Commodity Momentum Backtest
A momentum-rotation strategy applied to commodities. Each month-end the strategy ranks 16 commodities by their trailing 6-month return and holds the top-3 equal-weight for the next month. Signals use only data available at month-end t; the return is realized over month t → t+1 — no lookahead. Variants tested below: top-5, a blended 3/6/12-month signal, a volatility filter (only the least-volatile 75% of commodities are eligible), a positive-momentum-only rule (else cash), and a 1/3 gold overlay.
Variant comparison
| Strategy | Total | CAGR | Max DD | Sharpe | Win % | Best mo | Worst mo |
|---|---|---|---|---|---|---|---|
| Top-3, 6m signal, low-vol 75% only | 257.2% | 6.93% | 65.9% | 0.40 | 54.4% | 18.82% | -18.34% |
| 1/3 gold + top-2, 6m signal | 138.8% | 4.69% | 50.4% | 0.32 | 51.3% | 16.47% | -17.67% |
| Top-5, 6m signal | 48.0% | 2.09% | 68.2% | 0.20 | 53.5% | 15.05% | -20.12% |
| Top-3, 6m signal (baseline) | 34.3% | 1.56% | 71.1% | 0.19 | 50.4% | 18.82% | -20.67% |
| Top-3, 6m signal, positive-only (else cash) | 5.2% | 0.27% | 76.4% | 0.14 | 49.1% | 18.82% | -20.67% |
| Top-3, blended 3/6/12m signal | -39.0% | -2.57% | 79.8% | 0.03 | 51.3% | 17.96% | -20.67% |
| Bench: Buy & hold Gold | 611.2% | 10.31% | 42.0% | 0.66 | 55.4% | 13.87% | -18.01% |
| Bench: Buy & hold S&P 500 | 497.1% | 9.35% | 52.6% | 0.66 | 64.6% | 12.68% | -16.94% |
Highlighted row = best variant by CAGR (winner). Benchmarks share the same month grid.
Annual returns — winner vs benchmarks
| Year | Winner | Gold | S&P 500 |
|---|---|---|---|
| 2007 | 29.3% | 41.5% | -4.2% |
| 2008 | -24.4% | 0.5% | -40.1% |
| 2009 | 54.6% | 16.8% | 30.0% |
| 2010 | 47.5% | 23.2% | 19.8% |
| 2011 | -27.7% | 30.3% | 2.0% |
| 2012 | -12.7% | -4.4% | 14.1% |
| 2013 | -8.3% | -25.3% | 19.0% |
| 2014 | -5.3% | 3.1% | 11.9% |
| 2015 | -23.4% | -12.7% | -2.7% |
| 2016 | 9.1% | 8.3% | 17.5% |
| 2017 | 15.2% | 10.8% | 23.9% |
| 2018 | 30.2% | -1.4% | -4.2% |
| 2019 | 20.3% | 19.9% | 19.3% |
| 2020 | 5.4% | 16.7% | 15.2% |
| 2021 | 31.4% | -2.8% | 21.6% |
| 2022 | -13.7% | 7.5% | -9.7% |
| 2023 | -12.0% | 6.2% | 18.9% |
| 2024 | 7.3% | 37.3% | 24.7% |
| 2025 | 80.5% | 67.6% | 14.9% |
| 2026 | -4.6% | -5.6% | 12.2% |
Latest holdings (winner: Top-3, 6m signal, low-vol 75% only)
Cotton · Wheat · Soybeans
Methodology: monthly rebalance at month-end, equal weight, trailing 6-month return signal computed on month-end closes from Yahoo Finance daily data. Metrics: CAGR annualized from monthly returns, max drawdown on the monthly equity curve, Sharpe = mean/stdev × √12 (risk-free = 0). Past performance does not predict future results. Not investment advice.