SPY: share of sessions that swept the prior day's high or low, by year

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
    toYear(date)                                                          AS year,
    round(100.0 * countIf(hi > prior_hi AND cl < prior_hi) / count(), 1)  AS high_sweep_pct,
    round(100.0 * countIf(lo < prior_lo AND cl > prior_lo) / count(), 1)  AS low_sweep_pct
FROM
(
    SELECT
        date,
        hi,
        lo,
        cl,
        lagInFrame(hi) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prior_hi,
        lagInFrame(lo) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prior_lo
    FROM
    (
        SELECT
            date,
            argMax(high,  _ingest_time) AS hi,
            argMax(low,   _ingest_time) AS lo,
            argMax(close, _ingest_time) AS cl
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= '2020-12-31'
          AND date <  '2026-01-01'
        GROUP BY date
    )
)
WHERE date >= '2021-01-01'
  AND prior_hi > 0
GROUP BY year
ORDER BY year