COMT
iShares GSCI Commodity Dynamic Roll Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.9% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.2%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 68 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.
COMT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.83% | 34.86% | 12.30% | 12.01% | 9.89% | 8.95% | 10.21% | 9.14% |
| Sharpe Ratio | 1.69 | 1.39 | 0.83 | 0.54 | 0.78 | 0.45 | 0.80 | 0.46 |
| Max Drawdown | -12.35% | -17.57% | -17.93% | -29.00% | -17.93% | -39.22% | -17.93% | -39.22% |
| % Time Invested | 93.7% | 100.0% | 76.7% | 100.0% | 76.5% | 100.0% | 78.9% | 100.0% |
| Trades / Year | 9.0 | 0.0 | 8.6 | 0.0 | 6.8 | 0.0 | 7.0 | 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 | ||||||||
| 2026-04-16 | 2026-05-08 | Completed | 33.33% | $33.07 | $34.40 | 3.97% | Stop | |
| 2026-04-16 | 2026-05-08 | Completed | 33.33% | $33.07 | $34.40 | 3.97% | Stop | |
| 2026-03-24 | 2026-04-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-03-24 | 2026-04-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-02-26 | 2026-03-24 | Completed | 33.33% | $27.55 | $32.59 | 18.23% | Stop | |
| 2026-02-26 | 2026-03-24 | Completed | 33.33% | $27.55 | $32.59 | 18.23% | Stop | |
| 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 | |
| 2025-12-30 | 2026-02-03 | Completed | 33.33% | $25.19 | $26.70 | 5.94% | Stop | |
| 2025-10-02 | 2026-02-03 | Completed | 33.33% | $24.73 | $26.70 | 7.91% | Stop | |
| 2024-06-04 | 2025-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 7.11% | Interest Income | |
| 2025-08-11 | 2025-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2025-07-18 | 2025-08-11 | Completed | 33.33% | $24.69 | $24.13 | -2.34% | Signal | |
| 2025-05-12 | 2025-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2025-06-25 | 2025-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-06-03 | 2025-06-25 | Completed | 33.33% | $23.46 | $23.96 | 2.08% | Stop | |
| 2024-10-18 | 2025-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.67% | Interest Income | |
| 2025-05-02 | 2025-05-12 | Completed | 33.33% | $22.73 | $23.45 | 3.13% | Signal | |
| 2025-04-09 | 2025-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-01-23 | 2025-04-09 | Completed | 33.33% | $24.61 | $21.59 | -12.33% | Stop | |
| 2024-08-12 | 2025-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2024-10-01 | 2024-10-18 | Completed | 33.33% | $22.79 | $23.02 | 1.00% | Signal | |
| 2024-09-09 | 2024-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2024-08-01 | 2024-09-09 | Completed | 33.33% | $23.49 | $21.96 | -6.59% | Stop | |
| 2024-04-08 | 2024-08-12 | Completed | 33.33% | $24.70 | $23.26 | -5.88% | Signal | |
| 2024-06-04 | 2024-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2024-04-08 | 2024-06-04 | Completed | 33.33% | $24.70 | $23.30 | -5.73% | Stop | |
| 2024-04-08 | 2024-06-04 | Completed | 33.33% | $24.70 | $23.30 | -5.73% | Stop | |
| 2024-02-29 | 2024-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2023-12-07 | 2024-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.74% | Interest Income | |
| 2023-08-23 | 2024-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.37% | Interest Income | |
| 2024-01-02 | 2024-02-29 | Completed | 33.33% | $22.25 | $22.62 | 1.62% | Signal | |
| 2023-12-07 | 2024-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-11-09 | 2023-12-07 | Completed | 33.33% | $22.86 | $21.97 | -3.95% | Stop | |
| 2023-08-23 | 2023-12-07 | Completed | 33.33% | $23.34 | $21.97 | -5.92% | Stop | |
| 2022-11-21 | 2023-11-09 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.96% | Interest Income | |
| 2023-05-22 | 2023-08-23 | Completed | 33.33% | $21.55 | $23.34 | 8.26% | Signal | |
| 2022-12-07 | 2023-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.53% | Interest Income | |
| 2023-04-28 | 2023-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-04-10 | 2023-04-28 | Completed | 33.33% | $23.13 | $22.11 | -4.48% | Stop | |
| 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% | $23.18 | $21.35 | -7.95% | Stop | |
| 2023-02-07 | 2023-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-12-14 | 2023-02-07 | Completed | 33.33% | $23.41 | $22.81 | -2.63% | Stop | |
| 2022-11-21 | 2022-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2022-10-28 | 2022-12-07 | Completed | 33.33% | $24.49 | $22.99 | -6.19% | Stop | |
| 2022-09-27 | 2022-11-21 | Completed | 33.33% | $22.78 | $23.59 | 3.53% | Stop | |
| 2022-09-27 | 2022-11-21 | Completed | 33.33% | $22.78 | $23.59 | 3.53% | Stop | |
| 2022-08-31 | 2022-10-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2022-09-02 | 2022-09-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-09-02 | 2022-09-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-08-29 | 2022-09-02 | Completed | 33.33% | $25.76 | $24.63 | -4.46% | Stop | |
| 2022-08-29 | 2022-09-02 | Completed | 33.33% | $25.76 | $24.63 | -4.46% | Stop | |
| 2022-07-26 | 2022-08-31 | Completed | 33.33% | $25.37 | $25.00 | -1.49% | Signal | |
| 2022-08-05 | 2022-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2022-08-05 | 2022-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2022-07-14 | 2022-08-05 | Completed | 33.33% | $23.93 | $23.91 | -0.13% | Stop | |
