COMB
Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for COMB (Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -12.3% (compared to the benchmark's drawdown of -27.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.6%, compared to a Buy-and-Hold benchmark return of 12.1%. The strategy executed 41 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for COMB:
Excess Return MMA Active Model
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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.
🎯 Trading Horizon
Select risk profile & execution style for COMB:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ COMB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-12.3% (vs -27.3% B&H)
+15.0% shallower drawdown
Downside Efficiency
1.16 Sortino
+0.25 vs 0.91 B&H
Capital Sheltered from Risk
46.4% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 COMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -9.38% | -14.84% | -12.30% | -26.63% | -12.30% | -27.31% |
| Sharpe Ratio | 2.31 | 2.11 | 1.08 | 0.69 | 1.10 | 0.70 |
| Sortino Ratio | 3.25 | 2.87 | 1.16 | 0.92 | 1.16 | 0.91 |
| CAGR | 45.20% | 46.97% | 13.42% | 12.24% | 13.63% | 12.08% |
| % Time Invested | 85.0% | 100.0% | 50.9% | 100.0% | 53.6% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 6.8 | 0.0 | 5.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for COMB... Top Diversifiers for COMB
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock | ||||||||
| 2026-05-28 | 2026-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2026-05-28 | 2026-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-10-13 | 2026-06-17 | Completed | 33.33% | $20.14 | $24.99 | 24.02% | Stop | |
| 2026-02-02 | 2026-05-28 | Completed | 33.33% | $22.50 | $26.44 | 17.45% | Stop | |
| 2026-02-02 | 2026-05-28 | Completed | 33.33% | $22.50 | $26.44 | 17.45% | Stop | |
| 2026-01-08 | 2026-02-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-01-08 | 2026-02-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-09-05 | 2026-01-08 | Completed | 33.33% | $19.57 | $21.39 | 9.25% | Stop | |
| 2025-08-26 | 2026-01-08 | Completed | 33.33% | $19.25 | $21.39 | 11.06% | Stop | |
| 2025-09-19 | 2025-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-09-15 | 2025-09-19 | Completed | 33.33% | $19.87 | $19.65 | -1.18% | Signal | |
| 2025-06-25 | 2025-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2025-08-13 | 2025-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-09 | 2025-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income | |
| 2025-04-30 | 2025-08-13 | Completed | 33.33% | $19.04 | $19.07 | 0.14% | Stop | |
| 2024-12-06 | 2025-06-25 | Completed | 33.33% | $17.99 | $19.31 | 7.28% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-01-16 | 2025-04-09 | Completed | 33.33% | $19.35 | $18.19 | -6.03% | Stop | |
| 2025-01-16 | 2025-04-07 | Completed | 33.33% | $19.35 | $18.61 | -3.85% | Stop | |
| 2024-11-05 | 2025-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2023-07-12 | 2025-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.08 | 8.07% | Interest Income | |
| 2024-08-06 | 2024-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income | |
| 2024-08-27 | 2024-11-05 | Completed | 33.33% | $17.71 | $18.35 | 3.54% | Signal | |
| 2023-05-04 | 2024-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 7.22% | Interest Income | |
| 2024-05-07 | 2024-08-06 | Completed | 33.33% | $18.39 | $17.09 | -7.12% | Stop | |
| 2023-12-07 | 2024-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.19% | Interest Income | |
| 2023-09-01 | 2023-12-07 | Completed | 33.33% | $18.63 | $17.26 | -7.36% | Signal | |
| 2023-05-04 | 2023-09-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.76% | Interest Income | |
| 2023-05-26 | 2023-07-12 | Completed | 33.33% | $17.16 | $17.97 | 4.68% | Signal | |
| 2023-05-04 | 2023-05-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $18.37 | $17.35 | -5.62% | Stop | |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $18.37 | $17.35 | -5.62% | Stop | |
| 2023-04-10 | 2023-05-04 | Completed | 33.33% | $18.15 | $17.35 | -4.48% | Stop | |
| 2022-11-29 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2022-08-22 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.78% | Interest Income | |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-03-02 | 2023-03-16 | Completed | 33.33% | $18.21 | $17.38 | -4.60% | Stop | |
| 2023-02-07 | 2023-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-12-30 | 2023-02-07 | Completed | 33.33% | $18.92 | $18.12 | -4.30% | Stop | |
| 2022-12-07 | 2022-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2022-09-29 | 2022-12-07 | Completed | 33.33% | $18.93 | $18.62 | -1.69% | Stop | |
| 2022-09-29 | 2022-11-29 | Completed | 33.33% | $18.93 | $19.39 | 2.41% | Signal | |
| 2022-09-07 | 2022-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-09-07 | 2022-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $19.56 | $19.43 | -0.71% | Stop | |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $19.56 | $19.43 | -0.71% | Stop | |
| 2022-07-19 | 2022-08-22 | Completed | 33.33% | $19.25 | $20.52 | 6.54% | Signal | |
| 2022-06-24 | 2022-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $20.88 | $20.12 | -3.71% | Stop | |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $22.00 | $21.69 | -1.49% | Stop | |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $22.00 | $21.69 | -1.49% | Stop | |
| 2022-04-26 | 2022-05-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-04-26 | 2022-05-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $20.78 | $21.44 | 3.13% | Stop | |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $20.78 | $21.44 | 3.13% | Stop | |
| 2022-03-16 | 2022-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-10 | 2022-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-10 | 2022-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-07-09 | 2022-03-16 | Completed | 33.33% | $11.24 | $20.01 | 77.84% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $16.11 | $20.82 | 29.18% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $16.11 | $20.82 | 29.18% | Stop | |
| 2021-11-29 | 2021-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-11-29 | 2021-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $16.63 | $16.76 | 0.76% | Stop | |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $16.63 | $16.76 | 0.76% | Stop | |
| 2021-08-23 | 2021-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-08-23 | 2021-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $11.24 | $15.53 | 38.03% | Stop | |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $11.24 | $15.53 | 38.03% | Stop | |
| 2020-04-22 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-22 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-22 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.89% | Stop | |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.89% | Stop | |
| 2020-04-14 | 2020-04-22 | Completed | 33.33% | $10.72 | $10.10 | -5.89% | Stop | |
| 2020-02-20 | 2020-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-08-12 | 2020-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2019-08-12 | 2020-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2019-11-15 | 2020-02-20 | Completed | 33.33% | $13.17 | $12.81 | -2.78% | Signal | |
| 2019-08-12 | 2019-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |