Step 1: Enter the ticker you would like to run the targeted volatility test on. Step 2: Enter the start and end dates for the simulation. Step 3: Enter the Volatility Target %, this is the volatility % that the backtester will target. Step 4: Enter the Volatilty Calculation Length, this lookback length (or period) that is used to calculate the volatilty. Larger values look at more months to determine the volatility of the fund entered. Step 5: Enter the length and type of moving average used for the Volatility + Filtered output. Note this only affects the Volatility Target with Filter output, not the Volatility Target output graph. Step 6: Select whether you would like to use 2 Moving Averages or not. If you use 2 moving averages then the logic will wait for the moving averages to cross. If you use 1 moving average (default) the logic will wait for the price of the 'stock' fund to cross the moving average only.

Results show the equity curve and statistics for the Targeted Volatility Test (uses volatilty target % and length), and the Targeted Volatility with Market Filter Test (uses Volatility Target % and length as well as moving averge filter length and type).

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.html This product uses the FREDĀ® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.

Click Button to Load Fund into 'Stock' Ticker:



Click Button to Load Fund into 'Cash Ticker' Entry:

Cash Ticker


If this option is selected instead of investing in the Cash Filter Fund selected, the strategy will invest in nothing (cash). This option will de-invest funds ony, but not invest them in the cash filter fund.






1/2 months and non-monthly update periods only possible when average months used.







How often the backtester re-weights the portfolio. 1/2 months only possible when average months used.


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.
The weightings for next period's update as of the end date of the simulation:



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.

Performance Summary




Annual Performance For Volatility Target and Volatility + Moving Average Filter




Downloads


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 Volatility Target - Download Daily Equity Report in Spreadsheet Volatility Target + Market Filter - Download Daily Equity Report in Spreadsheet


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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