Asset Allocation Rebalancing Backtester

A command-line tool to backtest possible asset allocations in an investment portfolio given historical data sample with periodic (e.g. yearly) returns for each asset class.

Prerequisites

Node.js installed.

Usage

npm start ./data/<data-file>.json ./data/<params-file>.json <resultsLimit>

Input Files

Data File

Example of a JSON data file with historical yearly returns. Each array element contains an object where key is an asset name and value is change of the asset's price value in percent.

[
  {
    "year": 1972,
    "stocks": 18.76,
    "bonds": 11.41,
    "gold": 42.57
  },
  {
    "year": 1973,
    "stocks": -14.31,
    "bonds": 4.32,
    "gold": 66.96
  }
  // ...
]

Params File

Params file contains several options:

• sortBy - how results are sorted; the options are: Return, MaxDrawdown and Sortino

• resultsLimit - a number that defines the amount of top results printed out

• minimalAcceptableReturn - used to calculate Sortino Ratio

• allocationLimits - defines allocation combinations for each asset via allocation limits and change step; the key of each asset should be equal to the respective header in the Data file.

Example of the params file:

{
  "sortBy": "Return",
  "resultsLimit": 10,
  "minimalAcceptableReturn": 0.3,
  "allocationLimits": {
    "stocks": { "min": 0.5, "max": 1, "step": 0.1 },
    "bonds": { "min": 0.1, "max": 0.5, "step": 0.1 },
    "gold": { "min": 0.2, "max": 0.6, "step": 0.1 }
  }
}

In the example above, the algorithm will test the following allocations for gold: 0.2, 0.3, 0.4, 0.5, 0.6.