2618535.26
TMF2012-01-302012-01-31$15.80$16.33Long897.03.36%4536.7619011.48
IAU2012-01-312012-02-29$33.96$32.96Long142.0-2.94%4189.0719721.05
TLT2012-01-312012-03-30$92.40$86.19Long52.0-6.72%3367.1820882.30
TQQQ2012-01-312012-04-24$0.89$1.07Long5471.021.30%9247.0619525.93
IAU2012-03-302012-04-30$32.54$32.46Long163.0-0.25%4480.4019785.65
TQQQ2012-04-272012-05-04$1.20$1.07Long4236.0-11.00%9008.6119050.81
SPXL2012-02-292012-05-14$6.15$5.77Long818.0-6.15%13727.1918872.59
TLT2012-04-302012-09-28$90.36$96.72Long55.07.03%3723.2522004.17
TQQQ2012-05-302012-10-19$0.95$1.09Long5126.014.52%9295.5420929.64
TQQQ2012-10-262012-10-31$1.07$1.05Long4908.0-1.94%3996.4020532.01
SPXL2012-05-302012-11-08$5.42$6.12Long897.012.97%9489.0520268.10
TLT2012-10-312012-11-30$96.25$97.58Long54.01.38%4466.5720148.07
TQQQ2012-11-302012-12-31$1.08$1.06Long4737.0-1.93%4398.8820046.34
SHV2012-12-312013-01-31$102.12$102.10Long50.0-0.03%4189.7020843.11
IAU2012-09-282013-02-20$34.54$30.42Long162.0-11.93%9117.7420758.67
IAU2013-02-272013-02-28$31.06$30.74Long170.0-1.03%3856.8220682.09
SHV2013-02-282013-04-30$102.09$102.12Long51.00.03%3328.9022660.95
TLT2013-04-302013-05-31$97.22$90.64Long59.0-6.76%2754.6123445.48
SPXL2012-11-292013-06-24$6.68$9.13Long772.036.73%15751.2521673.49
TQQQ2013-01-312013-06-24$1.15$1.28Long4641.011.97%15751.2521673.49
SHV2013-05-312014-01-31$102.11$102.11Long58.00.00%3612.9527795.23
SPXL2013-06-272014-02-03$9.83$12.40Long562.026.15%10582.6726736.32
TQQQ2013-06-272014-04-07$1.36$2.34Long4063.071.99%12729.0127078.13
TQQQ2014-04-292014-05-30$2.45$2.81Long2865.014.51%6917.6029391.82
TLT2014-01-312014-05-30$87.62$93.25Long80.06.43%6917.6029391.82
SPXL2014-02-272014-05-30$15.02$16.70Long490.011.21%6917.6029391.82
TMF2014-05-302014-06-30$14.49$14.35Long1551.0-1.00%6959.6729167.44
TQQQ2014-06-302014-07-31$3.07$3.17Long2420.03.05%6851.0429109.33
TLT2014-06-302014-07-31$93.02$93.64Long79.00.67%6851.0429109.33
SPXL2014-06-302014-07-31$17.76$16.96Long418.0-4.50%6851.0429109.33
TMF2014-07-312014-08-29$14.58$16.68Long1527.014.42%7620.5632319.63
TQQQ2014-08-292014-09-30$3.66$3.56Long2253.0-2.78%7425.4731544.16
TLT2014-08-292014-09-30$98.06$95.99Long84.0-2.11%7425.4731544.16
SPXL2014-08-292014-09-30$18.99$18.13Long433.0-4.54%7425.4731544.16
TMF2014-09-302014-10-31$15.57$16.83Long1549.08.06%7942.3333488.70
TQQQ2014-10-312014-12-16$3.79$3.61Long2253.0-4.67%16080.3333214.74
TQQQ2014-12-302015-01-06$4.14$3.64Long2124.0-11.89%15036.1632813.12
SPXL2014-10-312015-01-30$19.24$18.58Long443.0-3.39%6370.8132983.60
IAU2015-01-302015-02-27$24.86$23.42Long338.0-5.79%5674.7233776.23
TLT2014-10-312015-05-29$98.69$103.09Long86.04.45%5953.8133742.18
SPXL2015-02-272015-06-30$21.80$20.54Long395.0-5.78%5895.3032265.54
TQQQ2015-01-292015-07-31$3.81$4.96Long2227.029.92%7757.7632997.10
SHV2015-06-302015-07-31$102.16$102.14Long80.0-0.02%7757.7632997.10
