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Most investors make the mistake of looking at a strategy’s returns from “Day 1 to the Current Day.” This is called Endpoint Bias. If the market happened to have a massive bull run exactly at the end of your testing window, your strategy will look like a genius, even if it performed terribly for the three years prior. Rolling Returns Analysis solves this by calculating the portfolio’s return for every possible overlapping holding period (e.g., every possible 1-year window in your 5-year dataset).

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Why It Matters

Rolling Returns show you the consistency of your alpha.
  • The Robust Strategy: If your rolling returns are consistently positive, it means your strategy isn’t just “lucky”—it is structurally sound and generates value regardless of when you happened to enter the market.
  • The Fragile Strategy: If your rolling returns show massive swings between +50% and -30%, your strategy is highly dependent on specific market regimes and will likely fail as soon as that regime shifts.
Where to find this in Kalpi: Select the Rolling Statistics tab in your Portfolio Analysis to view the smoothed performance curves of your active strategy versus your benchmark.