If I am roaming and change the SIMcard, is the original Whatsapp data stored anywhere? Is there any way for -let's say the police- to track down all places I have traveled to?
In Android, actions such as accessing datas, running scripts, calling functions etc. are done by users which are simply applications. Every application got their own data folder that can't be reached by other apps. That includes your Whatsapp data too. Your GSM operator can't reach your Whatsapp data that is stored on your phone. However, since all data transaction is done through Whatsapp servers, should they get the required papers from a court, cops can ask or force Whatsapp to turn in the information the have about you, depending on the jurisdiction you live in.
Additionally, if you have a SIMCard in your phone that is in reach of any GSM towers, GSM company can detect of which tower you get your signal. They can even use satellites to pinpoint your location. But if you haven't at least murdered anyone, I don't believe any court would give that an OK. I don't think cops would try at all.
Also, SIM cards have very low internal storage area to store any actual information on them anyway.