yearly_sharpe
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 2026-09-22, from open-source-tradingview-optimizer.
| year | spy_sharpe |
|---|---|
| 2016 | 0.77 |
| 2017 | 2.67 |
| 2018 | -0.3 |
| 2019 | 2.08 |
| 2020 | 0.62 |
| 2021 | 1.9 |
| 2022 | -0.78 |
| 2023 | 1.73 |
| 2024 | 1.73 |
- Rows × columns
- 9 × 2
- 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 | 9 distinct values (2016, 2017, 2018…) | |
spy_sharpe |
number | -0.78 to 2.67 |
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
d,
px / prev_px - 1 AS ret
FROM
(
SELECT
date AS d,
toFloat64(close) AS px,
lagInFrame(toFloat64(close)) OVER (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2015-12-31'
AND date <= '2024-12-31'
)
WHERE prev_px > 0
)
SELECT
toString(toYear(d)) AS year,
round(avg(ret) / stddevPop(ret) * sqrt(252), 2) AS spy_sharpe
FROM daily
GROUP BY year
ORDER BY year