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.

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