BacktestFolio — a workbench for backtests, withdrawal scenarios, and efficient frontiers over decades of data.
Portfolio backtests on 30+ years of real data, ETF & fund analysis, financial planner
FREE · NO SIGN-UP REQUIRED
- 0+markets & exchanges
- 0+years of history
- 0+historical indices
- 0.000+listed instruments
Analysis tools
Nine analysis areas, each with historical data and consistent metrics.
Backtest
Real historical periods, index extension, rebalancing, DCA, quantitative metrics, drawdown, and risk metrics.
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Inflation
CPI index applied to compute real value.
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Rolling correlations
Pearson coefficient on daily or monthly windows.
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Efficient frontier
Allocations and risk/return curve over the selected assets.
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Financial goal
Set a capital target, simulate the required contributions, and view the probability of reaching it within the planned horizon.
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Withdrawal strategies
SWR, Trinity, Monte Carlo, Guyton-Klinger, and dynamic rules.
Explore the FIRE calculator
Rolling analysis
Distribution of daily/monthly returns over 1/3/5/7/10-year windows for comparing ETFs, funds, and indices.
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Quantitative analysis
CAGR, volatility, Sharpe, Sortino, Calmar, Ulcer Index, and recovery factor for the individual instrument.
ETF analysis
Risk/return
Jensen’s Alpha, Beta, Treynor, Information Ratio, Tracking Error, M², and up/down capture ratio.
ETF analysis
Workflow
Three steps from selection to results.
- 01
Load instruments
Add ETFs, funds, equities, and indices; set weights and rebalancing.
- 02
Set parameters
Initial capital, DCA amount and frequency, rebalancing, currency, TER.
- 03
Analyze the results
Metrics, inflation, correlation, drawdown, VaR, efficient frontier, financial goal, withdrawal strategies.
Methodology
A calculation engine grounded in quantitative literature.
Performance and risk metrics
CAGR · TWRR · Sharpe · VaR
Annualized returns, drawdown, 1–10Y rolling windows, calendar returns, and real-value deflation via CPI (Fisher equation).
Efficient frontier
Markowitz · ERC · Pearson
Mean-variance optimization with Barzilai-Borwein: min variance, max Sharpe/Sortino, diversification ratio, iso-return/iso-risk.
Withdrawal strategies
Trinity · SWR · Guyton-Klinger
Trinity Study, path-consistent SWR, Guyton-Klinger, VPW, floor/ceiling, and Vanguard rules for retirement spending.
Monte Carlo simulations
Box-Muller · GARCH · Bootstrap
Box-Muller, stationary bootstrap, GARCH(1,1), and two-state regime switching with EM for probabilistic scenarios.
Financial goal
Bisection · MC p5–p95
Solved by bisection and cascade on MC simulation with p5–p95 percentile scenarios.
Read the full detail
Across backtest and fund analysis, BacktestFolio computes CAGR, TWRR, and MWRR (IRR via Newton-Raphson), annualized volatility, Sharpe, Sortino, Calmar, Ulcer Index, Maximum Drawdown and time to recovery, historical VaR and CVaR (95% and 99%), Beta, Jensen’s Alpha, Information Ratio, Tracking Error, Treynor, M-squared, and up/down capture ratios versus the benchmark, rolling returns over 1/3/5/7/10Y windows with percentiles and positive-period shares, calendar returns, and real-value deflation via CPI using Fisher’s equation. The efficient frontier uses mean-variance optimization (Markowitz) with Barzilai-Borwein gradient descent for minimum variance, maximum Sharpe, maximum Sortino, maximum diversification ratio, equal risk contribution, and iso-return / iso-risk; the covariance matrix and Pearson correlation, marginal risk contributions, component VaR, and effective number of assets are all surfaced. Withdrawal strategies cover Trinity Study, path-consistent SWR, Guyton-Klinger, VPW, floor/ceiling, and Vanguard rules, with Monte Carlo simulations based on Box-Muller, stationary bootstrap, GARCH(1,1), and 2-state regime-switching with EM. The financial goal is solved by bisection and cascade over MC simulations with p5–p95 percentile scenarios.
Plans
Three plans, matched to your analysis workload.
Free to explore with history up to 10 years. Plus for extended history, unlimited backtesting and the planner. Pro for unlimited cloud and PDF reports.
Free
- Up to 10 years of history
- Portfolio backtesting
- ETF and fund analysis
- Up to 5 portfolios in the cloud
Plus
- Extended history, 30+ years
- Unlimited backtesting and analysis
- Planner: withdrawals & Monte Carlo
- Up to 20 portfolios in the cloud
- ETF and fund fundamentals
- Portfolio comparison
Pro
Includes the full Plus plan
- Unlimited cloud portfolios
- Full PDF report
- Portfolio tracker (coming soon)
Quick answers to the most common questions.
Frequently asked questions
Can I use real ETFs and indices?
Yes. A portfolio can mix real tickers (with TER included) and indices. The history-extension section lets you extend an ETF backward using its index.
What’s included in the Free plan?
Classic backtest with up to 10 years of history, up to 5 portfolios saved to the cloud. Enough to explore and validate simple strategies.
How does payment work?
Monthly or yearly subscription managed by Paddle. Automatic invoice and integrated subscription management. No payment data passes through BacktestFolio.
Can I cancel anytime?
Yes. Cancellation is immediate from your account panel; access stays active until the end of the period you’ve already paid for.
Does BacktestFolio provide financial advice?
No. It’s a quantitative analysis tool. The results are informational and do not constitute an investment recommendation. Past performance is not a guarantee of future results.
Open the Tool.
Free backtest with no sign-up required; extend the history by upgrading to a higher plan.