Backtest your investment portfolio by defining your initial balance, date range and asset allocations
Positive α: Outperformed benchmark
Negative α: Underperformed benchmark
Zero α: Matched benchmark
β = 1: Moves perfectly with the benchmark
β > 1: More volatile (e.g. 1.5 = 50% more volatile)
β > 0 and < 1: Less volatile (e.g. 0.5 = 50% less volatile)
β < 0: Inverse correlation (e.g. -1 = 1:1 opposite direction)
Sharpe < 0: Low risk-adjusted performance
Sharpe > 0: Good risk-adjusted performance
Sharpe > 1: Great risk-adjusted performance
Investment Simulator | InvestTester
By simulating your portfolio with historical data, backtesting lets you project potential returns, manage risks, and optimize your investment choices (price returns only, dividends are not included).
Set an initial balance, optional periodic deposits and a date range, then add up to 10 tickers with their percentages. Stocks, ETFs, indices, currencies, crypto and fixed rates from markets around the world are supported, and modifiers convert a ticker to another currency or apply leverage (see Tickers). The frequency sets when deposits are made and when the portfolio is rebalanced back to its target percentages, and Compare tests up to 3 portfolios side by side.
Use it to compare a 60/40 stock and bond portfolio with 100% stocks, to see how monthly deposits (dollar-cost averaging) change the final balance, to choose how often to rebalance, or to see how a portfolio held up in a market crash. Ready-made comparisons such as SPY vs QQQ are listed above, and Share creates a link to your inputs.
The results show the final balance, annual return, volatility, max drawdown, Sharpe ratio, and alpha and beta against the market benchmark, with charts for performance, drawdown and positions. See the Portfolio and Results docs for the details, or backtest your own strategy in JavaScript with Algo Trading. Past performance does not guarantee future results.