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.html This 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

The fund tickers that make up your portfolio are entered here. 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.



How often the backtester rotates into the strongest N funds the portfolio.

Settings for Calculating Ranking

[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 ranked.
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.


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