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 FREDĀ® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.
Step 1: Enter the list of tickers, separated by a comma, that you would like to Rotate between
Check the boxes for the funds you would like to rotate between.

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 comma Example: SPY,MDY,TLT


Select exchange here, then enter tickers normally. Ex. VCN should be entered for Vangaurd FTSE Canada All Cap fund.
Step 2: Select the Start and End Dates you would like the backtest to run for. If one of the symbols listed didn't trade for the entire length of the backtest but you would like to see the results before that symbol became available select 'Allow Trading Before Inception of All Symbols'.


*If symbol didn't trade for entire length of backtest you may want to select this option
Step 3: Select the number of funds you would like to rotate into each month If you set this value to 2 then the backtest will select the top 2 funds each month and hold them until next month when it selects another 2 funds.
Select the number of chosen funds per month
Step 4: Select the settings you would like to use to calculate the Position Score. The Position Score is what determines the strength of each fund, and the winners will then be chosen at the end of the month.

Settings for Calculating Symbols to Invest In

This is the Postion Score - it determines what symbol(s) is the strongest and gets chosen. You can choose 2 Momentums, 1 Volatility, 1 Sharpe Ratio, and 1 Mean Reversion to determine weight. Adjust the lengths and % Weights for each category as desired then run the backtest.
Length of Lookback for Postion Score Calculation
Percent to Weight the respective Lookback Length and Method

Momentum

Volatility

Sharpe 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.
Actual months use an actual month (ex. 1/1 to 2/1) instead of the average length of a month to calculate position scoring. 1/2 months and non-monthly update periods only possible when average months used.
Step 5: If you would like to use a cash filter then setup the parameters here If a fund in your list from Step 1 falls below the moving average setup below then the cash filter will instead invest in the 'Cash Filter Fund Ticker' entered below. Please choose a different fund than one you selected above to rotate.

Settings for Cash Filter

When the top fund(s) are below this moving average the backtest will invest in the Cash Filter Fund Ticker instead of the rotation chosen fund. Enable the cash filter by selecting 'Use Cash Filter' and change the cash fund to any fund desired and adjust the length of the moving average.

Historical Data Uses Pure Cash instead of selected fund.






Enter the Ticker You Would Like to Benchmark the Results Against:

Benchmark Fund: US LARGE CAP BLENDED



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.



Equity


Transition Map - Top N


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.

Length of Time in Trade vs. Trade Return %



Correlation Coefficients

Correlation Coefficients taken during entire backtest length


Performance Summary



% Per Symbol



Annual Performance Summary



Trades



Downloads



The spreadsheet below is a list of all trades taken, it can be edited in Excel. NOTE: Entry/Exit Prices are Adjusted Prices not NAV prices. Download Top N Trades Spreadsheet

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 - Top N

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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