I started building a dynamic Google spreadsheet to test out rotation strategies.
It currently allows you enter the assets (max.10), aggregation period (weekly, monthly, quarterly), performance period, start date and end date. For example If you select "Monthly" as the aggregation period and enter "3" as the performance period, the backtest will look at the assets' relative performance over 3 months. As soon as any variable is changed, the spreadsheet will pull data from Yahoo Finance, and populate backtest results, showing the allocations for each period, the returns for those allocations and an equity curve and stats for the backtest period. It will also show the equity curve and annual return of SPY as comparison.
The idea is, time and energy allowing, to eventually add more variables, including volatility (and weighting for the volatility), multiple aggregation/performance periods with weightings, as well as "Top 2" and "Top 3" as options.
Very exciting! Looking forward to trying it out :)
ReplyDeleteIt's up now, go for it! :)
DeleteMy dear friend i just recently came across to your blog and your articles, so i haven't explored them extensively, but i feel the need to thank you for your work and the time you have invested in it. I wish you the best!
ReplyDeleteThank you for your kind words!
DeleteThanks for posting your sheet. I think I might have found an error. When I fill in the 7th asset it ranks that asset only for the current month and fills in the remaining ranks as 7.
ReplyDeleteWell spotted, thanks! I fixed the error, the spreadsheet is now v0.51.
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