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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -32.5% (compared to the benchmark's drawdown of -70.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.1%, compared to a Buy-and-Hold benchmark return of 1.4%. The strategy executed 14 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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 | 27.73% | 38.65% | 6.96% | 11.65% | 7.58% | 7.71% | 5.09% | 1.43% |
| Sharpe Ratio | 1.29 | 1.67 | 0.41 | 0.58 | 0.53 | 0.44 | 0.39 | 0.08 |
| Max Drawdown | -16.42% | -16.42% | -32.48% | -28.98% | -32.48% | -38.36% | -32.48% | -70.19% |
| % Time Invested | 93.7% | 100.0% | 69.2% | 100.0% | 65.2% | 100.0% | 55.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 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 | ||||||||
| 2024-12-23 | 2025-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-10-29 | 2024-12-23 | Completed | 100% | $31.73 | $31.57 | -0.55% | Signal | |
| 2024-08-28 | 2024-10-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2024-04-09 | 2024-08-28 | Completed | 100% | $32.56 | $30.65 | -5.91% | Signal | |
| 2023-12-22 | 2024-04-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.53% | Interest Income | |
| 2023-09-11 | 2023-12-22 | Completed | 100% | $32.76 | $30.72 | -6.27% | Signal | |
| 2023-05-03 | 2023-09-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.89% | Interest Income | |
| 2023-04-19 | 2023-05-03 | Completed | 100% | $32.27 | $30.28 | -6.21% | Stop | |
| 2022-10-05 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.39% | Interest Income | |
| 2022-07-26 | 2022-10-05 | Completed | 100% | $35.79 | $34.42 | -3.88% | Signal | |
| 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 | |
| 2020-02-26 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-12-19 | 2020-02-26 | Completed | 100% | $22.62 | $20.58 | -9.06% | Signal | |
| 2018-08-01 | 2019-12-19 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.00% | Interest Income | |
| 2017-07-05 | 2018-08-01 | Completed | 100% | $22.66 | $23.52 | 3.74% | Signal | |
| 2017-04-28 | 2017-07-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-06-01 | 2017-04-28 | Completed | 100% | $23.38 | $23.09 | -1.29% | Signal | |
| 2014-08-21 | 2016-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2013-12-12 | 2014-08-21 | Completed | 100% | $37.20 | $36.36 | -2.31% | Signal | |
| 2013-02-07 | 2013-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2012-08-23 | 2013-02-07 | Completed | 100% | $43.81 | $42.14 | -3.86% | Signal | |
| 2011-08-11 | 2012-08-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2010-06-16 | 2011-08-11 | Completed | 100% | $38.61 | $46.68 | 20.84% | Signal | |
| 2010-05-20 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-07 | 2010-05-20 | Completed | 100% | $35.75 | $36.93 | 3.25% | Stop | |
| 2008-11-25 | 2009-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |