Portfolio Backtester

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Key Features:

Multi-Asset Backtesting Engine: Simulates the performance of portfolios with multiple assets (stocks/ETFs) using historical data automatically fetched via Yahoo Finance.
Flexible Rebalancing Strategies: Supports various rebalancing frequencies including Monthly, Quarterly, Yearly, or Every N Days, with options for custom asset weighting.
Advanced Cost Modeling: Includes realistic simulation of trading frictions by allowing users to define Transaction Fees and Slippage (in basis points).
Comprehensive Risk & Performance Metrics: Calculates a vast array of financial metrics including:
- Returns: Total Return, CAGR.
- Risk-Adjusted: Sharpe, Sortino, and Calmar Ratios.
- Tail Risk: Max Drawdown, VaR (Value at Risk) 95%/99%, and CVaR (Expected Shortfall).
- Statistical: Skewness, Kurtosis, and Hit Ratio.
Benchmark Analysis: Compares portfolio performance against a user-defined benchmark (e.g., S&P 500) to compute Beta, Alpha, Correlation, and R-Squared.
Rich Visualizations:
- Equity & Drawdown Curves: Interactive line charts (with Log Scale option) and underwater plots.
- Rolling Analysis: Dynamic charts for Rolling Volatility and Rolling Sharpe Ratio to assess stability over time.
- Heatmaps: Asset Correlation matrices and Monthly/Yearly Return grids.
Monte Carlo Simulation: Performs forward-looking risk analysis using Geometric Brownian Motion (GBM) or Historical Bootstrap methods to forecast future potential paths and expected returns.
Export & Reporting: Generates detailed automated text interpretations of performance and allows full data export (History, Metrics, Simulation results) to Excel.