Simulation Parameters

The simulation parameters table shows:

• simulation - the name that you assigned to your simulation
• strategy - the name of the strategy used for the simulation along with a link to this strategy
• dates - the date span of the simulation
• price - the pricing option which you selected for the simulation, including commission rates
• value - the value of the portfolio at the beginning and end of the simulation
• notes - any notes which you recorded when you ran the simulations

Simulation Results

The simulation results table shows:

• total gain - the total dollar and percentage gain of the portfolio over the course of the simulation
• annual growth - compound annual growth rate (cagr) for the simulated portfolio (see the investopedia cagr page)
• sharpe ratio - the sharpe ratio of the simulation, in comparison with the 30 year t-bond as a risk free instrument. The sharpe ratio is intended to measure the gains of a portfolio relative to the gains of a risk free instrument. The relative gains are divided by the standard deviation of return so that portfolios with a higher standard deviation will have a lower sharpe ratio. In general a sharpe ratio of 1.0 or greater is considered to be good. There are many good resources on the web for learning about the sharpe ratio, including the wikipedia sharpe ratio page.
• sortino ratio - the sortino ratio of the simulation, in comparison with the 30 year t-bond as a risk free instrument. As with the sharpe ratio, the sortino ratio is intended to measure the gains of a portfolio relative to the gains of a risk free instrument. However, the sortino only penalizes these gains by underperformance of the portfolio relative to the risk free rate -- deviations above these returns are not included in the denominator. There are many good resources on the web for learning about the sortino ratio, including the wikipedia sortino ratio page.
• worst year - the worst annual return for the simulated portfolio, computed by rolling forward 1 year for each day in the simulation.
• alpha - alpha for the simulated portfolio, using the s&p 500 as a benchmark. Alpha is the annualized intercept of a linear least squares fit of the monthly excess simulation returns (returns over risk free rate) versus the monthly excess returns of the s&p 500. The higher the alpha, the better the returns are expected to be in comparison with the s&p 500. There are many great sources of additional information on the web regarding portfolio alpha, beta and r-squared, including this article.
• beta - beta for the simulated portfolio, using the s&p 500 as a benchmark. Beta is the slope of a linear least squares fit of the monthly excess simulation returns (returns over risk free rate) versus the monthly excess returns of the s&p 500. A beta of 1 shows that the simulated portfolio gains are highly correlated with the s&p 500 gains over time whereas a beta of 0 shows that the simulated portfolio gains are independant of the s&p 500 gains. A beta of -1 shows that the simulated portfolio gains are anticorrelated with the s&p 500. There are many great sources of additional information on the web regarding portfolio alpha, beta and r-squared, including this article.
• r-squared - r-squared for the simulated portfolio, using the s&p 500 as a benchmark. The r-squared is a measure of the statistical significance of the alpha and beta obtained from a linear least squares fit of the monthly excess simulation returns (returns over risk free rate) versus the monthly excess returns of the s&p 500. R-squared varies between 0 (no significance to the fit) and 1 (the data points represent a perfect linear fit). There are many great sources of additional information on the web regarding portfolio alpha, beta and r-squared, including this article.
• average cash - the average percentage of the total portfolio value which is in cash
• average annual turnover - the turnover ratio is calculated based on the lesser of purchases or sales divided by the average size of the portfolio (including cash). The simulation turnover ratio is computed for each year in the simulation. Partial years are included in the average but are assigned a weight in the average of less than one, proportional to the time within the year that the simulation was run.
• average monthly trading - the average number of trades (opens and closes) for each month in the simulation. This figure gives you a feel for the ease of trading a given strategy.
• positions - the number of positions opened and closed during the course of the simulation
• profitable trades - the percentage of closed positions which were profitable
• average gain per close - the average percentage gain for each closed position

Simulation Performance Comparison

The performance comparison plot and table provide the dollar and percent gains for the Dow Jones Industrial Average, S&P 500, NASDAQ, and the simulated portfolio over the simulation date range.

Note the 'customize plot' link above the simulation plot. Clicking on this link with take you to the simulation plots page where you can customize your simulation plot.

Simulation Details

The simulation details area allows you to review the details of each and every autoinvestor action during the course of the simulation. Simply select a date for the simulation and you can review the results for this date:

Exporting simulation results as spreadsheet

Extending simulation date range