SEBI's close-out formula applied to a US tape (AAPL, trailing three weeks, illustrative)

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.

SELECT
    toString(session_date)                                  AS trade_date,
    round(two_session_high, 2)                              AS highest_traded_two_sessions,
    round(next_close * 1.2, 2)                              AS twenty_pct_above_next_close,
    round(greatest(two_session_high, next_close * 1.2), 2)  AS close_out_price
FROM
(
    SELECT
        session_date,
        max(day_high)      OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS two_session_high,
        anyLast(day_close) OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS next_close,
        count()            OVER (ORDER BY session_date ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS sessions_in_frame
    FROM
    (
        SELECT
            date                  AS session_date,
            max(toFloat64(high))  AS day_high,
            max(toFloat64(close)) AS day_close
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'AAPL'
          AND date >= today() - 21
        GROUP BY date
    )
)
WHERE sessions_in_frame = 2
ORDER BY session_date