Backtest your investment portfolio by defining your initial balance, date range and asset allocations
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)
Balance
Deposits
Periodic deposits using the selected frequency
Range
Frequency
Frequency of deposits and rebalancing
None
Ticker
e.g. NVDA, EURUSD=X, BTC-USD, FIXED*0.1, SAP.DE:USD
Modifiers: :Currency, *Leverage, /Fraction (TSLA:EUR*2/10)
Synthetic: Sum (SPY+USFED), Subtract (SPY~^VIX)
Trim: GOOG[2023-01-01|2023-12-31], [2023-01-01|], [|2023-12-31]
Regional: PETR4.SA, SELIC.SA, IMAB.SA, NTN-B.SA(YYYY)
Percent
Ticker
e.g. NVDA, EURUSD=X, BTC-USD, FIXED*0.1, SAP.DE:USD
Modifiers: :Currency, *Leverage, /Fraction (TSLA:EUR*2/10)
Synthetic: Sum (SPY+USFED), Subtract (SPY~^VIX)
Trim: GOOG[2023-01-01|2023-12-31], [2023-01-01|], [|2023-12-31]
Regional: PETR4.SA, SELIC.SA, IMAB.SA, NTN-B.SA(YYYY)
Percent
Ticker
e.g. NVDA, EURUSD=X, BTC-USD, FIXED*0.1, SAP.DE:USD
Modifiers: :Currency, *Leverage, /Fraction (TSLA:EUR*2/10)
Synthetic: Sum (SPY+USFED), Subtract (SPY~^VIX)
Trim: GOOG[2023-01-01|2023-12-31], [2023-01-01|], [|2023-12-31]
Regional: PETR4.SA, SELIC.SA, IMAB.SA, NTN-B.SA(YYYY)
Percent
Ticker
e.g. NVDA, EURUSD=X, BTC-USD, FIXED*0.1, SAP.DE:USD
Modifiers: :Currency, *Leverage, /Fraction (TSLA:EUR*2/10)
Synthetic: Sum (SPY+USFED), Subtract (SPY~^VIX)
Trim: GOOG[2023-01-01|2023-12-31], [2023-01-01|], [|2023-12-31]
Regional: PETR4.SA, SELIC.SA, IMAB.SA, NTN-B.SA(YYYY)
Percent
Summary
Messages
Warnings
Initial
-
Var
-
Max Drawdown
-
Final
-
Annual Var
-
Alpha α
Excess return relative to benchmark and risk-free rate
Positive α: Outperformed benchmark
Negative α: Underperformed benchmark
Zero α: Matched benchmark
Positive α: Outperformed benchmark
Negative α: Underperformed benchmark
Zero α: Matched benchmark
-
Min
-
Volatility
-
Beta β
Measures portfolio volatility relative to the 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)
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)
-
Max
-
#Trades
Number of trades executed during the backtest period
-
Sharpe
Measures risk-adjusted performance
Sharpe < 0: Low risk-adjusted performance
Sharpe > 0: Good risk-adjusted performance
Sharpe > 1: Great risk-adjusted performance
Sharpe < 0: Low risk-adjusted performance
Sharpe > 0: Good risk-adjusted performance
Sharpe > 1: Great risk-adjusted performance
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