folklore_test
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 2026-09-17, from santa-claus-rally.
| label | windows_counted | following_year_down | following_year_down_pct | following_year_mean_pct | following_year_median_pct |
|---|---|---|---|---|---|
| Window fell | 6 | 2 | 33.3 | 2.2 | 6.33 |
| Window rose | 16 | 3 | 18.8 | 12.88 | 13.61 |
- Rows × columns
- 2 × 6
- 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 |
|---|---|---|---|
label |
text | 2 distinct values (Window fell, Window rose) | |
windows_counted |
number | 6 to 16 | |
following_year_down |
number | 2 to 3 | |
following_year_down_pct |
number | 18.8 to 33.3 | percent |
following_year_mean_pct |
number | 2.2 to 12.88 | percent |
following_year_median_pct |
number | 6.33 to 13.61 | percent |
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.
the exact SQL behind every number
WITH
spy_days AS
(
SELECT
date,
toYear(date) AS y,
toMonth(date) AS m,
argMax(toFloat64(close), _ingest_time) AS close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
GROUP BY date
),
ranked AS
(
SELECT
date,
y,
m,
close,
row_number() OVER (PARTITION BY y, m ORDER BY date DESC) AS sessions_from_end,
row_number() OVER (PARTITION BY y, m ORDER BY date ASC) AS sessions_from_start
FROM spy_days
WHERE m IN (12, 1)
),
windows AS
(
SELECT
toUInt16(if(m = 1, y - 1, y)) AS year,
toUInt16(year + 1) AS next_year,
anyIf(close, m = 12 AND sessions_from_end = 6) AS base_close,
anyIf(close, m = 12 AND sessions_from_end = 1) AS december_close,
anyIf(close, m = 1 AND sessions_from_start = 2) AS end_close
FROM ranked
GROUP BY year
HAVING countIf(m = 12 AND sessions_from_end = 6) = 1
AND countIf(m = 1 AND sessions_from_start = 2) = 1
),
year_ends AS
(
SELECT
y,
argMax(close, date) AS year_end_close
FROM spy_days
WHERE m = 12
AND date < toStartOfYear(today())
GROUP BY y
)
SELECT
if(w.end_close < w.base_close, 'Window fell', 'Window rose') AS label,
count() AS windows_counted,
countIf(n.year_end_close < w.december_close) AS following_year_down,
round(countIf(n.year_end_close < w.december_close) * 100 / count(), 1) AS following_year_down_pct,
round(avg((n.year_end_close / w.december_close - 1) * 100), 2) AS following_year_mean_pct,
round(quantileDeterministic(0.5)((n.year_end_close / w.december_close - 1) * 100,
toUInt32(w.year)), 2) AS following_year_median_pct
FROM windows AS w
INNER JOIN year_ends AS n ON n.y = w.next_year
GROUP BY label
ORDER BY label ASC
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The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.