IAU2015-05-292015-07-31$23.02$21.16Long373.0-8.08%7757.7632997.10
TBF2015-07-312015-09-30$24.01$23.54Long1051.0-1.96%7658.9732502.61
UBT2015-09-302015-10-30$36.11$35.60Long688.0-1.43%7569.2032148.57
TBF2015-10-302015-11-30$23.61$23.77Long1041.00.69%7618.3532318.50
UBT2015-11-302015-12-31$35.09$34.42Long704.0-1.91%7495.3231847.96
TMF2015-12-312016-04-29$17.32$21.50Long1406.024.13%8929.7637723.69
SPXL2016-04-292016-06-27$19.67$17.81Long489.0-9.46%17638.6937825.90
TLT2016-04-292016-06-30$111.22$119.90Long86.07.80%8980.5138155.23
SPXL2016-06-292016-06-30$19.76$20.54Long486.03.96%8980.5138155.23
IAU2016-04-292016-06-30$24.96$25.52Long385.02.24%8980.5138155.23
TMF2016-06-302016-07-29$26.55$28.16Long1099.06.07%9430.1239927.21
IAU2016-07-292016-08-31$26.04$25.20Long390.0-3.23%9200.4139904.06
TLT2016-08-312016-09-30$121.18$119.35Long83.0-1.51%8852.8840294.91
IAU2016-09-302016-10-31$25.38$24.64Long404.0-2.92%8964.5338913.00
SPXL2016-07-292016-11-03$22.84$20.30Long445.0-11.12%17997.5337641.09
SHV2016-10-312017-02-28$102.53$102.64Long96.00.11%6578.6744584.37
IAU2017-02-282017-03-31$24.08$24.02Long472.0-0.25%6418.4845346.25
SHV2017-03-312017-04-28$102.66$102.66Long112.0-0.00%5974.4646903.78
IAU2017-04-282017-06-30$24.42$23.88Long489.0-2.21%5590.1647695.14
TLT2017-06-302017-07-31$110.66$109.93Long109.0-0.66%4716.9850505.64
SPXL2016-11-292017-08-31$23.93$33.81Long414.041.30%12231.2352014.32
TQQQ2016-07-292017-08-31$4.85$9.49Long2098.095.70%12231.2352014.32
IAU2017-07-312017-08-31$24.44$25.44Long526.04.09%12231.2352014.32
TMF2017-08-312017-09-29$21.03$19.50Long1892.0-7.29%11660.7549115.87
TLT2017-09-292017-12-29$111.03$113.84Long112.02.52%10474.5254675.98
TQQQ2017-09-292018-02-05$9.39$11.79Long1333.025.56%40582.0854896.98
SPXL2017-09-292018-02-05$35.71$41.10Long350.015.11%40582.0854896.98
TQQQ2018-02-272018-03-22$13.95$12.56Long999.0-9.95%37678.6651882.16
SPXL2018-02-272018-03-22$45.41$40.47Long307.0-10.88%37678.6651882.16
SPXL2018-03-282018-04-30$38.48$40.02Long343.03.99%11512.4552936.17
IAU2017-12-292018-05-31$25.02$24.92Long557.0-0.40%11371.8355140.46
SHV2018-04-302018-08-31$103.64$104.28Long130.00.62%8941.3763125.43
TLT2018-08-312018-09-28$110.25$107.10Long145.0-2.86%8598.0162548.76
TQQQ2018-03-282018-10-10$11.21$13.76Long1179.022.69%24816.1755899.91
SPXL2018-05-312018-10-11$42.62$43.08Long329.01.08%38989.1054870.47
SHV2018-09-282018-10-31$104.42$104.61Long152.00.17%13222.9556265.20
SPXL2018-10-302018-10-31$40.60$41.85Long344.03.09%13222.9556265.20
TQQQ2018-10-302018-10-31$12.06$12.88Long1160.06.75%13222.9556265.20
TBF2018-10-312018-12-31$23.28$21.68Long1849.0-6.86%12542.2653314.64
TMF2018-12-312019-06-28$18.44$23.85Long2211.029.35%15373.3765279.53
IAU2019-06-282019-07-31$27.00$27.04Long616.00.15%15747.9266931.75
TQQQ2019-06-282019-07-31$15.26$16.20Long1090.06.20%15747.9266931.75
SPXL2019-06-282019-07-31$50.58$52.40Long329.03.58%15747.9266931.75
