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Portfolio Backtesting Guide

A useful backtest begins with a decision, not with a search for the highest historical return.

01

Define the reference portfolio

Specify assets, weights, contributions, rebalancing, costs, dividends, inflation, and the available data window before reading a result.

02

Change one variable

Keep the reference portfolio fixed while changing one allocation, asset, timing rule, or assumption. This makes the measured difference interpretable.

03

Test the conclusion

Repeat the comparison across start years and market regimes. A result that depends on one favorable window should be treated as conditional.