Backtesting Tool

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stuper1
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Backtesting Tool

Post by stuper1 » Mon Mar 11, 2013 6:43 pm

Is this considered a good tool for backtesting various asset allocations:

http://www.riskcog.com/portfolio-theme2 ... c5z83ff4kb
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Pointedstick
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Re: Backtesting Tool

Post by Pointedstick » Mon Mar 11, 2013 6:52 pm

Yes! I love it.
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Mark Leavy
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Re: Backtesting Tool

Post by Mark Leavy » Mon Mar 11, 2013 7:04 pm

Pointedstick wrote: Yes! I love it.
Agreed.

The only thing that would make it better is if it included inflation adjustments.

I assume that it has periodic rebalancing built in. (??)
stuper1
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Re: Backtesting Tool

Post by stuper1 » Mon Mar 11, 2013 7:10 pm

Are there any other similar, free tools available? 

I'd like to check my results against something else to verify.
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Re: Backtesting Tool

Post by Pointedstick » Mon Mar 11, 2013 7:20 pm

stuper1 wrote: Are there any other similar, free tools available? 

I'd like to check my results against something else to verify.
I like this one, too: http://www.etfreplay.com/combine.aspx

Doesn't go as far back though, since it uses data from real ETFs and a lot aren't that old.
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MachineGhost
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Re: Backtesting Tool

Post by MachineGhost » Mon Mar 11, 2013 10:51 pm

stuper1 wrote: Is this considered a good tool for backtesting various asset allocations:

http://www.riskcog.com/portfolio-theme2 ... c5z83ff4kb
This is using simba's spreadsheet data, so take it with a grain of salt.

Still, I find it very interesting that if you specify 1-3 year or 5 year Treasuries instead of T-Bills, it allocates 0% to LT bonds despite being in the biggest bull market in history.  I knew the shtick not to go past 5 years of maturity in bonds, but I had no idea it was that literal.
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Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
stuper1
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Re: Backtesting Tool

Post by stuper1 » Tue Mar 12, 2013 12:15 pm

I'm very new around here, so I'm not quite sure what the deal is with simba's spreadsheet.  What are the deficiencies?  I tried searching the forum for "simba", but I didn't get much info.
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Re: Backtesting Tool

Post by MachineGhost » Tue Mar 12, 2013 6:50 pm

stuper1 wrote: I'm very new around here, so I'm not quite sure what the deal is with simba's spreadsheet.  What are the deficiencies?  I tried searching the forum for "simba", but I didn't get much info.
The latest spreadsheet/thread is at: http://www.bogleheads.org/forum/viewtop ... &start=450

The data is poor quality and mostly synthetic with assumptions made that wouldn't have existed in reality in the past.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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