Kelly inputs from daily closes, 2016 through 2025: win rate, average gain, average loss, and the fraction the formula returns
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.
| ticker | win_rate_pct | avg_gain_pct | avg_loss_pct | full_kelly_x |
|---|---|---|---|---|
| SPY | 55.3 | 0.71 | 0.76 | 10.1 |
| MSFT | 54.1 | 1.17 | 1.16 | 7.4 |
| JNJ | 51.8 | 0.79 | 0.77 | 5.8 |
| KO | 53 | 0.76 | 0.8 | 4.4 |
| NVDA | 54.6 | 2.28 | 2.3 | 3.8 |
| TSLA | 52 | 2.71 | 2.64 | 2 |
- Rows × columns
- 6 × 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 |
|---|---|---|---|
ticker |
text | 6 distinct values (JNJ, KO, MSFT…) | |
win_rate_pct |
number | 51.8 to 55.3 | percent |
avg_gain_pct |
number | 0.71 to 2.71 | percent |
avg_loss_pct |
number | 0.76 to 2.64 | percent |
full_kelly_x |
number | 2 to 10.1 |
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 ticker,
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 IN ('SPY', 'KO', 'JNJ', 'MSFT', 'NVDA', 'TSLA')
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 ticker, dt
),
steps AS (
SELECT ticker, dt, c,
lagInFrame(c) OVER (PARTITION BY ticker ORDER BY dt
ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev
FROM daily
),
rets AS (
SELECT ticker, c / prev - 1 AS ret
FROM steps
WHERE prev > 0 AND c != prev
)
SELECT ticker,
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 ticker
HAVING countIf(ret > 0) > 0 AND countIf(ret < 0) > 0
ORDER BY full_kelly_x DESC
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