Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Time Period #5
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Market Timing Results (Jan 2010 - Dec 2019) Save

Tactical asset allocation model results from Jan 2010 to Dec 2019 are based on 2 calendar month simple moving average of each portfolio asset. The tactical asset allocation model is invested in the selected assets when the adjusted close price of the asset is greater than or equal to the moving average, otherwise the specific portfolio allocation is invested in Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF). Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for ProShares UltraPro S&P500 (UPRO) [Jul 2009 - Jun 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Moving Average Model$10,000$81,48323.34%37.75%107.95%-29.40%-43.18% 0.731.200.13
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The results for the buy-and-hold comparison portfolios assume annual rebalancing
  • The results for the tactical asset allocation model assume monthly rebalancing trades
  • Risk free returns (out of market) are based on 3-month treasury bill returns or the selected asset
  • The moving average signal is based on total return and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationMoving Average Model ReturnMoving Average Model BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101.50%-29.40%$7,06036.34%16.20%
20112.96%107.95%$14,682-11.88%109.14%
20121.74%99.06%$29,22646.80%0.60%
20131.50%61.00%$47,053118.49%-39.01%
20140.76%28.54%$60,48438.00%97.34%
20150.73%-20.19%$48,275-5.24%-13.73%
20162.07%-1.17%$47,71130.79%-2.52%
20172.11%74.15%$83,08771.37%22.73%
20181.91%-17.51%$68,540-25.15%-11.01%
20192.29%18.89%$81,483102.31%34.74%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMoving Average Model ReturnMoving Average Model BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101-11.19%$8,881-11.19%7.34%
20102-1.82%$8,7198.94%-1.82%
2010318.90%$10,36718.90%-6.73%
201044.08%$10,7904.08%9.96%
20105-24.15%$8,185-24.15%16.54%
2010616.73%$9,554-16.58%16.73%
20107-3.90%$9,18121.17%-3.90%
20108-13.46%$7,945-13.46%25.94%
20109-9.02%$7,22827.94%-9.02%
20101011.44%$8,05611.44%-13.57%
201011-0.82%$7,989-0.82%-6.03%
201012-11.63%$7,06021.36%-11.63%
201116.56%$7,5246.56%-9.40%
2011210.39%$8,30610.39%4.49%
20113-0.80%$8,240-0.80%-0.55%
201146.57%$8,7818.73%6.57%
20115-3.93%$8,435-3.93%10.36%
20116-7.39%$7,812-5.87%-7.39%
2011713.28%$8,849-6.39%13.28%
2011827.34%$11,268-21.09%27.34%
2011941.35%$15,928-20.69%41.35%
201110-12.87%$13,87832.61%-12.87%
201111-3.35%$13,413-3.35%4.89%
2011129.46%$14,6822.30%9.46%
2012113.90%$16,72313.90%-1.50%
2012213.24%$18,93613.24%-7.95%
201239.29%$20,6969.29%-13.02%
20124-2.38%$20,203-2.38%14.37%
2012528.90%$26,042-17.35%28.90%
20126-5.78%$24,53811.47%-5.78%
201273.52%$25,4013.52%11.43%
201286.53%$27,0586.53%-4.61%
201297.52%$29,0937.52%-7.87%
201210-5.96%$27,358-5.96%-2.13%
2012113.90%$28,4261.01%3.90%
2012122.82%$29,2262.82%-7.80%
2013115.39%$33,72415.39%-9.58%
201323.56%$34,9263.56%3.39%
2013311.03%$38,77911.03%-1.77%
201345.45%$40,8925.45%14.25%
201356.80%$43,6746.80%-19.65%
20136-5.23%$41,392-5.23%-10.33%
20137-7.41%$38,32616.41%-7.41%
20138-9.21%$34,794-9.21%-4.47%
201391.53%$35,3289.60%1.53%
20131013.76%$40,18913.76%4.12%
2013118.87%$43,7568.87%-8.19%
2013127.54%$47,0537.54%-6.01%
20141-10.72%$42,011-10.72%19.47%
201421.63%$42,69713.65%1.63%
201432.15%$43,6142.15%1.76%
201441.65%$44,3351.65%5.96%
201456.62%$47,2716.62%8.79%
201466.22%$50,2146.22%-1.00%
20147-4.44%$47,984-4.44%1.61%
2014814.42%$54,90511.95%14.42%
20149-4.44%$52,469-4.44%-6.65%
2014108.06%$56,6996.03%8.06%
2014118.34%$61,4288.34%9.08%
201412-1.54%$60,484-1.54%9.38%
2015131.01%$79,239-9.47%31.01%
20152-17.87%$65,08117.48%-17.87%
20153-5.28%$61,645-5.28%2.57%
20154-10.30%$55,2962.59%-10.30%
201553.43%$57,1943.43%-7.91%
20156-6.21%$53,644-6.21%-12.49%
2015713.40%$60,8346.17%13.40%
20158-18.87%$49,357-18.87%-2.75%
201595.10%$51,874-8.64%5.10%
201510-1.73%$50,97426.79%-1.73%
2015110.81%$51,3900.81%-2.71%
201512-6.06%$48,275-6.06%-2.41%
2016117.74%$56,840-15.38%17.74%
201628.71%$61,789-1.68%8.71%
20163-0.64%$61,39321.50%-0.64%
201640.81%$61,8870.81%-2.39%
201654.65%$64,7684.65%1.86%
20166-0.20%$64,636-0.20%21.23%
201676.07%$68,56211.13%6.07%
201680.11%$68,6360.11%-3.58%
20169-0.54%$68,268-0.54%-4.78%
201610-13.32%$59,174-5.62%-13.32%
201611-23.91%$45,02711.05%-23.91%
2016125.96%$47,7115.96%-0.99%
201715.14%$50,1615.14%1.49%
2017211.91%$56,13511.91%4.41%
20173-0.22%$56,013-0.22%-2.35%
201744.43%$58,4962.77%4.43%
201753.70%$60,6603.70%5.17%
201761.51%$61,5791.51%1.98%
201775.87%$65,1955.87%-2.43%
201780.21%$65,3320.21%10.13%
201795.69%$69,0495.69%-7.29%
2017106.83%$73,7686.83%-0.53%
2017118.87%$80,3138.87%1.73%
2017123.45%$83,0873.45%5.04%
2018118.22%$98,22318.22%-9.77%
20182-13.53%$84,931-13.53%-9.57%
201838.44%$92,098-8.69%8.44%
20184-6.71%$85,920-0.14%-6.71%
201855.27%$90,4476.46%5.27%
201861.29%$91,6101.29%1.49%
2018710.73%$101,43910.73%-4.70%
201889.09%$110,6639.09%3.36%
201891.20%$111,9881.20%-8.77%
201810-20.78%$88,718-20.78%-9.11%
2018114.76%$92,9404.28%4.76%
201812-26.25%$68,540-26.25%17.93%
201910.41%$68,82323.89%0.41%
201929.28%$75,2119.28%-4.52%
201934.85%$78,8614.85%17.00%
2019411.81%$88,17411.81%-6.56%
20195-18.89%$71,515-18.89%21.11%
201961.90%$72,87821.37%1.90%
201973.80%$75,6503.80%0.32%
20198-6.62%$70,643-6.62%35.11%
20199-9.07%$64,2355.30%-9.07%
2019105.70%$67,8965.70%-4.11%
20191110.73%$75,18310.73%-2.01%
2019128.38%$81,4838.38%-10.05%
Portfolio return and risk metrics
MetricMoving Average Model
Arithmetic Mean (monthly)2.35%
Arithmetic Mean (annualized)32.10%
Geometric Mean (monthly)1.76%
Geometric Mean (annualized)23.34%
Volatility (monthly)10.90%
Volatility (annualized)37.75%
Downside Deviation (monthly)6.61%
Max. Drawdown-43.18%
US Market Correlation0.13
Beta(*)0.38
Alpha (annualized)23.08%
R21.68%
Sharpe Ratio0.73
Sortino Ratio1.20
Treynor Ratio (%)72.62
Calmar Ratio0.46
Active Return10.04%
Tracking Error38.27%
Information Ratio0.26
Skewness0.10
Excess Kurtosis1.49
Historical Value-at-Risk (5%)-18.82%
Analytical Value-at-Risk (5%)-15.58%
Conditional Value-at-Risk (5%)-22.14%
Upside Capture Ratio (%)124.82
Downside Capture Ratio (%)73.99
Safe Withdrawal Rate26.07%
Perpetual Withdrawal Rate17.50%
Positive Periods77 out of 120 (64.17%)
Gain/Loss Ratio0.99
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Moving Average Model

Drawdowns for Moving Average Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Nov 20161 year 10 monthsNov 20171 year2 years 10 months-43.18%
2Oct 2018Sep 20191 year-42.64%
3May 2010Dec 20108 monthsAug 20118 months1 year 4 months-34.57%
4Jun 2013Aug 20133 monthsNov 20133 months6 months-20.33%
5Oct 2011Nov 20112 monthsJan 20122 months4 months-15.79%
6Feb 2018Feb 20181 monthJul 20185 months6 months-13.53%
7Jan 2010Feb 20102 monthsMar 20101 month3 months-12.81%
8Jan 2014Jan 20141 monthMay 20144 months5 months-10.72%
9Oct 2012Oct 20121 monthDec 20122 months3 months-5.96%
10Jun 2012Jun 20121 monthAug 20122 months3 months-5.78%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year32.13%107.95%-29.40%
3 years31.65%88.19%0.46%
5 years25.66%46.89%6.14%
7 years26.91%42.22%15.77%
10 years23.34%23.34%23.34%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMoving Average Model
1Jan 2010Jan 20101100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -11.19%-11.19%
2Feb 2010Feb 20101100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -1.82%-1.82%
3Mar 2010May 20103100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -6.13%-6.13%
4Jun 2010Jul 20102100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 12.18%12.18%
5Aug 2010Aug 20101100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -13.46%-13.46%
6Sep 2010Sep 20101100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -9.02%-9.02%
7Oct 2010Nov 20102100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 10.53%10.53%
8Dec 2010Dec 20101100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -11.63%-11.63%
9Jan 2011Mar 20113100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 16.70%16.70%
