To research my Truth About ETF Rotation book, I found I needed to write a portfolio simulator to backtest the strategies. This wasn’t my first choice – I tried to use commercially available backtesting tools, but they didn’t quite do everything I needed.
After writing the book, enough investors asked about various tweaks to an ETF rotation strategy that I decided to make my backtesting tools available. If you are interested in exploring different rotation strategies and portfolios, this is for you!
My portfolio rotation simulator allows you to specific a list of tickers – whether they are ETFs, mutual funds, or stocks is up to you. It will buy equal amounts of the top N tickers, where you decide what number is N. The top tickers are chosen by calculating the Rate of Change (RoC) over a period you specify. The simulator sticks with its holdings until one drops into the bottom half of the rankings, at which time it is sold and replaced with the topmost ticker not already owned.
All along, the simulator keeps track of hypothetical account equity and it reports comprehensive statistics at the end of the run.
This simulator requires Microsoft® Excel® 2010 or Excel 2007 running under Windows. It has not been tested on anything else. Customers report that it does NOT run on Mac or Open Office — sorry!
Excel not included. Price data not included. Source code not included.
Portfolio simulation performed by the product is a form of backtesting. Backtesting is not reality, and significant differences may exist between this simulator and live trading. For example, liquidity and slippage are not considered. The simulator assumes all trades are executed at the end-of-day price. In practice, it is impossible to know the end-of-day price until after it is too late to enter an order.
Furthermore, past performance is no guarantee of future results. You may test out a system that looks good here and find out that it results in big losses going forward.
This product is offered for educational purposes only. It is not a recommendation to invest or trade. You need to decide for yourself what is best for you.
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