A naive open-to-close yardstick, netted against a ladder of slippage assumptions

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
    naive_rule AS
    (
        SELECT
            ticker,
            round(avg((toFloat64(close) / toFloat64(open) - 1) * 10000), 3) AS gross_edge_bps
        FROM global_markets.stocks_daily_aggs
        WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'JNJ', 'XOM', 'PG', 'WMT', 'JPM')
          AND date >= '2026-01-02'
          AND date <  '2026-07-01'
          AND open > 0
          AND volume > 0
        GROUP BY ticker
    ),
    ladder AS
    (
        SELECT arrayJoin([0., 0.5, 1., 2., 3., 5.]) AS slippage_bps
    )
SELECT
    l.slippage_bps                                        AS assumed_slippage_bps,
    count()                                               AS names_tested,
    countIf(r.gross_edge_bps - 2 * l.slippage_bps > 0)    AS names_still_positive,
    round(avg(r.gross_edge_bps - 2 * l.slippage_bps), 2)  AS avg_net_edge_bps
FROM naive_rule AS r
CROSS JOIN ladder AS l
GROUP BY l.slippage_bps
ORDER BY assumed_slippage_bps