risk_sweep

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

WITH px AS (
    SELECT
        ticker,
        date,
        toFloat64(close) AS c
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('SPY', 'MSFT', 'JPM', 'HD', 'PEP')
      AND date >= '2008-12-01'
      AND date <  '2026-10-01'
),
ma AS (
    SELECT
        ticker,
        date,
        c,
        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 19  PRECEDING AND CURRENT ROW) AS ma_20,
        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 49  PRECEDING AND CURRENT ROW) AS ma_50,
        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 99  PRECEDING AND CURRENT ROW) AS ma_100,
        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 149 PRECEDING AND CURRENT ROW) AS ma_150,
        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 199 PRECEDING AND CURRENT ROW) AS ma_200
    FROM px
),
grid AS (
    SELECT
        ticker,
        date,
        c,
        g.1 AS label,
        g.2 AS ma_value
    FROM ma
    ARRAY JOIN [('MA 20', ma_20), ('MA 50', ma_50), ('MA 100', ma_100), ('MA 150', ma_150), ('MA 200', ma_200)] AS g
),
sig AS (
    SELECT
        label,
        ticker,
        date,
        c,
        any(c)                      OVER (PARTITION BY label, ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev_c,
        any(if(c > ma_value, 1, 0)) OVER (PARTITION BY label, ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS held
    FROM grid
),
port AS (
    SELECT
        label,
        if(date < '2020-01-01', 'in_sample', 'forward') AS window_name,
        date,
        avg(held * (c / prev_c - 1)) AS r,
        avg(held)                    AS exposure
    FROM sig
    WHERE prev_c > 0
      AND ((date >= '2010-01-01' AND date < '2020-01-01')
        OR (date >= '2020-09-01' AND date < '2026-10-01'))
    GROUP BY label, window_name, date
),
curve AS (
    SELECT
        label,
        window_name,
        date,
        r,
        exposure,
        exp(sum(log(1 + r)) OVER (PARTITION BY label, window_name ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)) AS equity
    FROM port
),
dd AS (
    SELECT
        label,
        window_name,
        r,
        exposure,
        equity / greatest(max(equity) OVER (PARTITION BY label, window_name ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW), 1.0) - 1 AS drawdown
    FROM curve
),
metrics AS (
    SELECT
        label,
        window_name,
        round(abs(min(drawdown)) * 100, 2)                                                        AS max_dd_pct,
        round(100.0 * countIf(r > 0 AND exposure > 0) / greatest(countIf(exposure > 0), 1), 2)     AS hit_rate_pct
    FROM dd
    GROUP BY label, window_name
)
SELECT
    label,
    anyIf(max_dd_pct, window_name = 'in_sample')   AS max_dd_in_sample_pct,
    anyIf(max_dd_pct, window_name = 'forward')     AS max_dd_forward_pct,
    anyIf(hit_rate_pct, window_name = 'in_sample') AS hit_rate_in_sample_pct,
    anyIf(hit_rate_pct, window_name = 'forward')   AS hit_rate_forward_pct
FROM metrics
GROUP BY label
HAVING countIf(window_name = 'in_sample') > 0
   AND countIf(window_name = 'forward') > 0
ORDER BY max_dd_forward_pct DESC