ROTATION INVESTRotationInvest.com provides online investment backtesting tools for Rotation, Momentum, Sector Rotation, Asset Allocation, and Portfolio Strategies for stocks, ETFs and mutual funds. RotationInvest.com's tools are designed to allow users find and backtest reliable quantitative, rule based, rotational ranking, adaptive asset allocation, and asset switching investment strategies for gaining exposure to uptrends in multiple asset classes while preventing large drawdowns associated with investing in single asset classes and test the robustness of all strategies with Monte Carlo simulations. Professional Quality data is available to subscribers, as well as data going back as far as 1924 for long term backtests using any of our tools.
|
|
Our tools our the most powerful in the business, processing more than 20x the information of most tools! We process daily data to give you day by day results and drawdown numbers, as well as advanced calculations such as the Sharpe Ratio and Mean Reversion. Our advanced tools let you test ideas you never thought possible! Backtest your ideas on almost any stock, ETF, and mutual fund. Save and reload your complex settings with ease!
|
Professional data-feeds are available to all customers. With professional quality data stretching back more than 30 years on US stocks, ETFs, and mutual funds, backtests use the most accurate data for reliable results.
Long Term Historical data-feeds are available to all customers. Data goes back to as far as 1924, and is available in all of our backtesting tools. |
We have tools that allow users to test Rotation Strategies, adaptive asset allocation strategies, portfolio moving averages, volatility targeting, portfolio timing, and many other strategies! Utilize ranking methods including Momentum, Volatility, Sharpe Ratio, Mean Reversion, and the Information Ratio. All tools run Monte Carlo simulations on all results to allow users to check robustness and simulate future earnings.
|
Easily visualize the performance of your strategies with HTML5 graphs that are fully interactive and zoom, showing performance and drawdown, as well as modern performance and trade tables. Export and share all your charts and settings with fully interactive HTML reports. Don't like our output? You can download all the performance reports & equity to a spreadsheet file in all our tools!
|
A FEW OF THE IDEAS YOU CAN TEST
This strategy rotates between SPY, MDY, and TLT tickers. This strategy is a very simple rotation between 2 stock ETFs and 1 bond ETF to show the power of simply rotating out of stocks when they are weak and into bonds.
Settings for Members: 34% 3 Month Momentum, 33% 4 Month Momentum , 33% 5 Month Momentum,
no cash filter needed, choose top 1, update Monthly.
Settings for Members: 34% 3 Month Momentum, 33% 4 Month Momentum , 33% 5 Month Momentum,
no cash filter needed, choose top 1, update Monthly.
This strategy rotates between S&P 500 Sectors: XLE, XLV, XLP, XLY,X LF, XLB, XLU, TLT, and a bond [IEF] tickers. This strategy is the classic sector rotation strategy that allows investing in the top 2 sectors each month and goes into bonds when sectors are performing poorly. Additionally this strategy weights the top 2 with asset allocation instead of strictly equally.
Settings for Members: 66% 3 Month Momentum, 34% 4 month volatility, no cash filter needed, choose top 2, use Sharpe based asset allocation with 3 month sharpe length at 0% dampening, update Monthly
Settings for Members: 66% 3 Month Momentum, 34% 4 month volatility, no cash filter needed, choose top 2, use Sharpe based asset allocation with 3 month sharpe length at 0% dampening, update Monthly
All of our tools have an option to select 'Historical Data' and run a strategy as far back as 1924. Historical Data includes US Large/Mid/Small Cap, US Sectors, Foreign Equities, Bonds, Treasury Bonds, Emerging markets and more!
The below strategy uses the Rotation Advanced tool to select the top 1 fund using the Historical Data option, selecting 'US Large Cap' and 'US Mid Cap' and 'US Total Bond Market - Intermediate Term' using 100% 2.5 Month Sharpe ratio as the weighting option. Alternatively using a cash filter reduces volatility slightly but also slightly reduces returns. [Yes those results show almost 45,000% return if you invested in 1954!]
The below strategy uses the Rotation Advanced tool to select the top 1 fund using the Historical Data option, selecting 'US Large Cap' and 'US Mid Cap' and 'US Total Bond Market - Intermediate Term' using 100% 2.5 Month Sharpe ratio as the weighting option. Alternatively using a cash filter reduces volatility slightly but also slightly reduces returns. [Yes those results show almost 45,000% return if you invested in 1954!]
Choose the strongest of 4 stock and bond portfolios. Each month determine which portfolio has performed the best over the past 3 months based on momentum and Sharpe ratio, then invest in the winning portfolio of the 4 portfolios.
Portfolio 1: 75% Stocks, 25% Bonds
Portfolio 2: 50% Stocks, 50% Bonds
Portfolio 3: 25% Stocks, 75% Bonds
Portfolio 4: 100% Bonds
Portfolio 1: 75% Stocks, 25% Bonds
Portfolio 2: 50% Stocks, 50% Bonds
Portfolio 3: 25% Stocks, 75% Bonds
Portfolio 4: 100% Bonds
Imagine you wanted to take all the portfolio's generated by our tools on the other tabs, and only investing the strategy that is the strongest? With our Portfolio Tools you can! We took the outputs from our other strategies on the other tabs, uploaded them to our Portfolio Tool, and instructed it to choose 2 based on the 3 month momentum, and do adaptive asset allocation based on the Sharpe ratio. You can combine the results from our tools in various ways, including rotation, adaptive asset allocation, or just a simple % per strategy.
With this tool a standard portfolio can be created with allocation % by symbol. When a fund in that portfolio drops below a moving average, that fund is switched out for a bond/cash fund of users choice.
We are going to create a portfolio composed of mutual funds VTSMX 30%, VGSIX 20%, VGTSX 20%, VIPSX 15%, and VUSTX 15%, these allocations are in line to replicate the Swensen portfolio. When any of these funds drop below their 175 Day moving average, we will invest in an intermediate term treasury bond fund (IEF).
We are going to create a portfolio composed of mutual funds VTSMX 30%, VGSIX 20%, VGTSX 20%, VIPSX 15%, and VUSTX 15%, these allocations are in line to replicate the Swensen portfolio. When any of these funds drop below their 175 Day moving average, we will invest in an intermediate term treasury bond fund (IEF).
Strategies presented anywhere on this site are ideas only, and only for education. This is not investment advice, or suggested financial information.
Please read our Terms and Conditions.
Please read our Terms and Conditions.
TOOLS AVAILABLE TO MEMBERS
|
|
Rotation/Momentum Ranking Investment Tool |
|
Portfolio Rotation Investment Tool |
|
The Rotational Momentum Tool allows users to see the hypothetical results of a momentum or relative strength rotation ranking investing strategy, with the option of adding in adaptive asset allocation on top of rotation, using strength calculations including Momentum, Volatility, Mean Reversion, Sharpe Ratio, and Information Ratio. The Rotational Momentum Tool will automatically calculate the strength, based on the momentum,volatility, Sharpe Ratio and/or Information Ratio, and at the end of each update period, switch or rotate to the highest ranked fund for the next period.
|
The Portfolio Rotational Momentum Tool allows users to see the hypothetical results of a momentum or relative strength rotation ranking investing strategy applied to an entire portfolio of funds instead of individual tickers, with the option of adding in adaptive asset allocation on top of rotation, using strength calculations including Momentum, Volatility, Mean Reversion, Sharpe Ratio, and Information Ratio. The Rotational Momentum Tool will automatically calculate the strength, based on the momentum,volatility, Sharpe Ratio and/or Information Ratio, and at the end of each update period, switch or rotate to the highest ranked fund for the next period.
|
|
|
Adaptive Asset Allocation Tool |
|
Portfolio Moving Average Timing Tool |
|
The Adaptive Asset Allocation Tool allows users to see the hypothetical results of weighting assets in your portfolio based on performance metrics such as Maximum Sharpe Ratio, Maximum Information Ratio, Minimum Variance, and Minimum Volatility instead of using fixed percentages. On each period update the adaptive asset allocation tool updates the weight of each fund entered based on it's weighting score, thus allowing your portfolio to adjust to changing market conditions by re-weighting the portfolio instead of buying and selling a list of symbols.
|
The Portfolio Timing Tool allows users to enter a list of symbols and corresponding weightings to construct a standard 'Buy and Hold' portfolio, just like the Portfolio Rebalancing Tool. Then it will apply a moving average to each fund in the portfolio, if that fund falls below the moving average it will instead invest the cash filter fund setup in the tool. Alternatively a user can define a moving average channel, when a fund crosses above the moving average + a channel offset and holding until it crosses below that moving average - a channel offset
|
|
|
Portfolio Builder/Rebalancing Tool |
|
Portfolio Channels Tool |
|
The Portfolio Rebalancer Tool allows users to enter a list of symbols and corresponding weightings to construct a standard "Buy and Hold" portfolio and examine the performance of the portfolio as well as different rebalancing time-frames. The tool will show the user the results of buying and holding as well as rebalancing the portfolio yearly, quarterly and monthly.
