Composer
Pick the Trending Commodity
Fragile
“Six equal slices, each holds its commodity only if it outperformed 7–10 year US Treasuries (IEF) over the past month; otherwise that slice parks in IEF.”
From Composer
As tested: Monthly: GLD, DBA, DBB, DBO, URA and WOOD each hold a sixth if their 21-session return beats IEF's, else that sixth sits in IEF.
Holding today: IEF 83% · DBB 17% · last switch Oct 12, 2026
Edge per month-0.36 pts/mopts per month vs SPY
t-stat-0.9495% range -1.13 to +0.40
Months120Nov 1, 2016 – Oct 12, 2026
CAGR11.6%SPY 15.8%
Max drawdown-17.4%SPY -33.8%
Since published-0.40 pts/mo56 months from Feb 13, 2022; -0.44 pts/mo before
Last 12 months-1.74 pts12 months, summed
Why fragile
- t-stat -0.94 is inside the noise
- 82% of resamples have no edge
- only 0% of nudged versions keep the edge, so it's a lucky setting
- the edge vanished after publication: -0.40 since it was published in 2022-02, vs -0.44 before
Growth of $1
Pick the Trending CommoditySPY
Log scale. Traded at the next open after each signal, monthly rebalance, slippage on every trade.
Year by year
2016
-2.27 pts/mo2
2017
-0.24 pts/mo12
2018
+0.15 pts/mo12
2019
-1.89 pts/mo12
2020
+0.27 pts/mo12
2021
-0.82 pts/mo12
2022
+1.34 pts/mo12
2023
-0.97 pts/mo12
2024
-1.32 pts/mo12
2025
+0.13 pts/mo12
2026
+0.10 pts/mo10