I still think it should be log()ed explicitly. Coming back to options world, entry_price is a constant when opening the contract, let's ignore dividends, the f

I still think it should be log()ed explicitly. Coming back to options world, entry_price is a constant when opening the contract, let's ignore dividends, the formula is (exit_price - entry_price) / entry_price = exit_price/entry_price - 1 = exit_price/constant - 1. This is normally distributed if, and only if exit_price is normally distributed. You'd want to to add back the 1, log() it, add back the log(constant) to cancel it out and just work on the log(exit_price) normally distributed random variable. Stock return really is not normally distributed. Log(stock return) is normally distributed (under B-S, it's an assumption after all). Stock return is log-normally distributed. Multiply by 1/entry_price and subtract 1 to get your version of stock returns.