Return windows

Also seen as: trailing return, rolling return, month to date, year to date

What does each return window cover?

Each window has a fixed start rule and the same end point: the last bar of the data. The start rules below are the ones a strategy's windows follow; the screener's per-symbol columns of the same four names carry the app descriptions quoted here, and no boundary rule is stated for those columns.

In words: 1M and 1Y answer "how did this do over the last month / last year", regardless of where those periods fall on the calendar. MTD and YTD answer "how has this done so far this month / this year", so they get longer the further into the month or year the data runs, and start over when a new one begins.

If you have seen the trailing windows written as M1 and Y1, those are older labels that have been retired: 1M and 1Y are the names the product uses everywhere today, for the same two windows.

Are the windows trailing or calendar-anchored?

1M and 1Y are trailing; MTD and YTD are calendar-anchored. On a strategy, a trailing window is built by rolling back one month or one year from the last bar of its data and then snapping forward to the first available price bar on or after that date — so a 1M figure covers approximately, not exactly, one month, because markets are closed on some days. A calendar-anchored window ignores the length of the period entirely and simply starts at the first day of the month or year that the last bar falls in, which makes MTD and YTD partial periods of whatever length the calendar happens to give them. All four end at the same point.

Why can a window end before today?

Because the windows end at the last bar of the data, not on today's date. For a strategy, that last bar is the final day of its backtest — so a strategy that was last run a week ago shows an MTD that stops a week ago, and its four window figures do not move until the strategy is run again. "YTD" therefore means year-to-date-of-the-data, and comparing two strategies whose runs ended on different dates compares two slightly different windows.

Defaults in Fincanva

• The strategies list shows all four as sortable columns, in the order "MTD", "1M", "YTD", "1Y", as percentages to one decimal place and coloured by sign.
• On screener results, the Returns tab shows "YTD", "1M" and "MTD" as numeric columns and "1Y" as a mini line chart with the return percentage beside it; each header carries the hover description quoted in the table above.
• The windows are period returns, not annualized figures: 1M is one month's return as it stands, never scaled up to a yearly rate. See annualization for the figures that are scaled.
• The live book summary strip uses the same four windows as a selector: pick MTD, YTD, 1Y or 1M and every panel recomputes against that window.

Worked example

A strategy's backtest ends on 18 March. On that run, MTD covers 1 March to 18 March. 1M is trailing, so it rolls back one calendar month to 18 February, takes the first price bar on or after that date, and runs to 18 March. YTD covers 1 January to 18 March. 1Y is trailing over the same rule, from mid-March a year earlier to 18 March. Open the same strategy in April without re-running it and none of the four figures change — they still end on 18 March, and MTD still covers 1–18 March rather than the days of April, because every window is anchored to the run's last bar rather than to today's date.

Return windows describe what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.