Step 1: Enter the stock ticker for the fund you would like to be invested in when it is above the moving average.Step 2: Enter the cash ticker for the fund you would like to be inveted in when the stock ticker is below the moving average.Step 3: Enter the dates for when you would like the backtest to start and to end.Step 4: Select the moving average filter length and type, when the stock ticker is below this moving average the backtester will invest in the cash filter, when the stock ticker is above this moving average the backtester will invest in the stock ticker input.Step 5: Select whether you would like to use 2 Moving Averages or not. If you use 2 moving averages then the logic will wait for the moving averages to cross. If you use 1 moving average (default) the logic will wait for the price of the 'stock' fund to cross the moving average only.Step 6: Select how often you would like to check if the stock ticker is above or below the moving average (Frequency of Updates).
Results show the equity curve and statistics for the Moving Average Filter applied to the stock ticker compared against the S&P 500 Index.
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.htmlThis product uses the FRED® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.
Click Button to Load Fund into 'Stock' Ticker:
Enter the stock ticker you would like to use.
Note: cash filter is applied to funds total value including dividend/split adjustments.
Click Button to Load Fund into 'Cash Ticker' Entry:
Enter the cash ticker you would like to use, one entry per line
The ratio of two funds indicates their relative performance. When ratio rises the stock fund is doing well, when the ratio falls the stock fund is doing poorly compared to the cash fund.
How often the backtester checks the moving average condition.
If a second Moving Average (the short moving average) is used the logic will wait for the 2 moving averages to cross.
Selecting this input will limit drawdown to the input percent by investing in the cash filter fund if the strategy equity ever goes below the set drawdown limit. Keep in mind this condition is only checked at each period end, so drawdown may be larger than this limit.
Below is the next periods update as of the end simulation date:
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.
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.
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.
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