OPEN-SOURCE SCRIPT

Rolling Performance Toolkit (Returns, Correlation and Sharpe)

74
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.

免責事項

これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。