SDCI Uscf Summerhaven Dynamic Commodity Strategy No K-1 Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SDCI (Uscf Summerhaven Dynamic Commodity Strategy No K-1 Fund) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.0% (compared to the benchmark's drawdown of -18.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 22.3%, compared to a Buy-and-Hold benchmark return of 25.7%. The strategy executed 41 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
SDCI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 39.07% | 41.21% | 16.71% | 19.94% | 22.31% | 25.67% |
| Sharpe Ratio | 2.05 | 2.05 | 1.06 | 0.98 | 1.41 | 1.29 |
| Max Drawdown | -8.16% | -9.04% | -14.99% | -18.55% | -14.99% | -18.55% |
| % Time Invested | 100.0% | 100.0% | 91.1% | 100.0% | 90.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 7.4 | 0.0 | 6.9 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-02-26 | Open | Open | 33.33% | $23.98 | $28.00 | 16.76% | Mark-to-Market |
| 2026-02-26 | Open | Open | 33.33% | $23.98 | $28.00 | 16.76% | Mark-to-Market |
| 2025-05-02 | Open | Open | 33.33% | $19.57 | $28.00 | 43.05% | Mark-to-Market |
| 2026-02-03 | 2026-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2026-02-03 | 2026-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-04-30 | 2026-02-03 | Completed | 33.33% | $19.62 | $23.37 | 19.10% | Stop |
| 2025-04-30 | 2026-02-03 | Completed | 33.33% | $19.62 | $23.37 | 19.10% | Stop |
| 2025-04-09 | 2025-05-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2024-11-22 | 2025-04-09 | Completed | 33.33% | $18.40 | $18.64 | 1.32% | Stop |
| 2024-08-27 | 2025-04-07 | Completed | 33.33% | $17.47 | $19.16 | 9.69% | Stop |
| 2024-08-27 | 2025-04-07 | Completed | 33.33% | $17.47 | $19.16 | 9.69% | Stop |
| 2024-10-02 | 2024-11-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income |
| 2024-08-29 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2024-04-08 | 2024-08-29 | Completed | 33.33% | $17.83 | $17.33 | -2.83% | Signal |
| 2024-08-05 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2024-08-05 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2024-05-28 | 2024-08-05 | Completed | 33.33% | $17.87 | $16.61 | -7.03% | Stop |
| 2024-05-20 | 2024-08-05 | Completed | 33.33% | $17.71 | $16.61 | -6.22% | Stop |
| 2024-05-03 | 2024-05-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2024-01-29 | 2024-05-20 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.09% | Interest Income |
| 2023-12-04 | 2024-05-03 | Completed | 33.33% | $16.21 | $17.17 | 5.91% | Stop |
| 2023-12-27 | 2024-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.08% | Interest Income |
| 2023-12-04 | 2024-01-29 | Completed | 33.33% | $16.21 | $16.32 | 0.66% | Signal |
| 2023-07-27 | 2023-12-27 | Completed | 33.33% | $16.61 | $16.22 | -2.37% | Signal |
| 2023-11-09 | 2023-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2023-11-09 | 2023-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2023-10-27 | 2023-11-09 | Completed | 33.33% | $17.41 | $16.21 | -6.92% | Stop |
| 2023-10-27 | 2023-11-09 | Completed | 33.33% | $17.41 | $16.21 | -6.92% | Stop |
| 2023-10-05 | 2023-10-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2023-10-05 | 2023-10-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2023-07-27 | 2023-10-05 | Completed | 33.33% | $16.61 | $15.97 | -3.90% | Stop |
| 2023-07-24 | 2023-10-05 | Completed | 33.33% | $16.47 | $15.97 | -3.07% | Stop |
| 2023-06-02 | 2023-07-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.06% | Interest Income |
| 2023-06-02 | 2023-07-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.06% | Interest Income |
| 2023-06-29 | 2023-07-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2023-05-26 | 2023-06-29 | Completed | 33.33% | $15.04 | $14.85 | -1.29% | Stop |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-05-04 | 2023-05-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-04-06 | 2023-05-04 | Completed | 33.33% | $15.47 | $14.72 | -4.85% | Stop |
| 2023-04-04 | 2023-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-03-30 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-03-15 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income |
| 2022-12-14 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-21 | 2023-03-30 | Completed | 33.33% | $15.66 | $15.10 | -3.54% | Signal |
| 2023-02-28 | 2023-03-15 | Completed | 33.33% | $15.27 | $14.66 | -3.98% | Stop |
| 2023-02-03 | 2023-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2022-11-25 | 2023-02-03 | Completed | 33.33% | $15.22 | $15.48 | 1.68% | Stop |
| 2022-12-02 | 2022-12-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-11-25 | 2022-12-14 | Completed | 33.33% | $15.22 | $15.61 | 2.56% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-11-02 | 2022-11-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-11-02 | 2022-11-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-09-27 | 2022-11-02 | Completed | 33.33% | $14.46 | $15.46 | 6.87% | Stop |
| 2022-09-27 | 2022-11-02 | Completed | 33.33% | $14.46 | $15.46 | 6.87% | Stop |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-09-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-09-02 | 2022-09-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-07-14 | 2022-09-02 | Completed | 33.33% | $14.10 | $15.05 | 6.71% | Stop |
| 2022-07-14 | 2022-09-02 | Completed | 33.33% | $14.10 | $15.05 | 6.71% | Stop |
| 2022-08-31 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-07-19 | 2022-08-31 | Completed | 33.33% | $14.62 | $15.45 | 5.68% | Signal |
| 2022-06-24 | 2022-07-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-04-01 | 2022-06-24 | Completed | 33.33% | $15.34 | $15.49 | 1.00% | Stop |
| 2022-06-03 | 2022-06-21 | Completed | 33.33% | $17.17 | $16.54 | -3.67% | Stop |
| 2022-06-03 | 2022-06-21 | Completed | 33.33% | $17.17 | $16.54 | -3.67% | Stop |
| 2022-05-11 | 2022-06-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-05-11 | 2022-06-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-04-01 | 2022-05-11 | Completed | 33.33% | $15.34 | $17.00 | 10.85% | Stop |
| 2022-04-01 | 2022-05-11 | Completed | 33.33% | $15.34 | $17.00 | 10.85% | Stop |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $11.58 | $15.63 | 34.98% | Stop |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $11.58 | $15.63 | 34.98% | Stop |
| 2020-07-09 | 2022-03-10 | Completed | 33.33% | $7.22 | $15.63 | 116.36% | Stop |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $11.07 | $11.54 | 4.19% | Stop |
| 2021-09-15 | 2021-11-29 | Completed | 33.33% | $11.07 | $11.54 | 4.19% | Stop |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-07-13 | 2021-08-23 | Completed | 33.33% | $11.11 | $10.79 | -2.85% | Stop |
| 2021-07-13 | 2021-08-23 | Completed | 33.33% | $11.11 | $10.79 | -2.85% | Stop |
| 2021-06-18 | 2021-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-06-18 | 2021-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-20 | 2021-06-18 | Completed | 33.33% | $10.38 | $10.64 | 2.51% | Stop |
| 2020-07-09 | 2021-06-18 | Completed | 33.33% | $7.22 | $10.64 | 47.34% | Stop |
| 2021-04-05 | 2021-04-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-03-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-07-09 | 2021-03-26 | Completed | 33.33% | $7.22 | $9.77 | 35.18% | Stop |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |