Step 1: Enter the tickers you would like to be in your portfolio.Step 2: Enter the start and end dates for the simulation.Step 3: Select how often you would like to update the asset allocations (Frequency of Updates).Step 4: Enter the number of funds from your 'Tickers' list (Step 1) that you would like to choose each month based on which ones are the strongest (TOP N).Step 5: Enter the 'Keep Position Until Rank is Below' value, this value determines when a fund is removed from the rotation. Instead of just picking the Top N each period you may choose to choose the Top N but only un-invest in a fund when it falls below this rank (KEEP K). Note this does not affect the TOP N output only the TOP N KEEP K output.Step 6: If you would like to use a cash filter check the box 'Use Cash Filter' and enter the cash filter ticker and moving average length and type. If a fund from Step 1 is below the moving average setup in this section then instead of investing in that fund the cash filter option will allow you to invest in the cash filter fund instead.Step 7: In the 'Settings for Calculating Symbols to Invest In' section enter the weightings and calculation lengths for determining how the position score is calculated. The position score calculated determines which funds entered in Step 1 are the strongest, and therefore get chosen as the winners each period.Step 8: In the 'Settings for Calculating Asset Allocation' if you selecting more than 1 fund per rotation (TOP N value is greater than 1) then you have the option to weight the selected funds using adaptive asset allocation. Select the asset allocation scheme you would like to use and adjust the settings for how to calculate the adaptive asset allocation (see adaptive asset allocation tool for more information).
Stop Loss Settings
Select the Categories of Funds You Would Like to Invest in Below
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.
US Equities
Index this data is based on: Russell 1000 [Data Since 1924]
Index this data is based on: Russell 1000 Value [Data Since 1931]
Index this data is based on: Russell 1000 Growth [Data Since 1925]
Index this data is based on: Russell Midcap [Data Since 1938]
Index this data is based on: Russell Midcap Value [Data Since 1949]
Index this data is based on: Russell Mid Cap Growth [Data Since 1935]
Index this data is based on: Russell 2000 [Data Since 1956]
Index this data is based on: Russell 2000 Value [Data Since 1968]
Index this data is based on: Russell 2000 Growth [Data Since 1946]
Index this data is based on: Wilshire US Micro-Cap Total Market Index [Data Since 1978]
Index this data is based on: London Bullion Market Association (LBMA) Gold Price [Data Since 1968]
Index this data is based on: BofA Merrill Lynch - Convertible Bonds All Qualities [Data Since 1956]
Index this data is based on: S&P 1500 Telecom Services [Data Since 1984]
Index this data is based on: Index: S&P 1500 Energy TR [Data Since 1981]
Index this data is based on: S&P 1500 Cons Staples TR [Data Since 1989]
Index this data is based on: S&P 1500 Financials [Data Since 1963]
Index this data is based on: S&P 1500 Health Care [Data Since 1981]
Index this data is based on: S&P North American Natural Resources [Data Since 1969]
Index this data is based on: MSCI World - Metals & Mining [Data Since 1956]
Index this data is based on: Wilshire US Real Estate Investment Trust Total Market Index [Data Since 1977]
Data Since 1948
Index this data is based on: S&P 1500 Utilities [Data Since 1948]
World Equities
Data Since 1954
Index this data is based on: MSCI ACWI Ex USA [Data Since 1961]
Index this data is based on: MSCI ACWI Ex USA Value [Data Since 1981]
Index this data is based on: MSCI ACWI Ex USA Growth [Data Since 1981]
Index this data is based on: MSCI World Ex USA SMALL-MID Value [Data Since 1991]
Index this data is based on: MSCI World Ex USA SMALL-MID Growth [Data Since 1988]
Index this data is based on: MSCI EM [Data Since 1989]
Index this data is based on: MSCI Europe [Data Since 1986]
Index this data is based on: MSCI China [Data Since 1992]
Index this data is based on: MSCI AC Far East Ex Japan [Data Since 1989]
Index this data is based on: MSCI Japan [Data Since 1962]
Index this data is based on: MSCI EM Latin America [Data Since 1991]
Index this data is based on: S&P Global REIT [Data Since 1989]
US/World Bonds
Index this data is based on: Barclays US Government Long [Data Since 1983]
Index this data is based on: Barclays US Government [Data Since 1969]
Index this data is based on: Barclays Government 1-5 Yr [Data Since 1975]
Index this data is based on: Barclays US Treasury US TIPS [Data Since 1988]
Index this data is based on: Barclays US Govt/Credit Long [Data Since 1973]
Index this data is based on: Barclays US Agg Bond [Data Since 1954]
Index this data is based on: Barclays US Govt/Credit 1-5 Yr [Data Since 1971]
Index this data is based on: Barclays Govt/Corp 1 Yr Duration [Data Since 1983]
Index this data is based on: BofA Merrill Lynch US High Yield Master II [Data Since 1935]
Index this data is based on: JPM EMBI Global [Data Since 1994]
Index this data is based on: Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Index this data is based on: Barclays Municipal 20 Yr 17-22 [Data Since 1976]
Index this data is based on: Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Index this data is based on: Barclays Municipal 3 Yr 2-4 [Data Since 1977]
Tickers
Tickers should be separated by a commaExample: SPY,MDY,TLT
For CryptoCurrencies enter the exchange then an underscore then ticker, ex. enter: USDT_BTC for the USDT exchange and the BTC ticker. See https://poloniex.com/ for more information.
