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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.5% (compared to the benchmark's drawdown of -27.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 8.4%. The strategy executed 56 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
CMDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 27.41% | 30.58% | 8.51% | 9.82% | 8.47% | 8.40% |
| Sharpe Ratio | 1.57 | 1.61 | 0.70 | 0.60 | 0.76 | 0.54 |
| Max Drawdown | -9.12% | -14.23% | -17.53% | -26.56% | -17.53% | -27.01% |
| % Time Invested | 91.3% | 100.0% | 80.8% | 100.0% | 81.3% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 7.6 | 0.0 | 7.2 | 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 | ||||||||
| 2025-08-21 | 2025-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2025-08-11 | 2025-09-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2025-07-01 | 2025-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2025-06-23 | 2025-08-21 | Completed | 33.33% | $46.40 | $44.41 | -4.34% | Signal | |
| 2025-08-07 | 2025-08-11 | Completed | 33.33% | $44.39 | $44.21 | -0.45% | Signal | |
| 2025-07-16 | 2025-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-05-13 | 2025-07-16 | Completed | 33.33% | $44.57 | $45.38 | 1.76% | Signal | |
| 2024-12-09 | 2025-07-01 | Completed | 33.33% | $42.02 | $44.61 | 6.11% | Signal | |
| 2025-04-24 | 2025-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2025-04-14 | 2025-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2025-01-17 | 2025-04-24 | Completed | 33.33% | $44.09 | $44.10 | -0.03% | Signal | |
| 2025-04-09 | 2025-04-14 | Completed | 33.33% | $41.96 | $43.75 | 4.23% | Signal | |
| 2025-03-18 | 2025-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-01-15 | 2025-03-18 | Completed | 33.33% | $44.14 | $45.81 | 3.74% | Signal | |
| 2024-12-11 | 2025-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2024-12-19 | 2025-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-12-12 | 2024-12-19 | Completed | 33.33% | $42.04 | $41.18 | -2.11% | Signal | |
| 2024-10-31 | 2024-12-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2024-10-04 | 2024-12-11 | Completed | 33.33% | $43.21 | $42.06 | -2.70% | Signal | |
| 2024-08-27 | 2024-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income | |
| 2024-10-15 | 2024-10-31 | Completed | 33.33% | $41.69 | $41.93 | 0.52% | Signal | |
| 2024-09-23 | 2024-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-07-12 | 2024-10-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2024-08-30 | 2024-09-23 | Completed | 33.33% | $40.90 | $41.65 | 1.77% | Signal | |
| 2024-06-20 | 2024-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2024-05-09 | 2024-08-27 | Completed | 33.33% | $42.05 | $40.97 | -2.63% | Signal | |
| 2024-04-03 | 2024-07-12 | Completed | 33.33% | $41.58 | $41.99 | 0.93% | Signal | |
| 2024-03-12 | 2024-06-20 | Completed | 33.33% | $40.03 | $42.56 | 6.29% | Signal | |
| 2023-12-06 | 2024-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2023-10-13 | 2024-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.51% | Interest Income | |
| 2023-11-17 | 2024-03-12 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2023-09-13 | 2023-12-06 | Completed | 33.33% | $42.44 | $39.95 | -5.93% | Signal | |
| 2023-11-01 | 2023-11-17 | Completed | 33.33% | $41.71 | $40.67 | -2.54% | Signal | |
| 2023-10-06 | 2023-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2023-07-26 | 2023-10-13 | Completed | 33.33% | $42.60 | $41.69 | -2.17% | Signal | |
| 2023-09-15 | 2023-10-06 | Completed | 33.33% | $42.74 | $40.66 | -4.92% | Signal | |
| 2023-08-23 | 2023-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-05-12 | 2023-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.79% | Interest Income | |
| 2023-06-23 | 2023-08-23 | Completed | 33.33% | $40.13 | $41.36 | 3.03% | Signal | |
| 2023-05-12 | 2023-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2023-05-09 | 2023-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | 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 | |
| 2023-04-13 | 2023-05-09 | Completed | 33.33% | $42.52 | $40.39 | -5.04% | Signal | |
| 2023-01-05 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income | |
| 2022-08-22 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.78% | Interest Income | |
| 2023-02-08 | 2023-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2023-02-02 | 2023-02-08 | Completed | 33.33% | $43.27 | $42.49 | -1.84% | Signal | |
| 2022-12-12 | 2023-02-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2022-12-09 | 2023-01-05 | Completed | 33.33% | $43.78 | $42.25 | -3.54% | Signal | |
