COMB Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for COMB (Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.5% (compared to the benchmark's drawdown of -27.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.2%, compared to a Buy-and-Hold benchmark return of 11.1%. The strategy executed 39 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
COMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.23% | 38.95% | 11.64% | 10.83% | 13.21% | 11.09% |
| Sharpe Ratio | 1.88 | 1.92 | 0.93 | 0.62 | 1.07 | 0.64 |
| Max Drawdown | -5.92% | -7.69% | -11.48% | -26.63% | -11.48% | -27.31% |
| % Time Invested | 96.4% | 100.0% | 77.0% | 100.0% | 73.9% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 6.4 | 0.0 | 5.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-10-13 | Open | Open | 33.33% | $20.14 | $26.37 | 30.93% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-02-02 | 2026-05-28 | Completed | 33.33% | $22.50 | $26.44 | 17.51% | Stop |
| 2026-02-02 | 2026-05-28 | Completed | 33.33% | $22.50 | $26.44 | 17.51% | Stop |
| 2026-01-08 | 2026-02-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2026-01-08 | 2026-02-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-09-05 | 2026-01-08 | Completed | 33.33% | $19.57 | $21.39 | 9.31% | Stop |
| 2025-08-26 | 2026-01-08 | Completed | 33.33% | $19.25 | $21.39 | 11.12% | Stop |
| 2025-09-19 | 2025-10-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2025-09-15 | 2025-09-19 | Completed | 33.33% | $19.87 | $19.65 | -1.13% | Signal |
| 2025-06-25 | 2025-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income |
| 2025-08-13 | 2025-09-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2025-06-03 | 2025-08-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2025-04-30 | 2025-08-13 | Completed | 33.33% | $19.04 | $19.07 | 0.19% | Stop |
| 2024-12-06 | 2025-06-25 | Completed | 33.33% | $17.99 | $19.31 | 7.33% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-09 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-01-16 | 2025-04-09 | Completed | 33.33% | $19.35 | $18.19 | -5.99% | Stop |
| 2025-01-16 | 2025-04-07 | Completed | 33.33% | $19.35 | $18.61 | -3.80% | Stop |
| 2024-11-05 | 2025-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income |
| 2024-10-02 | 2025-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.75% | Interest Income |
| 2024-10-02 | 2024-12-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2024-08-27 | 2024-11-05 | Completed | 33.33% | $17.71 | $18.35 | 3.59% | Signal |
| 2024-08-06 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2024-08-02 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2024-08-02 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2024-05-07 | 2024-08-06 | Completed | 33.33% | $18.39 | $17.09 | -7.07% | Stop |
| 2023-07-12 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 7.07% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2023-12-07 | 2024-05-07 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.07% | Interest Income |
| 2023-09-01 | 2023-12-07 | Completed | 33.33% | $18.63 | $17.26 | -7.31% | Signal |
| 2023-06-02 | 2023-09-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.68% | Interest Income |
| 2023-05-26 | 2023-07-12 | Completed | 33.33% | $17.16 | $17.97 | 4.73% | Signal |
| 2023-05-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-04 | 2023-05-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $18.37 | $17.35 | -5.57% | Stop |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $18.37 | $17.35 | -5.57% | Stop |
| 2023-04-10 | 2023-05-04 | Completed | 33.33% | $18.15 | $17.35 | -4.43% | Stop |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-04-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-03-16 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-03-02 | 2023-03-16 | Completed | 33.33% | $18.21 | $17.38 | -4.55% | Stop |
| 2023-02-07 | 2023-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2022-12-30 | 2023-02-07 | Completed | 33.33% | $18.92 | $18.12 | -4.25% | Stop |
| 2022-12-07 | 2022-12-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2022-09-29 | 2022-12-07 | Completed | 33.33% | $18.93 | $18.62 | -1.64% | Stop |
| 2022-11-29 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-29 | 2022-11-29 | Completed | 33.33% | $18.93 | $19.39 | 2.46% | Signal |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-07 | 2022-09-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2022-09-07 | 2022-09-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $19.56 | $19.43 | -0.66% | Stop |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $19.56 | $19.43 | -0.66% | Stop |
| 2022-08-22 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-07-19 | 2022-08-22 | Completed | 33.33% | $19.25 | $20.52 | 6.59% | Signal |
| 2022-06-24 | 2022-07-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $20.88 | $20.12 | -3.66% | Stop |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $22.00 | $21.69 | -1.44% | Stop |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $22.00 | $21.69 | -1.44% | Stop |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $20.78 | $21.44 | 3.18% | Stop |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $20.78 | $21.44 | 3.18% | Stop |
| 2022-03-16 | 2022-04-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-09 | 2022-03-16 | Completed | 33.33% | $11.24 | $20.01 | 77.93% | Stop |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $16.11 | $20.82 | 29.25% | Stop |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $16.11 | $20.82 | 29.25% | Stop |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $16.63 | $16.76 | 0.81% | Stop |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $16.63 | $16.76 | 0.81% | Stop |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $11.24 | $15.53 | 38.10% | Stop |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $11.24 | $15.53 | 38.10% | Stop |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-04-22 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-04-22 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-04-22 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.84% | Stop |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.84% | Stop |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.84% | Stop |
| 2020-03-03 | 2020-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2020-03-03 | 2020-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2020-03-03 | 2020-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2020-02-20 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.22% | Interest Income |
| 2019-08-12 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income |
| 2019-08-12 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income |
| 2019-11-15 | 2020-02-20 | Completed | 33.33% | $13.17 | $12.81 | -2.73% | Signal |
| 2019-08-12 | 2019-11-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income |