The hindsight ceiling: SPY buy and hold, the same year without its biggest up days, and perfect one-day foresight

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 Look-Ahead Bias: The Backtest Killer.

Rows × columns

10 × 5

Computed

2026-07-31

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

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 2026-07-31, and the query below is what returned them.

WITH bars AS (
    SELECT date,
           toFloat64(close) AS c,
           any(toFloat64(close)) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev_c
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= toDate('2015-12-01')
      AND date <= toDate('2025-12-31')
),
rets AS (
    SELECT toYear(date) AS year,
           c / prev_c - 1 AS r
    FROM bars
    WHERE date >= toDate('2016-01-01')
      AND prev_c > 0
)
SELECT year,
       count() AS sessions,
       round(100 * (exp(sum(log(1 + r))) - 1), 1) AS buy_and_hold_pct,
       round(100 * (exp(sumIf(log(1 + r), r < 0.02)) - 1), 1) AS without_big_up_days_pct,
       round(exp(sum(log(1 + abs(r)))), 1) AS hindsight_ceiling_multiple
FROM rets
GROUP BY year
ORDER BY year