Step 1: Enter the tickers you would like to be in your Risk On Portfolio, one per line.Step 2: Enter the tickers you would like to be in your Risk Off [Cash] Portfolio, one per line. You may enter 1 or more tickers, if you would like there to be only 1 cash fund then just enter a single fund in this portfolio.Step 3: Enter the weightings in % for the corresponding fund ticker entered in Step 1 and Step 2.Step 4: Select a start and end date for the simulation.Step 5: Select the type and length of the moving average filter you would like to apply to the moving average filter fund.Step 6: Enter the fund you would like to use as the Risk On/Risk Off decision fund. When the price of this fund is above the moving average, the Risk On Portfolio will be invested, when below the Risk Off Portfolio will be invested.Step 7: Select if you would like to use moving average channels. Channels invests in the Risk On Portfolio 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 Risk Off Portfolio as long as the price remains below the upper band.Step 8: If you would like to set a minimum for the Risk On Portfolio in % set that value to something other than 0% invested.
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 Risk On/Off Selection Fund below:
When this fund is above the selected moving averages the Risk ON Portfolio will be investedWhen this fund is below the selected moving averages the Risk OF Portfolio will be invested
If select instead of using the Risk On/Off Selection Fund specified below, the moving average of the equity curve of the Risk ON Portfolio will be used to determine when to invest.
If a second Moving Average (the short moving average) is used the logic will wait for the 2 moving averages to cross.
Minumum % of each portfolio you would like to hold. If you would not like to completely de-invest in the Risk ON Portfolio when it goes below a moving average, specify the percentage you would like to hold here.
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