Universal Rotation System Backtesting Tool v0.51

Feb 02, 2015 Update: Thanks to a reader, the tool has been fixed to correctly display rankings with 7+ assets.

Right then, here it is: "Universal Rotation System Backtesting Tool".

It attempts to execute a similar process as Portfolio Visualizer and the ETFreplay.com, without being limited to backtesting to the end of the previous year, or a subscription fee.

Having already put quite a bit of effort into it, I'm hoping that this will become an open source project, where anyone who wants to take a shot at fixing or making it better, can share their work with others.

In addition to fixes/making it more intuitive, my hope is that folks will want to expand on this, 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, cash stop and moving average filters, or whatever else they might think is useful. If you are inspired to update the latest version in any way, please send me an updated version and I'll upload the latest version for everyone's benefit and to build upon in future updates.

Note that of the yellow fields, which contain variables that can be changed, currently everything but the "Top 1" field is active. ONLY change the data in the yellow fields. Also worth noting is that you have to enter a start/end date that's after the actual start/end date of the aggregation period data point: meaning, if you select 9/1/2014 as the starting date for a monthly strategy, but as the period didn't start until 9/2/2014 because of Labor Day being on the 1/9/2014, you'll get error messages. In which case, you can for example select 9/2/2014 or 9/3/2014 instead, and it'll work fine.

There is enough "space" for 20 years of monthly backtesting, but the space for longer backtest periods may become limited when backtesting weekly strategies (also an area to expand on in the future). You can backtest to an earlier point in time than where all the assets have data from, however these assets are obviously not taken into account before they existed (populating synthetic data for any missing asset data might be an area to expand on in the future). The first asset should in these cases be the oldest asset, since the date is drawn from the "Asset1" tab.

As usual, I don't guarantee any of the data or calculations presented being correct and this tool should only be used as an informational device. Please let me know if you spot any errors, or want to improve on this but need more information on how the tool "does its magic"!


QH Universal Rotation System Backtesting Tool 0.51