DJP
iPath Bloomberg Commodity Index Total Return ETN
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for DJP (iPath Bloomberg Commodity Index Total Return ETN) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -44.0% (compared to the benchmark's drawdown of -70.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 1.4%. The strategy executed 15 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.
Switch to MMA to enable
DJP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.37% | 38.65% | 6.70% | 11.65% | 7.05% | 7.71% | 1.94% | 1.43% |
| Sharpe Ratio | 1.50 | 1.67 | 0.40 | 0.58 | 0.50 | 0.44 | 0.15 | 0.08 |
| Max Drawdown | -16.42% | -16.42% | -30.33% | -28.98% | -30.33% | -38.36% | -44.05% | -70.19% |
| % Time Invested | 91.7% | 100.0% | 63.7% | 100.0% | 55.4% | 100.0% | 50.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 0.9 | 0.0 | 0.8 | 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 | ||||||||
| 2025-04-07 | 2025-07-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2025-02-12 | 2025-04-07 | Completed | 100% | $34.67 | $32.55 | -6.16% | Stop | |
| 2024-07-22 | 2025-02-12 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2024-04-09 | 2024-07-22 | Completed | 100% | $32.56 | $30.87 | -5.24% | Stop | |
| 2023-07-11 | 2024-04-09 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.08% | Interest Income | |
| 2023-03-02 | 2023-07-11 | Completed | 100% | $31.96 | $31.01 | -3.02% | Signal | |
| 2023-02-07 | 2023-03-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-07-26 | 2023-02-07 | Completed | 100% | $35.79 | $31.89 | -10.94% | Stop | |
| 2022-07-01 | 2022-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2020-07-09 | 2022-07-01 | Completed | 100% | $18.34 | $35.10 | 91.29% | Stop | |
| 2019-01-24 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.27% | Interest Income | |
| 2019-01-22 | 2019-01-24 | Completed | 100% | $22.37 | $22.26 | -0.54% | Signal | |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-06-11 | 2018-12-27 | Completed | 100% | $25.15 | $21.40 | -14.95% | Stop | |
| 2018-02-08 | 2018-06-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2017-05-09 | 2018-02-08 | Completed | 100% | $22.57 | $24.24 | 7.35% | Signal | |
| 2014-09-15 | 2017-05-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2013-12-12 | 2014-09-15 | Completed | 100% | $37.20 | $35.08 | -5.75% | Stop | |
| 2013-04-03 | 2013-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-01-22 | 2013-04-03 | Completed | 100% | $42.16 | $39.94 | -5.31% | Stop | |
| 2012-12-14 | 2013-01-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-08-23 | 2012-12-14 | Completed | 100% | $43.81 | $41.52 | -5.27% | Stop | |
| 2012-05-29 | 2012-08-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-10-17 | 2012-05-29 | Completed | 100% | $44.40 | $39.45 | -11.19% | Stop | |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-16 | 2011-09-23 | Completed | 100% | $38.61 | $43.20 | 11.83% | Stop | |
| 2009-02-18 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2008-11-28 | 2009-02-18 | Completed | 100% | $36.99 | $31.26 | -15.53% | Stop | |
| 2008-11-25 | 2008-11-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |