A 24-cell moving-average grid on SPY, ranked by Sharpe

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
    series AS
    (
        SELECT arraySort(r -> r.1, groupArray((date, toFloat64(close)))) AS rows_sorted
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= '2016-01-04'
          AND date <= '2025-06-30'
    ),
    grid AS
    (
        SELECT
            arrayMap(r -> r.2, rows_sorted) AS px,
            g.1                             AS fast,
            g.2                             AS slow
        FROM series
        ARRAY JOIN
        [
            (5, 50), (5, 100), (5, 150), (5, 200),
            (10, 50), (10, 100), (10, 150), (10, 200),
            (15, 50), (15, 100), (15, 150), (15, 200),
            (20, 50), (20, 100), (20, 150), (20, 200),
            (25, 50), (25, 100), (25, 150), (25, 200),
            (30, 50), (30, 100), (30, 150), (30, 200)
        ] AS g
    ),
    cells AS
    (
        SELECT
            fast,
            slow,
            arrayMap(
                i -> if(arrayAvg(arraySlice(px, i - fast + 1, fast)) > arrayAvg(arraySlice(px, i - slow + 1, slow)),
                        px[i + 1] / px[i] - 1,
                        0.0),
                range(200, length(px))
            ) AS rets
        FROM grid
    )
SELECT
    concat(toString(fast), ' / ', toString(slow)) AS cell,
    round(arrayAvg(rets)
          / sqrt(arrayAvg(arrayMap(r -> r * r, rets)) - pow(arrayAvg(rets), 2))
          * sqrt(252), 2)                         AS sharpe
FROM cells
ORDER BY sharpe DESC