BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for BCI (abrdn Bloomberg All Commodity Strategy K-1 Free ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -13.8% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.5%, compared to a Buy-and-Hold benchmark return of 10.1%. 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.
📊 Mathematical Model
Excess Return MMA Active
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.
BCI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 38.49% | 33.89% | 11.07% | 10.37% | 12.49% | 10.09% |
| Sharpe Ratio | 2.06 | 1.67 | 0.86 | 0.59 | 1.02 | 0.57 |
| Max Drawdown | -9.30% | -14.82% | -13.82% | -26.50% | -13.82% | -26.60% |
| % Time Invested | 93.7% | 100.0% | 76.7% | 100.0% | 72.1% | 100.0% |
| Trades / Year | 6.0 | 0.0 | 7.0 | 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 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 | ||||||||
| 2026-02-03 | 2026-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-02-03 | 2026-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-08-27 | 2026-02-03 | Completed | 33.33% | $17.77 | $21.03 | 18.28% | Stop | |
| 2025-08-25 | 2026-02-03 | Completed | 33.33% | $17.86 | $21.03 | 17.71% | 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% | $18.37 | $18.15 | -1.27% | Signal | |
| 2025-06-25 | 2025-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2025-08-05 | 2025-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-09 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.61% | Interest Income | |
| 2025-04-30 | 2025-08-05 | Completed | 33.33% | $17.59 | $17.57 | -0.15% | Stop | |
| 2024-12-06 | 2025-06-25 | Completed | 33.33% | $16.62 | $17.90 | 7.63% | 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% | $17.86 | $16.83 | -5.82% | Stop | |
| 2025-01-16 | 2025-04-07 | Completed | 33.33% | $17.86 | $17.13 | -4.09% | Stop | |
| 2024-11-06 | 2025-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2024-07-16 | 2025-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.40% | Interest Income | |
| 2024-08-06 | 2024-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income | |
| 2024-08-26 | 2024-11-06 | Completed | 33.33% | $16.35 | $16.56 | 1.27% | Signal | |
| 2024-07-16 | 2024-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2024-05-07 | 2024-08-06 | Completed | 33.33% | $17.01 | $16.00 | -6.01% | Stop | |
| 2024-05-20 | 2024-07-16 | Completed | 33.33% | $17.66 | $16.65 | -5.79% | Stop | |
| 2024-05-20 | 2024-07-16 | Completed | 33.33% | $17.66 | $16.65 | -5.79% | Stop | |
| 2023-07-12 | 2024-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.69% | Interest Income | |
| 2023-05-04 | 2024-05-20 | Interest (CASH) | 33.33% | $1.00 | $1.06 | 5.70% | Interest Income | |
| 2023-12-08 | 2024-05-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 2023-09-01 | 2023-12-08 | Completed | 33.33% | $17.19 | $16.01 | -6.93% | 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% | $15.83 | $16.59 | 4.70% | 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% | $16.91 | $16.05 | -5.15% | Stop | |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $16.91 | $16.05 | -5.15% | Stop | |
| 2023-04-10 | 2023-05-04 | Completed | 33.33% | $16.74 | $16.05 | -4.16% | 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% | $16.77 | $16.06 | -4.29% | 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% | $17.52 | $16.76 | -4.38% | 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% | $17.41 | $17.18 | -1.39% | Stop | |
| 2022-09-29 | 2022-11-29 | Completed | 33.33% | $17.41 | $17.88 | 2.63% | 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% | $18.00 | $17.92 | -0.46% | Stop | |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $18.00 | $17.92 | -0.46% | Stop | |
| 2022-07-19 | 2022-08-22 | Completed | 33.33% | $17.73 | $19.10 | 7.66% | 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% | $19.25 | $18.56 | -3.65% | Stop | |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $20.28 | $20.02 | -1.33% | Stop | |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $20.28 | $20.02 | -1.33% | 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% | $19.03 | $19.73 | 3.63% | Stop | |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $19.03 | $19.73 | 3.63% | 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 | |
| 2020-07-30 | 2022-03-16 | Completed | 33.33% | $10.68 | $18.44 | 72.57% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $14.89 | $19.25 | 29.22% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $14.89 | $19.25 | 29.22% | 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 | |
| 2021-09-14 | 2021-11-29 | Completed | 33.33% | $15.13 | $15.48 | 2.30% | Stop | |
| 2021-09-14 | 2021-11-29 | Completed | 33.33% | $15.13 | $15.48 | 2.30% | Stop | |
| 2021-08-20 | 2021-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-08-20 | 2021-09-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-04-16 | 2021-08-20 | Completed | 33.33% | $13.45 | $14.14 | 5.10% | Stop | |
| 2020-07-30 | 2021-08-20 | Completed | 33.33% | $10.68 | $14.14 | 32.31% | Stop | |
| 2021-03-24 | 2021-04-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-30 | 2021-03-24 | Completed | 33.33% | $10.68 | $13.00 | 21.67% | Stop | |
| 2020-02-21 | 2020-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-04-30 | 2020-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income | |
| 2019-04-30 | 2020-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income | |
| 2019-11-18 | 2020-02-21 | Completed | 33.33% | $12.12 | $11.75 | -3.06% | Signal | |
| 2019-06-21 | 2019-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2019-05-02 | 2019-06-21 | Completed | 33.33% | $12.18 | $12.12 | -0.54% | Signal | |
| 2019-04-30 | 2019-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |