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 #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Market Timing Results (Jan 2010 - Jul 2020) Save

Tactical asset allocation model results from Jan 2010 to Jul 2020 are based on the annual target volatility of 25.00%. The tactical asset allocation model adjusts the equity allocation monthly based on realized historical volatility and the specified target volatility using 1 calendar month volatility period. Tactical asset allocation model trades are executed using the first trading day's 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 - Jul 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Target Volatility Model$10,000$206,96033.15%21.22%88.97%-7.77%-21.85% 1.442.810.48
   
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 annual results for 2020 are based on full calendar months from January to July.
  • The results for the buy-and-hold comparison portfolio 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 volatility signal is based on daily total returns accounting for splits and dividends
  • 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
YearInflationTarget Volatility Model ReturnTarget Volatility Model BalanceDirexion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro S&P500 (UPRO)
20101.50%36.08%$13,60816.20%36.34%
20112.96%88.97%$25,715109.14%-11.88%
20121.74%32.18%$33,9890.60%46.80%
20131.50%20.67%$41,013-39.01%118.49%
20140.76%67.01%$68,49597.34%38.00%
20150.73%-7.25%$63,527-13.73%-5.24%
20162.07%22.19%$77,621-2.52%30.79%
20172.11%48.60%$115,34222.73%71.37%
20181.91%-7.77%$106,376-11.01%-25.15%
20192.29%69.89%$180,72634.74%102.31%
20200.32%14.52%$206,96078.45%-25.25%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTarget Volatility Model ReturnTarget Volatility Model BalanceDirexion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro S&P500 (UPRO)
20101-5.25%$9,4757.34%-11.19%
201023.47%$9,803-1.82%8.94%
201037.11%$10,500-6.73%18.90%
201046.96%$11,2319.96%4.08%
20105-5.45%$10,61916.54%-24.15%
201062.09%$10,84016.73%-16.58%
201077.94%$11,701-3.90%21.17%
201087.08%$12,53025.94%-13.46%
201097.97%$13,528-9.02%27.94%
2010100.16%$13,550-13.57%11.44%
201011-3.11%$13,128-6.03%-0.82%
2010123.66%$13,608-11.63%21.36%
20111-1.22%$13,442-9.40%6.56%
201127.86%$14,4994.49%10.39%
20113-0.59%$14,414-0.55%-0.80%
201147.75%$15,5316.57%8.73%
201152.44%$15,91110.36%-3.93%
20116-5.93%$14,968-7.39%-5.87%
201172.91%$15,40413.28%-6.39%
201186.24%$16,36527.34%-21.09%
2011923.56%$20,22141.35%-20.69%
20111020.73%$24,412-12.87%32.61%
201111-1.36%$24,0814.89%-3.35%
2011126.78%$25,7159.46%2.30%
201215.27%$27,070-1.50%13.90%
201223.56%$28,034-7.95%13.24%
20123-0.79%$27,813-13.02%9.29%
201245.23%$29,26614.37%-2.38%
201253.74%$30,36028.90%-17.35%
201266.72%$32,398-5.78%11.47%
201276.86%$34,62011.43%3.52%
201281.48%$35,133-4.61%6.53%
201290.60%$35,342-7.87%7.52%
201210-4.25%$33,840-2.13%-5.96%
2012112.37%$34,6423.90%1.01%
201212-1.89%$33,989-7.80%2.82%
201314.13%$35,393-9.58%15.39%
201323.83%$36,7493.39%3.56%
201335.31%$38,700-1.77%11.03%
201349.26%$42,28214.25%5.45%
20135-4.59%$40,340-19.65%6.80%
20136-7.54%$37,298-10.33%-5.23%
201371.23%$37,756-7.41%16.41%
20138-8.04%$34,721-4.47%-9.21%
201395.69%$36,6971.53%9.60%
2013109.32%$40,1154.12%13.76%
2013110.82%$40,444-8.19%8.87%
2013121.40%$41,013-6.01%7.54%
201412.50%$42,03919.47%-10.72%
201429.60%$46,0731.63%13.65%
201431.80%$46,9031.76%2.15%
201443.75%$48,6635.96%1.65%
201457.68%$52,3988.79%6.62%
201462.95%$53,944-1.00%6.22%
20147-1.55%$53,1081.61%-4.44%
2014813.17%$60,10114.42%11.95%
20149-5.38%$56,866-6.65%-4.44%
2014107.22%$60,9718.06%6.03%
2014118.68%$66,2619.08%8.34%
2014123.37%$68,4959.38%-1.54%
201518.54%$74,34131.01%-9.47%
201520.85%$74,969-17.87%17.48%
20153-0.90%$74,2952.57%-5.28%
20154-5.81%$69,975-10.30%2.59%
20155-2.64%$68,125-7.91%3.43%
20156-9.30%$61,788-12.49%-6.21%
201578.99%$67,34213.40%6.17%
20158-11.62%$59,516-2.75%-18.87%
20159-1.56%$58,5865.10%-8.64%
20151013.99%$66,780-1.73%26.79%
201511-0.47%$66,464-2.71%0.81%
201512-4.42%$63,527-2.41%-6.06%
201612.65%$65,21017.74%-15.38%
201624.71%$68,2798.71%-1.68%
201638.72%$74,236-0.64%21.50%
20164-0.62%$73,774-2.39%0.81%
201653.46%$76,3271.86%4.65%
201669.41%$83,50721.23%-0.20%
201679.12%$91,1206.07%11.13%
20168-1.49%$89,759-3.58%0.11%
20169-2.44%$87,566-4.78%-0.54%
201610-10.11%$78,712-13.32%-5.62%
201611-4.21%$75,402-23.91%11.05%
2016122.94%$77,621-0.99%5.96%
201713.51%$80,3421.49%5.14%
201728.52%$87,1894.41%11.91%
20173-0.91%$86,396-2.35%-0.22%
201743.59%$89,5014.43%2.77%
201754.41%$93,4515.17%3.70%
201761.71%$95,0521.98%1.51%
201772.10%$97,049-2.43%5.87%
201784.62%$101,53010.13%0.21%
20179-0.27%$101,254-7.29%5.69%
2017103.55%$104,844-0.53%6.83%
2017115.67%$110,7841.73%8.87%
2017124.11%$115,3425.04%3.45%
201815.37%$121,532-9.77%18.22%
20182-11.54%$107,502-9.57%-13.53%
201831.75%$109,3888.44%-8.69%
20184-1.98%$107,224-6.71%-0.14%
201855.88%$113,5255.27%6.46%
201861.15%$114,8321.49%1.29%
201873.75%$119,140-4.70%10.73%
201886.57%$126,9683.36%9.09%
20189-3.30%$122,771-8.77%1.20%
201810-15.35%$103,932-9.11%-20.78%
2018114.90%$109,0214.76%4.28%
201812-2.43%$106,37617.93%-26.25%
201918.05%$114,9370.41%23.89%
201922.69%$118,030-4.52%9.28%
2019310.68%$130,63517.00%4.85%
201943.02%$134,581-6.56%11.81%
20195-1.28%$132,86021.11%-18.89%
2019613.02%$150,1531.90%21.37%
201972.39%$153,7430.32%3.80%
2019811.49%$171,41535.11%-6.62%
20199-0.95%$169,792-9.07%5.30%
2019101.26%$171,928-4.11%5.70%
2019115.05%$180,616-2.01%10.73%
2019120.06%$180,726-10.05%8.38%
2020110.13%$199,03523.80%-0.91%
20202-4.48%$190,12217.91%-23.04%
20203-10.55%$170,06011.91%-48.13%
202045.00%$178,5572.68%37.17%
20205-0.43%$177,791-6.48%13.38%
202061.28%$180,0740.54%3.23%
2020714.93%$206,96013.13%17.70%
Portfolio return and risk metrics
MetricTarget Volatility Model
Arithmetic Mean (monthly)2.60%
Arithmetic Mean (annualized)36.02%
Geometric Mean (monthly)2.41%
Geometric Mean (annualized)33.15%
Volatility (monthly)6.13%
Volatility (annualized)21.22%
Downside Deviation (monthly)3.13%
Max. Drawdown-21.85%
US Market Correlation0.48
Beta(*)0.72
Alpha (annualized)21.82%
R223.14%
Sharpe Ratio1.44
Sortino Ratio2.81
Treynor Ratio (%)42.77
Calmar Ratio1.58
Active Return20.42%
Tracking Error19.04%
Information Ratio1.07
Skewness0.04
Excess Kurtosis1.25
Historical Value-at-Risk (5%)-8.80%
Analytical Value-at-Risk (5%)-7.48%
Conditional Value-at-Risk (5%)-11.41%
Upside Capture Ratio (%)132.08
Downside Capture Ratio (%)29.83
Safe Withdrawal Rate40.36%
Perpetual Withdrawal Rate24.82%
Positive Periods87 out of 127 (68.50%)
Gain/Loss Ratio1.37
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Target Volatility Model

Drawdowns for Target Volatility Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-21.85%
2Sep 2018Oct 20182 monthsMar 20195 months7 months-18.14%
3May 2013Aug 20134 monthsFeb 20146 months10 months-17.88%
4Aug 2016Nov 20164 monthsMay 20176 months10 months-17.25%
5Feb 2020Mar 20202 monthsJul 20204 months6 months-14.56%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-11.77%
7Jun 2011Jun 20111 monthAug 20112 months3 months-5.93%
8May 2010May 20101 monthJul 20102 months3 months-5.45%
9Sep 2014Sep 20141 monthOct 20141 month2 months-5.38%
10Jan 2010Jan 20101 monthMar 20102 months3 months-5.25%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year37.05%88.97%-7.77%
3 years31.32%50.35%18.75%
5 years29.64%46.94%21.00%
7 years29.79%35.71%22.49%
10 years33.57%33.57%33.57%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsTarget Volatility Model
1Jan 2010Jan 2010145.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-5.25%
2Feb 2010Feb 2010148.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.20% ProShares UltraPro S&P500 (UPRO)
3.47%
3Mar 2010May 2010345.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
8.32%
4Jun 2010Jun 2010157.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.65% ProShares UltraPro S&P500 (UPRO)
2.09%
5Jul 2010Jul 2010153.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.45% ProShares UltraPro S&P500 (UPRO)
7.94%
6Aug 2010Aug 2010148.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.61% ProShares UltraPro S&P500 (UPRO)
7.08%
7Sep 2010Nov 2010345.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
4.77%
8Dec 2010Dec 2010157.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.87% ProShares UltraPro S&P500 (UPRO)
3.66%
9Jan 2011Jan 2011146.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.94% ProShares UltraPro S&P500 (UPRO)
-1.22%
10Feb 2011Jul 2011645.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
14.60%
11Aug 2011Aug 2011157.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.02% ProShares UltraPro S&P500 (UPRO)
6.24%
12Sep 2011Sep 2011173.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
26.36% ProShares UltraPro S&P500 (UPRO)
23.56%
13Oct 2011Oct 2011147.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.75% ProShares UltraPro S&P500 (UPRO)
20.73%
14Nov 2011Nov 2011145.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-1.36%
15Dec 2011Dec 2011159.10% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.90% ProShares UltraPro S&P500 (UPRO)
6.78%
16Jan 2012Jun 20131845.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
45.05%
17Jul 2013Jul 2013164.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
35.25% ProShares UltraPro S&P500 (UPRO)
1.23%
18Aug 2013Aug 2013145.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-8.04%
19Sep 2013Sep 2013146.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.21% ProShares UltraPro S&P500 (UPRO)
5.69%
20Oct 2013Oct 2013145.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
9.32%
21Nov 2013Nov 2013147.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.75% ProShares UltraPro S&P500 (UPRO)
0.82%
22Dec 2013Mar 20151645.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
83.70%
23Apr 2015Apr 2015162.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.97% ProShares UltraPro S&P500 (UPRO)
-5.81%
24May 2015May 2015145.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-2.64%
25Jun 2015Jun 2015155.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.80% ProShares UltraPro S&P500 (UPRO)
-9.30%
26Jul 2015Aug 2015245.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-3.68%
27Sep 2015Sep 2015166.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
33.48% ProShares UltraPro S&P500 (UPRO)
-1.56%
28Oct 2015Oct 2015145.36% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
54.64% ProShares UltraPro S&P500 (UPRO)
13.99%
29Nov 2015Dec 2015245.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-4.87%
30Jan 2016Jan 2016158.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.19% ProShares UltraPro S&P500 (UPRO)
2.65%
31Feb 2016Feb 2016161.51% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
38.49% ProShares UltraPro S&P500 (UPRO)
4.71%
32Mar 2016Sep 2016745.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
28.25%
33Oct 2016Oct 2016158.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.27% ProShares UltraPro S&P500 (UPRO)
-10.11%
34Nov 2016Feb 20181645.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
36.58%
35Mar 2018Mar 2018170.59% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
29.41% ProShares UltraPro S&P500 (UPRO)
1.75%
36Apr 2018Apr 2018153.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.45% ProShares UltraPro S&P500 (UPRO)
-1.98%
37May 2018May 2018150.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.13% ProShares UltraPro S&P500 (UPRO)
5.88%
38Jun 2018Oct 2018545.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
-8.45%
39Nov 2018Nov 2018159.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.54% ProShares UltraPro S&P500 (UPRO)
4.90%
40Dec 2018Dec 2018153.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.25% ProShares UltraPro S&P500 (UPRO)
-2.43%
41Jan 2019Jan 2019167.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
32.34% ProShares UltraPro S&P500 (UPRO)
8.05%
42Feb 2019Feb 20201345.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.00% ProShares UltraPro S&P500 (UPRO)
65.41%
43Mar 2020Mar 2020158.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.20% ProShares UltraPro S&P500 (UPRO)
-10.55%
44Apr 2020Apr 2020189.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
10.31% ProShares UltraPro S&P500 (UPRO)
5.00%
45May 2020May 2020176.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
23.48% ProShares UltraPro S&P500 (UPRO)
-0.43%
46Jun 2020Jun 2020159.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.77% ProShares UltraPro S&P500 (UPRO)
1.28%
47Jul 2020Jul 2020161.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
38.13% ProShares UltraPro S&P500 (UPRO)
14.93%
48Aug 2020Aug 20201Please sign-in for forward signals-
Timing model trades are executed at the close price of the first trading day of each month, and the assets held on the first trading day will differ from the assets held for the rest of the month.