| 2022-07-14 | 2022-08-05 | Completed | 33.33% | $23.93 | $23.91 | -0.13% | Stop | |
| 2022-07-01 | 2022-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | 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 | |
| 2022-04-01 | 2022-07-01 | Completed | 33.33% | $25.61 | $26.68 | 4.14% | Stop | |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $27.35 | $27.90 | 1.99% | Stop | |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $27.35 | $27.90 | 1.99% | 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% | $25.61 | $26.34 | 2.81% | Stop | |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $25.61 | $26.34 | 2.81% | Stop | |
| 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 | |
| 2022-03-10 | 2022-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-12-23 | 2022-03-10 | Completed | 33.33% | $19.53 | $26.07 | 33.42% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $19.12 | $26.07 | 36.24% | Stop | |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $19.12 | $26.07 | 36.24% | Stop | |
| 2021-12-01 | 2021-12-23 | 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 | |
| 2021-11-29 | 2021-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-09 | 2021-12-01 | Completed | 33.33% | $13.19 | $18.80 | 42.45% | Stop | |
| 2021-08-11 | 2021-11-29 | Completed | 33.33% | $18.33 | $19.55 | 6.59% | Stop | |
| 2021-08-11 | 2021-11-29 | Completed | 33.33% | $18.33 | $19.55 | 6.59% | Stop | |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-04-13 | 2021-07-20 | Completed | 33.33% | $16.55 | $17.83 | 7.70% | Stop | |
| 2020-07-09 | 2021-07-20 | Completed | 33.33% | $13.19 | $17.83 | 35.08% | Stop | |
| 2021-03-19 | 2021-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-09 | 2021-03-19 | Completed | 33.33% | $13.19 | $16.22 | 22.85% | Stop | |
| 2020-02-26 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2020-02-03 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2020-02-03 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2019-12-04 | 2020-02-26 | Completed | 33.33% | $16.91 | $15.85 | -6.31% | Stop | |
| 2019-12-13 | 2020-02-03 | Completed | 33.33% | $17.36 | $16.25 | -6.39% | Stop | |
| 2019-12-13 | 2020-02-03 | Completed | 33.33% | $17.36 | $16.25 | -6.39% | Stop | |
| 2019-08-06 | 2019-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2018-12-11 | 2019-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.16% | Interest Income | |
| 2019-07-08 | 2019-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2019-06-06 | 2019-08-06 | Completed | 33.33% | $16.34 | $16.49 | 0.82% | Stop | |
| 2019-04-11 | 2019-07-08 | Completed | 33.33% | $17.84 | $17.15 | -3.89% | Signal | |
| 2019-05-14 | 2019-06-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-01-14 | 2019-05-14 | Completed | 33.33% | $16.68 | $16.90 | 1.28% | Stop | |
| 2018-09-13 | 2019-04-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2018-12-19 | 2019-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-15 | 2018-12-19 | Completed | 33.33% | $17.28 | $16.32 | -5.61% | Stop | |
| 2018-11-15 | 2018-12-11 | Completed | 33.33% | $17.28 | $16.80 | -2.82% | Signal | |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-07-13 | 2018-10-24 | Completed | 33.33% | $18.24 | $18.06 | -1.06% | Stop | |
| 2018-07-13 | 2018-10-24 | Completed | 33.33% | $18.24 | $18.06 | -1.06% | Stop | |
| 2017-07-03 | 2018-09-13 | Completed | 33.33% | $14.79 | $18.26 | 23.37% | Signal | |
| 2018-06-20 | 2018-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2018-06-20 | 2018-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2018-03-06 | 2018-06-20 | Completed | 33.33% | $17.51 | $18.21 | 3.91% | Stop | |
| 2018-03-06 | 2018-06-20 | Completed | 33.33% | $17.51 | $18.21 | 3.91% | Stop | |
| 2018-02-09 | 2018-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2018-02-09 | 2018-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-11-06 | 2018-02-09 | Completed | 33.33% | $16.59 | $16.85 | 1.55% | Stop | |
| 2017-05-30 | 2018-02-09 | Completed | 33.33% | $14.93 | $16.85 | 12.87% | Stop | |
| 2017-08-07 | 2017-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2017-05-30 | 2017-08-07 | Completed | 33.33% | $14.93 | $15.35 | 2.77% | Signal | |
| 2017-05-12 | 2017-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2017-05-05 | 2017-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2017-05-05 | 2017-05-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2016-11-14 | 2017-05-12 | Completed | 33.33% | $14.16 | $14.77 | 4.29% | Signal | |
| 2017-04-12 | 2017-05-05 | Completed | 33.33% | $15.61 | $14.50 | -7.16% | Stop | |
| 2017-04-03 | 2017-05-05 | Completed | 33.33% | $15.16 | $14.50 | -4.39% | Stop | |
| 2016-11-10 | 2017-04-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2017-03-10 | 2017-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2017-02-03 | 2017-03-10 | Completed | 33.33% | $15.74 | $15.00 | -4.79% | Stop | |
| 2017-01-11 | 2017-02-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2016-11-14 | 2017-01-11 | Completed | 33.33% | $14.16 | $15.41 | 8.77% | Stop | |
| 2016-11-10 | 2016-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2016-11-10 | 2016-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |