Calculating the rolling performance of two securities over time

Question

If I want to compare the relative price performance of two equities, an easy way would be to calculate the Comparative Relative Strength (CRS) and graph the result.
The calculation is simple.  Divide the price of stock A by the price of stock B.  Daily data is most common but the comparison can be hourly or whatever other time frame interests you.  The only caveat is that there can't be any missing data. If the graph is rising, stock A is outperforming.  If the graph is declining, Stock B is outperforming.
Suppose that I'm interested in the price performance of two somewhat less correlated issues during longer term advances and corrections, perhaps a growth and income ETF versus the SPY.  What mathematical function would depict that relative performance, hopefully in a simple graph like the  CRS mentioned above?
If you have an answer, please post the formula rather than a word description.  TIA.

Mteam888 · Answer

This might not be super helpful, because it is quite complicated (and not a mathematical formula), but I have experimented with using this method:

Decide dates that work as pivot points for the market (E.G. when recessions, pullbacks, and trends.
Use your CRS method and graph each time period between each of your chosen "pivot points"
OPTIONAL: Link up all of these graphs (connect the start of one to the beginning of another), and observe which does better during pullbacks, and which does better during strong market trends.

E.G. You choose to plot the S&P 500 versus CCL. 1. Decide pivot points: Oct 2018, Dec 2018, Feb 2020, March 2020. Using the CRS method described, start calculating at Oct 2018, and end in Dec 2018. You see (this is an example, I'm not sure if this is what actually happened) that SPY outperformed CCL during this drawback. You then start another graph in Dec 2018 and plot to Feb 2020. You see that CCL outperforms SPY during this time period
If you absolutely need a formula I think that something as simple as y=(ADay1% change/BDay1%change,ADay2% change/BDay2%change...) would work...

Calculating the rolling performance of two securities over time

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