CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CMDY (iShares Bloomberg Roll Select Commodity Strategy ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -9.2% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 15.8%, compared to a Buy-and-Hold benchmark return of 15.5%. The strategy executed 32 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.
CMDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 34.25% | 30.58% | 11.90% | 9.82% | 15.85% | 15.50% |
| Sharpe Ratio | 1.95 | 1.61 | 1.02 | 0.60 | 1.30 | 0.94 |
| Max Drawdown | -8.14% | -14.23% | -9.25% | -26.56% | -9.25% | -26.56% |
| % Time Invested | 97.2% | 100.0% | 79.5% | 100.0% | 80.6% | 100.0% |
| Trades / Year | 3.0 | 0.0 | 5.8 | 0.0 | 5.1 | 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 | ||||||||
| 2026-02-02 | 2026-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-02-02 | 2026-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-05-12 | 2026-02-02 | Completed | 33.33% | $44.68 | $51.93 | 16.17% | Stop | |
| 2025-04-30 | 2026-02-02 | Completed | 33.33% | $43.74 | $51.93 | 18.66% | Stop | |
| 2025-06-27 | 2025-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2024-12-06 | 2025-06-27 | Completed | 33.33% | $41.44 | $44.75 | 7.93% | Signal | |
| 2023-07-06 | 2025-05-12 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.61% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-02-25 | 2025-04-07 | Completed | 33.33% | $45.29 | $42.73 | -5.71% | Stop | |
| 2024-11-15 | 2025-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2024-08-26 | 2024-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income | |
| 2024-08-15 | 2024-11-15 | Completed | 33.33% | $40.43 | $40.98 | 1.29% | Signal | |
| 2024-05-08 | 2024-08-26 | Completed | 33.33% | $41.95 | $41.07 | -2.15% | Signal | |
| 2023-05-12 | 2024-08-15 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 6.91% | Interest Income | |
| 2023-12-05 | 2024-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2023-09-12 | 2023-12-05 | Completed | 33.33% | $42.41 | $40.34 | -4.92% | Signal | |
| 2023-05-12 | 2023-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2023-05-26 | 2023-07-06 | Completed | 33.33% | $39.67 | $40.25 | 1.42% | Signal | |
| 2023-05-04 | 2023-05-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-04-19 | 2023-05-12 | Completed | 33.33% | $42.31 | $40.23 | -4.97% | Stop | |
| 2023-04-19 | 2023-05-12 | Completed | 33.33% | $42.31 | $40.23 | -4.97% | Stop | |
| 2023-04-03 | 2023-05-04 | Completed | 33.33% | $42.06 | $40.19 | -4.50% | Stop | |
| 2022-11-25 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2022-08-19 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.79% | Interest Income | |
| 2023-03-10 | 2023-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-01-30 | 2023-03-10 | Completed | 33.33% | $43.32 | $41.09 | -5.18% | Stop | |
| 2023-01-05 | 2023-01-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-09-30 | 2023-01-05 | Completed | 33.33% | $43.05 | $42.25 | -1.91% | Stop | |
| 2022-09-30 | 2022-11-25 | Completed | 33.33% | $43.05 | $45.05 | 4.59% | Signal | |
| 2022-09-08 | 2022-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-09-08 | 2022-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-07-14 | 2022-09-08 | Completed | 33.33% | $42.75 | $44.36 | 3.73% | Stop | |
| 2022-07-14 | 2022-09-08 | Completed | 33.33% | $42.75 | $44.36 | 3.73% | Stop | |
| 2022-07-19 | 2022-08-19 | Completed | 33.33% | $43.94 | $45.76 | 4.10% | Signal | |
| 2022-06-24 | 2022-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2022-06-21 | 2022-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-06-21 | 2022-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $48.12 | $46.45 | -3.52% | Stop | |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $50.27 | $48.74 | -3.09% | Stop | |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $50.27 | $48.74 | -3.09% | 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% | $47.69 | $49.32 | 3.37% | Stop | |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $47.69 | $49.32 | 3.37% | 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% | $26.31 | $46.27 | 75.78% | Stop | |
| 2021-12-22 | 2022-03-10 | Completed | 33.33% | $38.17 | $48.32 | 26.54% | Stop | |
| 2021-12-22 | 2022-03-10 | Completed | 33.33% | $38.17 | $48.32 | 26.54% | Stop | |
| 2021-11-30 | 2021-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-11-30 | 2021-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-15 | 2021-11-30 | Completed | 33.33% | $38.77 | $37.59 | -3.10% | Stop | |
| 2021-09-15 | 2021-11-30 | Completed | 33.33% | $38.77 | $37.59 | -3.10% | 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% | $26.31 | $36.38 | 38.21% | Stop | |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $26.31 | $36.38 | 38.21% | Stop | |
| 2020-05-01 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-05-01 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-05-01 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |