OPEN-SOURCE SCRIPT

Rolling Performance Toolkit (Returns, Correlation and Sharpe)

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This script provides a flexible toolkit for evaluating rolling performance metrics between any asset and a benchmark.

Features:

Library-based: Built on a custom utilities library for consistent return and statistics calculations.

Rolling Window Control: Choose the lookback period (in days) to calculate metrics.

Multiple Modes: Toggle between Rolling Returns, Rolling Correlation, and Rolling Sharpe Ratio.

Benchmark Comparison: Compare your selected ticker against a benchmark (default: S&P 500 / SPX), but you can easily switch to any symbol.

Risk-Free Rate Options: Choose from zero, a constant annual % rate, or a proxy symbol (default: US03M – 3-Month Treasury Yield).

Annualized Sharpe: Sharpe ratios are annualized by default (×√252) for intuitive interpretation.

This tool is useful for traders and investors who want to monitor relative performance, diversification benefits, or risk-adjusted returns over time.

כתב ויתור

המידע והפרסומים אינם אמורים להיות, ואינם מהווים, עצות פיננסיות, השקעות, מסחר או סוגים אחרים של עצות או המלצות שסופקו או מאושרים על ידי TradingView. קרא עוד בתנאים וההגבלות.