Rolling returns

This tool visualizes the distribution of rolling returns given a time series of daily prices.

Rolling returns are useful for examining how assets behaved on various holding periods.

Input

The simulation is prefilled with a consisting of the S&P 500 and the MSCI World daily adjusted closing prices.

You can override that at any time by uploading a CSV file formatted as follows:

Date,Asset 1,Asset 2,etc...
YYYY-MM-DD,123.45,67.89,etc...

… or simply choose some Yahoo Finance tickers:

Some tickers are ambigous and require you to specify the exchange.

For example, to get data for VWCE you should write VWCE.MI for Borsa Italiana, VWCE.DE for XETRA, and so on…

Use the Yahoo Finance search to find out the exact ticker.

Dataset preview

Historical prices

This section allows you to filter out data that in your opinion is either too old or too recent.

Deliberately excluding data from the simulation is a form of cherry picking. Careful or you might end up overfitting the statistics and lying to yourself.

Returns

Given a rolling window of size , let's simulate buying on day and selling on day for every possible day:

Probability distribution

Let's now use the set of profits/losses to compute a probability distribution of the expected returns after holding for years and days.