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 type and length of the moving average filter you would like applied to each fund in the portfolio.Step 5: The main moving average will trigger a move to the cash fund when the price of a stock is below this moving average, if you would like to only move to cash when 2 moving averages cross, select the 'Use Second Moving Average' box and setup the second moving average length.Step 6: Select if you would like to use moving average channels. Channels invests in the stock fund when the price is above the moving average band or as long as the price hasn't fallen below the lower band, once it is below the lower band it will invest in the cash fund as long as the price remains below the upper band.
Results show the equity curve and statistics for the entered portfolio being rebalanced Yearly, Quarterly, Monthly, and for no rebalancing (Buy and Hold).
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.
These Portfolios are examples only, and should not be considered recommendations or investment advise.
Click Button to Load Cash Fund below:
When a fund in your portfolio is below the moving average (setup below) this fund will be invested instead of the poorly performing fund. Note: cash filter is applied to funds total value including dividend/split adjustments.
If channels are used the strategy will wait for the price to cross above the upper channel to invest, and below the lower channel to de-invest.
Buy will be performed when price of fund exceeds the moving average + the % entered here
Sell (go to cash fund) will be performed when price of fund drops below the moving average - the % entered here
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.
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.
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