Weekly DBC momentum sleeve or BSV/QQQ gates → QQQ / Not Boring
Strategy overview
A weekly rotation strategy that favors a commodities momentum sleeve when broad commodity trend is strong, and otherwise switches between equity and risk-managed sleeves based on short-term stress gates.
Performance
OOS from Jun 23, 2023 (dashed line).
Key Performance Indicators
231.6%Total return (6.8 yr)
19.2%CAGR (6.8 yr)
23.4%Max drawdownSPY 32.9%
0.95Sharpe ratioSPY 0.68
1.42Sortino ratioSPY 1.00
WeeklyTrading frequency
—OOS start
$27KMin. capitalCovers $100/mo fees using 4.5% excess CAGR over SPY (19.2% vs 14.7%), both annualized over the same 6.8-year backtest (Jan 2020 – Oct 2026). Based on backtest; not a guarantee.
Drawdowns
Backtest report
| Series | Total return | CAGR | Max DD (monthly) | Max DD (daily) |
|---|---|---|---|---|
| Strategy | 231.63% | 19.23% | 23.41% | 23.41% |
| SPY (buy & hold) | 155.09% | 14.73% | 32.59% | 32.90% |
| BIL (buy & hold) | 20.30% | 2.75% | 0.19% | 0.21% |