10Apr 2011Apr 20111100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 6.57%6.57%
11May 2011May 20111100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -3.93%-3.93%
12Jun 2011Oct 20115100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 64.53%64.53%
13Nov 2011Nov 20111100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -3.35%-3.35%
14Dec 2011Dec 20111100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 9.46%9.46%
15Jan 2012Apr 20124100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 37.61%37.61%
16May 2012Jun 20122100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 21.46%21.46%
17Jul 2012Oct 20124100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 11.49%11.49%
18Nov 2012Nov 20121100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 3.90%3.90%
19Dec 2012Jun 20137100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 45.62%45.62%
20Jul 2013Jul 20131100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -7.41%-7.41%
21Aug 2013Aug 20131100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -9.21%-9.21%
22Sep 2013Sep 20131100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 1.53%1.53%
23Oct 2013Jan 20144100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 18.92%18.92%
24Feb 2014Feb 20141100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 1.63%1.63%
25Mar 2014Jul 20145100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 12.38%12.38%
26Aug 2014Aug 20141100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 14.42%14.42%
27Sep 2014Sep 20141100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -4.44%-4.44%
28Oct 2014Oct 20141100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 8.06%8.06%
29Nov 2014Dec 20142100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 6.68%6.68%
30Jan 2015Feb 20152100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 7.60%7.60%
31Mar 2015Mar 20151100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -5.28%-5.28%
32Apr 2015Apr 20151100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -10.30%-10.30%
33May 2015Jun 20152100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -2.99%-2.99%
34Jul 2015Jul 20151100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 13.40%13.40%
35Aug 2015Aug 20151100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -18.87%-18.87%
36Sep 2015Oct 20152100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 3.28%3.28%
37Nov 2015Dec 20152100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -5.29%-5.29%
38Jan 2016Mar 20163100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 27.17%27.17%
39Apr 2016Jun 20163100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 5.28%5.28%
40Jul 2016Jul 20161100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 6.07%6.07%
41Aug 2016Sep 20162100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -0.43%-0.43%
42Oct 2016Nov 20162100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -34.04%-34.04%
43Dec 2016Mar 20174100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 24.40%24.40%
44Apr 2017Apr 20171100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 4.43%4.43%
45May 2017Feb 201810100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 45.19%45.19%
46Mar 2018May 20183100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 6.49%6.49%
47Jun 2018Oct 20185100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -1.91%-1.91%
48Nov 2018Nov 20181100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 4.76%4.76%
49Dec 2018Dec 20181100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -26.25%-26.25%
50Jan 2019Jan 20191100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 0.41%0.41%
51Feb 2019May 20194100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 3.91%3.91%
52Jun 2019Jun 20191100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: 1.90%1.90%
53Jul 2019Aug 20192100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -3.07%-3.07%
54Sep 2019Sep 20191100.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)TMF: -9.07%-9.07%
55Oct 2019Dec 20193100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 26.85%26.85%
56Jan 2020Jan 20201Please sign-in for forward signals--