TMF2019-07-312019-09-12$23.93$27.48Long2139.014.85%74533.5174533.51
TMF2019-09-272019-10-21$29.24$26.66Long1949.0-8.83%69501.7869501.78
TMF2019-10-302019-11-29$27.11$27.62Long1961.01.88%16602.8370499.26
SPXL2019-11-292020-01-31$60.31$64.78Long298.07.42%18107.9377044.42
IAU2019-11-292020-01-31$27.96$30.34Long642.08.51%18107.9377044.42
TQQQ2019-11-292020-01-31$19.20$23.14Long936.020.50%18107.9377044.42
TMF2020-01-312020-03-10$30.76$41.62Long1916.035.29%97844.4697844.46
TMF2020-03-302020-05-28$41.49$38.26Long1804.0-7.78%21626.2592019.24
TMF2020-05-282020-06-05$38.26$34.02Long1840.0-11.09%84215.5384215.53
TMF2020-06-292020-06-30$39.68$39.19Long1623.0-1.24%19701.4983417.69
TLT2020-06-302020-08-31$155.78$154.48Long136.0-0.83%15404.5599339.44
TQQQ2020-06-302020-09-03$24.13$36.51Long881.051.29%47566.1694976.78
SPXL2020-08-312020-09-08$59.40$51.17Long426.0-13.87%69362.9992412.31
SPXL2020-09-292020-10-28$50.95$47.83Long460.0-6.12%66423.6588821.93
TQQQ2020-09-292020-10-28$31.72$29.68Long739.0-6.42%66423.6588821.93
IAU2020-06-302020-11-30$33.98$33.90Long626.0-0.24%16868.33100325.11
SHV2020-11-302020-12-31$108.34$108.36Long236.00.02%14955.61107899.71
IAU2020-12-312021-01-29$36.26$35.10Long758.0-3.20%14691.19105628.20
TQQQ2020-10-292021-02-25$31.19$43.44Long725.039.27%18731.32107732.01
TQQQ2021-02-252021-03-04$43.44$39.62Long632.0-8.79%43772.39103710.68
TQQQ2021-03-302021-05-12$43.17$43.62Long643.01.04%44061.58111965.92
SHV2021-01-292021-05-28$108.35$108.34Long248.0-0.01%11534.13116761.11
IAU2021-05-282021-06-30$36.26$33.71Long821.0-7.03%7797.76123465.03
SHV2021-06-302021-07-30$108.32$108.32Long290.00.00%6164.11129775.24
TQQQ2021-05-272021-09-28$50.21$62.68Long590.024.83%43146.75125318.73
TLT2021-07-302021-09-30$144.31$139.63Long229.0-3.24%29020.27123478.87
SPXL2020-10-292021-09-30$49.23$106.14Long459.0115.61%29020.27123478.87
TQQQ2021-09-292021-09-30$62.27$61.57Long514.0-1.13%29020.27123478.87
TMF2021-09-302021-10-29$25.86$27.69Long3653.07.08%30910.80130164.29
TQQQ2021-10-292021-11-30$76.68$80.80Long432.05.37%31031.64131980.34
TLT2021-10-292021-11-30$143.07$147.04Long231.02.77%31031.64131980.34
SPXL2021-10-292021-11-30$129.20$125.77Long256.0-2.66%31031.64131980.34
TMF2021-11-302022-01-03$29.73$25.60Long3395.0-13.89%117955.17117955.17
TMF2022-01-282022-01-31$24.83$24.42Long3634.0-1.63%27381.91116489.09
TBF2022-01-312022-12-07$16.40$20.45Long5434.024.73%138524.62138524.62
TBF2022-12-292023-01-31$22.21$20.92Long4770.0-5.84%31250.57132336.06
IAU2023-01-312023-02-28$36.59$34.62Long922.0-5.38%30326.74128982.25
TLT2023-01-312023-02-28$106.63$101.46Long316.0-4.85%30326.74128982.25
SHV2023-01-312023-02-28$109.62$109.94Long307.00.29%30326.74128982.25

Signals

StrategyRatioSizeTickerDateStateTypeProfitTick
GrayBeard0.900.76TBF2023-02-28HoldLong0.00%EOM
momentum  IAU  SPXL  TQQQ  TLT  SHV  UBT  TMF  TBF