|
The Portfolio Timing Tool allows users to enter a list of symbols and corresponding weightings to construct a standard 'Buy and Hold' portfolio, just like the Portfolio Rebalancing Tool. Then it will apply a moving average to each fund in the portfolio, if that fund falls below the moving average it will instead invest the cash filter fund setup in the tool. Alternatively a user can define a moving average channel, when a fund crosses above the moving average + a channel offset and holding until it crosses below that moving average - a channel offset
|
|
|
Moving Average Crossover Tool & Channels Tool |
|
Volatility Target and Volatility + Cash Tools
|
|
The Moving average filter tool, or risk on risk off tool, or asset switching tool, allows users to see the hypothetical results of buying the stock fund when it crosses above the moving average and holding until it crosses below it. When the stock fund crosses below the moving average specified the back tester will invest in the cash fund specified. Users can customize the stock and cash fund to invest in, the moving average type and length, and the frequency at which the moving average condition is tested. The Channels Tool does the same thing as the Moving Average Tool but allows users to define an upper and lower moving average channel to prevent investing and de-investing too early.
|
The Volatility Target Tool is provided to allow users a way to backtest a fund with the weighting of that fund adjusted to target a certain volatility amount instead of purely being 100% vested in that fund. For example you may decide you would like to be long a certain stock or bond fund, but would not like to be fully long that fund when the market volatility increases, this tool allows the position to be scaled down when volatility is above the threshold, thus targeting the volatility level you decide. Also you have the option to invest in a cash fund when the volatility tool de-invests in the main stock fund.
|
|
|
Retirement Savings Simulation Tool - Monte Carlo Simulation |
|
Retirement Withdrawal Simulation Tool - Monte Carlo Simulation |
|
The Retirement Savings Tool allows users to simulate saving for retirement using Monte Carlo methods. Inputs include annual return, inflation, investment volatility, current account size, and monthly savings. Also see how investment advisor fees affect results. This tool helps you understand the possibilities of how your savings and investments for retirement might turn out, it is distinct from a calculator in that it runs 1000 backtests and gives you a range of possibilities for how your investments may turn out.
|
The Retirement Withdraw Tool allows users to simulate the withdraws you would make during retirement, and determine how likely your money is to last in retirement using Monte Carlo methods. Also see how investment advisor fees affect results. Inputs include annual return, inflation, investment volatility, current account size, and monthly withdraws. This tool helps you understand the possibilities of how your withdrawals and investments in retirement might turn out, it is distinct from a calculator in that it runs 1000 backtests and gives you a range of possibilities for how your investments may turn out.
|
|
|
Total Return vs. Price Return Tool |
|
Ratio & Correlation Tool |
|
The Total Return Tool is provided to allow users a way to quickly see the affect dividends and other cash distributions have on the total return of a given fund. A fund ticker is entered as well as a date range and a comparison plot and performance metric is displayed that shows the results of price only return and the total return including dividends.
|
The Ratio and Correlation Tool allows the user to enter 2 tickers. The tool will then calculate the ratio of those 2 tickers, and the correlation between those 2 tickers.
|
|
|
Rolling Returns & Volatility Research Tool |
|
Strategy of Strategy Tools - Combine Tool |
|
The Rolling Returns and Volatility Tool is designed to show users the total returns, rolling returns, rolling volatility and rolling returns divided by volatility. This tool is intended as a research tool to give you insight into how a specific stock, ETF or mutual fund is performing.
|
The Strategy of Strategy Tools are tools that allow users to upload backtests from any of other other tools and create a strategy of strategies. The Combine Tool allows users to upload up to 25 strategies and set the % allocation you want to devote to each of the 25 strategies.
|
|
|
Strategy of Strategy Tools - Portfolio Moving Average |
|
Strategy of Strategy Tools - Rotation and Adaptive Asset Allocation |
|
The Strategy of Strategy Tools are tools that allow users to upload backtests from any of other other tools and create a strategy of strategies. The Portfolio Moving Average tool allows users to upload a 'stock' and a 'cash' portfolio, when the 'stock' portfolio's equity curve is below the defined moving average, the 'cash' portfolio is invested in instead of the 'stock' portfolio.
|
The Strategy of Strategy Tools are tools that allow users to upload backtests from any of other other tools and create a strategy of strategies. The Portfolio Rotation and Adaptive Asset Allocation Tool allows users to upload up to 10 strategies equity curves from other apps and rotate or apply adaptive asset allocation to these strategies, so you can determine when and how much each strategy gets invested in. The settings on this tool are the same as our Advanced Rotation Tool.
|