Select exchange here, then enter tickers normally. Ex. VCN should be entered for Vangaurd FTSE Canada All Cap fund.
How often the backtester rotates into the strongest N funds the portfolio.
The number of funds from the 'Tickers' list to be chosen to invest in each period.
Keep K: The rank value at which a fund is removed from portfolio (only affects the TopN KeepK output, not the TopN only output).
Allows users to enter current shares & desired allocation, and get the # of shares to buy or sell quickly and easily.
Allocation for Next Period (tentative)
Settings for Cash Filter
When a fund from the 'Tickers' list is below this moving average then the backtester will choose the cash filter fund instead if the cash filter is enabled. Please choose a different fund than one you selected above to rotate.If 'Trade Before Inception' checked if the cash filter fund lacks sufficient history, there may be gaps - indicating the strategy allocated to pure cash instead of the unavailable cash filter fund.
Fund Valves Above the High Level or Below the Low Level trigger the cash filter to use the cash fund instead.
If the selected fund is below either of these moving averages then the cash filter fund selected here will be chosen instead. RSI will look for level trigger, and MACD will look for convergence/divergence signals.
Index Cash Filter: A ticker can be entered, when this ticker is below the Moving Average, all funds will be de-allocated and instead invested in cash. So when this fund falls below either moving average, all fund tickers will be sold and the cash filter fund will be invested in.Cash Filter Outperform: If a Top N fund (winning fund) is performing more poorly than the cash filter fund, then invest in the cash filter fund instead of the chosen fund.
Please ensure this symbol has history as far back as the 'Start Date' entered above, if this symbol is not available for the entire length of the backtest an error will occur.
Settings for Absolute Momentum Filter (Dual Momentum)
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. Also known as dual momentum based strategy.
Settings for Calculating Symbols to Invest In
[Position Score]Used to Calculate the strength of each fund in the 'Tickers' list, based on the score determined using the settings below funds will be chosen as the Top N funds.
Length of Lookback for Postion Score Calculation
Percent to Weight the respective Lookback Length and Method
F Factors: Large Numbers mean volatility is more important, 1 is standard method of calculation.
Relative Momentum
Volatility
Downside Volatility
Only includes the volatility numbers on the downward moves, ignorning changes in the upward movements. To minimize the impact the upward moves (profit) has on the standard volatility numbers.Calculation: This value is calculated exactly the same way volatility is calculated, with the exception that upside (positive) changes in the price are considered to be 0, and therefore do not contribute to the volatility.
Variance
Sharpe Ratio
Information Ratio
Mean Reversion
Momentum in days. Lower momentum is better in this calculation since we are considering this to be a strong mean reversion event.
Moving Average Rate of Change (Slope)
Rate of Change (slope) of the moving average of the price values.
Calmar Ratio
Return over Period of Time (days) / Max Drawdown over Period of Time (days)
Actual months use an actual month (ex. 1/1 to 2/1) instead of the average length of a month to calculate position scoring and adapative asset allocation. 1/2 months and non-monthly update periods only possible when average months used.
Settings for Calculating Asset Allocation
[Default is Equal Weight - No Adapative Asset Allocation]If more than 1 ticker is chosen per rotation period then you may choose to weight each ticker using adaptive asset allocation instead of equal weighting.
Asset Allocation Only Available when the Top N (Number of Choosen Funds) is Greater than 1
Use settings below to change dampening factors and lenghts for the chosen weighting algorthim. Keep in mind if you are only choosing 1 fund (Top N setting above) then no weighting will take place.
Length of lookback for Sharpe/Information Ratio/Volatility/Variance to determine weightings.
F Factors: Large Numbers mean volatility is more important, 1 is standard method of calculation.
Dampen Allocations: 100% is non-dampened (unadjusted) & 0% is fully dampened.
Enter the Ticker You Would Like to Benchmark the Results Against:
Benchmark Fund: US LARGE CAP BLENDED
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.
If a cash filter fund, or absolute value fund is used it is shown in this list, however it is not a part of top choices since it is the cash filter.
Download Rank Data
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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