COMB
Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for COMB (Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.2% (compared to the benchmark's drawdown of -27.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.3%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 5 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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COMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 38.10% | 33.42% | 6.27% | 10.31% | 9.26% | 10.85% |
| Sharpe Ratio | 1.86 | 1.64 | 0.42 | 0.59 | 0.65 | 0.63 |
| Max Drawdown | -14.84% | -14.84% | -34.17% | -26.63% | -34.17% | -27.31% |
| % Time Invested | 96.4% | 100.0% | 60.0% | 100.0% | 58.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-04-09 | 2025-08-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income | |
| 2025-01-16 | 2025-04-09 | Completed | 100% | $19.35 | $18.19 | -6.03% | Stop | |
| 2023-06-29 | 2025-01-16 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.26% | Interest Income | |
| 2023-04-03 | 2023-06-29 | Completed | 100% | $18.19 | $17.19 | -5.58% | Signal | |
| 2023-03-10 | 2023-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-07-28 | 2023-03-10 | Completed | 100% | $20.29 | $17.70 | -12.77% | Stop | |
| 2022-07-06 | 2022-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2020-07-09 | 2022-07-06 | Completed | 100% | $11.24 | $18.66 | 65.86% | Stop | |
| 2020-04-22 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-14 | 2020-04-22 | Completed | 100% | $10.72 | $10.10 | -5.89% | Stop | |
| 2019-08-12 | 2020-04-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income | |