| 2022-11-09 | 2022-12-12 | Completed | 33.33% | $44.45 | $44.02 | -1.01% | Signal | |
| 2022-10-13 | 2022-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2022-09-21 | 2022-11-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2022-09-15 | 2022-10-13 | Completed | 33.33% | $45.36 | $43.90 | -3.27% | Signal | |
| 2022-08-05 | 2022-09-21 | Completed | 33.33% | $44.20 | $45.12 | 2.04% | Signal | |
| 2022-06-24 | 2022-09-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2022-07-19 | 2022-08-22 | Completed | 33.33% | $43.94 | $46.10 | 4.86% | Signal | |
| 2022-06-24 | 2022-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2022-06-24 | 2022-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $48.12 | $46.45 | -3.52% | Stop | |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $48.12 | $46.45 | -3.52% | Stop | |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $48.12 | $46.45 | -3.52% | Stop | |
| 2022-03-16 | 2022-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-16 | 2022-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-16 | 2022-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-01-27 | 2022-03-16 | Completed | 33.33% | $41.13 | $46.27 | 12.43% | Stop | |
| 2022-01-03 | 2022-03-16 | Completed | 33.33% | $38.57 | $46.27 | 19.90% | Stop | |
| 2020-07-09 | 2022-03-16 | Completed | 33.33% | $26.31 | $46.27 | 75.78% | Stop | |
| 2021-12-02 | 2022-01-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-11-17 | 2022-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-10 | 2021-12-02 | Completed | 33.33% | $25.59 | $36.96 | 44.35% | Stop | |
| 2021-09-16 | 2021-11-17 | Completed | 33.33% | $37.93 | $39.92 | 5.21% | Signal | |
| 2021-08-24 | 2021-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-07-30 | 2021-08-24 | Completed | 33.33% | $37.68 | $36.45 | -3.31% | Signal | |
| 2021-07-08 | 2021-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-04-22 | 2021-07-08 | Completed | 33.33% | $34.10 | $35.91 | 5.25% | Signal | |
| 2021-03-30 | 2021-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-10-22 | 2021-03-30 | Completed | 33.33% | $28.82 | $32.55 | 12.88% | Signal | |
| 2020-09-30 | 2020-10-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-01 | 2020-09-30 | Completed | 33.33% | $25.11 | $27.84 | 10.81% | Signal | |
| 2020-02-27 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-02-13 | 2020-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2020-05-07 | 2020-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-16 | 2020-05-07 | Completed | 33.33% | $24.28 | $24.57 | 1.14% | Signal | |
| 2020-01-29 | 2020-04-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2019-11-25 | 2020-02-27 | Completed | 33.33% | $29.07 | $27.12 | -6.76% | Signal | |
| 2019-10-15 | 2020-02-13 | Completed | 33.33% | $29.15 | $28.21 | -3.27% | Signal | |
| 2019-12-23 | 2020-01-29 | Completed | 33.33% | $29.76 | $28.48 | -4.37% | Signal | |
| 2019-11-29 | 2019-12-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-11-06 | 2019-11-29 | Completed | 33.33% | $29.85 | $28.81 | -3.53% | Signal | |
| 2019-06-03 | 2019-11-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2019-10-15 | 2019-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-09-12 | 2019-10-15 | Completed | 33.33% | $28.76 | $29.15 | 1.29% | Signal | |
| 2019-08-19 | 2019-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2019-08-05 | 2019-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2019-07-31 | 2019-08-19 | Completed | 33.33% | $29.33 | $28.27 | -3.67% | Signal | |
| 2019-07-01 | 2019-08-05 | Completed | 33.33% | $29.35 | $28.46 | -3.09% | Signal | |
| 2019-05-13 | 2019-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2019-04-29 | 2019-07-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2019-05-15 | 2019-06-03 | Completed | 33.33% | $29.50 | $28.60 | -3.10% | Signal | |
| 2018-10-05 | 2019-05-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.43% | Interest Income | |
| 2019-03-04 | 2019-05-13 | Completed | 33.33% | $30.07 | $28.88 | -3.98% | Signal | |
| 2019-01-25 | 2019-04-29 | Completed | 33.33% | $29.76 | $29.84 | 0.20% | Signal | |
| 2018-11-30 | 2019-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2018-11-07 | 2019-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2018-10-18 | 2018-11-30 | Completed | 33.33% | $31.95 | $30.20 | -5.54% | Signal | |
| 2018-10-09 | 2018-11-07 | Completed | 33.33% | $31.91 | $31.05 | -2.72% | Signal | |
| 2018-10-05 | 2018-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2018-10-05 | 2018-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |