Backtest Help
This page explains how Livefolio's strategy builder backtest works: data inputs, simulation methodology, and metric definitions.
Methodology
- Data source: daily adjusted OHLC from Yahoo Finance.
- Signal evaluation: all signal conditions are evaluated at each trading day close.
- Allocation routing: allocations are checked in order; the first matched path is selected. If no path matches, the default allocation is used.
- Effective start date: the simulation starts on the latest available first date across all required ticker series and indicator lookbacks.
- Rebalancing:
- Never: only trade when allocation path changes.
- Drift-based: rebalance when target vs current weight drift exceeds your threshold.
- Calendar-based: force rebalance on the selected cadence.
- Execution model: end-of-day fills using adjusted close prices with deterministic portfolio accounting.
- Taxes: realized gains are tracked with HIFO lot selection and optional wash sale handling.
Indicators
| Indicator | Definition |
|---|---|
| Price | Adjusted close price for the selected ticker. |
| SMA | Simple moving average over N trading days. |
| EMA | Exponential moving average over N trading days. |
| RSI | Relative Strength Index over N trading days. |
| Max | Highest adjusted close over the lookback window. |
| Min | Lowest adjusted close over the lookback window. |
| Return | Percent return over the lookback window. |
| Threshold | A fixed numeric constant for comparisons (for example 30). |
Metrics
| Metric | Definition |
|---|---|
| Final Value | Ending portfolio value at the last simulated date. |
| Total Return | Cumulative return over the full simulation window. |
| CAGR | Compounded annual growth rate over the simulation window. |
| Max Drawdown | Largest peak-to-trough decline in portfolio value. |
| Volatility | Annualized standard deviation of daily returns. |
| Sharpe | Annualized excess return divided by annualized volatility. |
| Trades | Number of executed buy and sell transactions in the simulation. |
Available Tickers (249)
The builder ticker picker supports this tracked universe. Symbols use Yahoo Finance format.
^DJI^FVX^GSPC^IRX^NDX^RUT^TNX^TYX^VIX^VIX3MAAPBAAPUAAPXAHLTAIALLWAMDLAMZUAMZZARMUARQASGMAVDVAVGUAVGXBABXBDCXBIBBILBITXBLNDXBNKUBRZUBULZCAOSCARUCHAUCONLCTAPCURECWEBDAXDBMFDDMDFENDIADIGDJTUDPSTDRIPDUSLEDCEDVEETEFOEMFERXETHUEUEURLEZJFANGFASFBLFLYUFNGGFNGOFNGUGDEGDTGDXUGEMGGLLGLDGMEUGOOXGUSHHDLBHFEQHFGMHFMFHIBLHIMZHOOXHYGIEFIGVIMOINDLIONXIWDLIWFLIWMIWMLJNUGKBABKBDUKMLMKORUKPDDLABULBRTLQDLSELTLMAMETUMEXXMIDUMIXMLPRMOODMSCIMSFUMSFXMSOXMSTUMSTXMTULMVVNAILNFLUNQNRGUNTSENTSXNUGTNVDLNVDUNVDXOILOKLLORRPILLPLTUQDSIXQLDQMNNXQQQQTJAQTOCQULLRBLURETLRIOXRKLXRKLZROBNROMRSRSBARSBTRSIRSSBRSSTRSSXRXLRYTTXSAASARKSCDLSDMFSECSHNYSHYSIGSILSKYUSLVSMCXSMHBSOXLSPLSSPUUSPXLSPYSPYUSQQQSSOTARKTECLTFSATLTTMFTMVTNATPORTQQQTSDDTSLTSLLUBOTUBRUCCUCYBUDOWUGEUGLUKUMDDUPROUPVUPWURTYUSDUSMLUSOUTSLUUPUVXYUWMUXIUYGUYMVNQVOOVSVTVXUSWANTWAYWEBLWTLSXBJAXBOCXDECXDSQXJUNXLBXLEXLFXLIXLKXLPXLREXLUXLVXLYXPPXQQIXSEPXSPIXTAPXTJAXTJLXTOCYEARYINNZROZ