Step 1: Enter the tickers you would like to be in your portfolio, one per line. Step 2: Enter the weightings in % for the corresponding fund ticker entered in Step 1. Step 3: Select a start and end date for the simulation. Step 4: Select the length of the Absolute Momentum Filter you would like applied to each fund in the portfolio. Step 5: The Absolute Momentum will trigger a move to the cash fund when the performance of a stock is less than the fund selected in the absolute momentum section (treasury bill rate).

Results show the equity curve and statistics for the entered portfolio being rebalanced Yearly, Quarterly, Monthly, and for no rebalancing (Buy and Hold).

Data Source for Backtesting

Select Stock Exchange To Lookup Symbols

Select exchange here, then enter tickers normally. Ex. VCN should be entered for Vangaurd FTSE Canada All Cap fund.

This data is provided partially by St. Louis Fed Web Services [FRED], read their terms of service before using: https://research.stlouisfed.org/docs/api/terms_of_use.html This product uses the FRED® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.

Select a Pre-Built (Example) Portfolio

These Portfolios are examples only, and should not be considered recommendations or investment advise.

Click Button to Load Cash Fund below:

Absolute Momentum Fund:

Absolute momentum is an asset excess return , which is calculated by taken the return of the asset for a giving period of time LESS the Treasury bill rate. Select the length for the absolute momentum, then select the desired fund for the treasury bill rate.

Length of Absolute Momentum Filter (days):

Ticker(s)

Weight(s) (%)

Minimum % of Stock Portfolio to Hold (When Absolute Momentum Filter Active):

Start Backtest

End Backtest

Frequency of Updates

Number of Weeks Between Updates

Number of Days Between Updates

How often the backtester checks the moving average conditions & rebalances portfolio.

Note: Please save all settings before exiting or reloading this page. You may use the download settings button at the bottom of the page, settings are also recorded in the downloadable report.

If you would like to save your settings copy the below URL, and bookmark it. When you would like to resume, visit this bookmark and settings will be filled in automatically.

Show Log Plot

Monte Carlo Simulation

Runs a Monte Carlo Simulation based on backtest results. Backtest Results give a value for expected return % (CAGR), and volatility %. Using these two numbers the Monte Carlo calculates future expected returns. Since the values used to calculate are based on backtest results the model is only accurate if the backtest is an accurate representation of the future.

Select Monte Carlo Style: Savings or Withdraw

These values are used in the simulation to determine expected future performance, thus the Monte Carlo is only as accurate as these numbers are accurate.

Annual Inflation (%):

Annual Inflation Volatility (%):

Duration of Monte Carlo Simulation (yrs)

Investment Advisor Annual Fees (%)

Monthly Deposits into Account ($):

Current Account Size ($):

Length of Time in Trade vs. Trade Return %

Percent Allocation Per Symbol

Performance Summary

Annual Performance

Downloads

The spreadsheets below can be downloaded and imported into the Combined Portfolio App or Portfolio Rotation or Portfolio Moving Average Tools or edited in Excel Download Daily Equity Report for the Moving Average Timed Portfolio

All settings and symbols can be downloaded below for later reference. Download Settings

A HTML Report can be downloaded below with settings and equity curve information, please save file to drive before opening. This file may be shared with others or saved to your computer for future reference. Download HTML Report

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