The same Kelly calculation on the S&P 500 tracker, year by year, 2016 through 2025
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-07-31, from Kelly Criterion Position Sizing, Measured.
| year | win_rate_pct | avg_gain_pct | avg_loss_pct | full_kelly_x |
|---|---|---|---|---|
| 2016 | 53.8 | 0.58 | 0.58 | 13.7 |
| 2017 | 56.8 | 0.33 | 0.27 | 81.8 |
| 2018 | 51.8 | 0.7 | 0.8 | -3.6 |
| 2019 | 59.9 | 0.56 | 0.58 | 32.1 |
| 2020 | 57.5 | 1.25 | 1.49 | 4.5 |
| 2021 | 57.9 | 0.63 | 0.63 | 24.8 |
| 2022 | 43.4 | 1.29 | 1.12 | -5.1 |
| 2023 | 56.8 | 0.65 | 0.65 | 21.3 |
| 2024 | 57.5 | 0.59 | 0.59 | 24.6 |
| 2025 | 57.8 | 0.69 | 0.79 | 12.3 |
- Rows × columns
- 10 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
year |
text | 10 distinct values (2016, 2017, 2018…) | |
win_rate_pct |
number | 43.4 to 59.9 | percent |
avg_gain_pct |
number | 0.33 to 1.29 | percent |
avg_loss_pct |
number | 0.27 to 1.49 | percent |
full_kelly_x |
number | -5.1 to 81.8 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
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 daily AS (
SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS dt,
argMax(toFloat64(close), window_start) AS c
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= '2016-01-01 00:00:00'
AND window_start < '2026-01-01 00:00:00'
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY dt
),
steps AS (
SELECT dt, c,
lagInFrame(c) OVER (ORDER BY dt ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev
FROM daily
),
rets AS (
SELECT dt, c / prev - 1 AS ret
FROM steps
WHERE prev > 0 AND c != prev
)
SELECT toString(toYear(dt)) AS year,
round(100 * countIf(ret > 0) / count(), 1) AS win_rate_pct,
round(100 * avgIf(ret, ret > 0), 2) AS avg_gain_pct,
round(100 * abs(avgIf(ret, ret < 0)), 2) AS avg_loss_pct,
round(countIf(ret > 0) / count() / abs(avgIf(ret, ret < 0))
- countIf(ret < 0) / count() / avgIf(ret, ret > 0), 1) AS full_kelly_x
FROM rets
GROUP BY year
HAVING countIf(ret > 0) > 0 AND countIf(ret < 0) > 0
ORDER BY year
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