Squeeze sessions found by each parameter set, KO, three years

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
px AS
(
    SELECT
        date,
        toFloat64(any(close)) AS c,
        toFloat64(any(high))  AS h,
        toFloat64(any(low))   AS l
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'KO'
      AND date >= '2023-07-01'
      AND date <  '2026-09-01'
    GROUP BY date
),
tr AS
(
    SELECT
        date,
        c,
        h,
        l,
        lagInFrame(c) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev_c
    FROM px
),
stat AS
(
    SELECT
        date,
        stddevPop(c) OVER (ORDER BY date ROWS BETWEEN 19 PRECEDING AND CURRENT ROW) AS sd,
        count()      OVER (ORDER BY date ROWS BETWEEN 19 PRECEDING AND CURRENT ROW) AS bars,
        avg(if(prev_c > 0, greatest(h - l, abs(h - prev_c), abs(l - prev_c)), h - l))
                     OVER (ORDER BY date ROWS BETWEEN  9 PRECEDING AND CURRENT ROW) AS atr10,
        avg(if(prev_c > 0, greatest(h - l, abs(h - prev_c), abs(l - prev_c)), h - l))
                     OVER (ORDER BY date ROWS BETWEEN 13 PRECEDING AND CURRENT ROW) AS atr14,
        avg(if(prev_c > 0, greatest(h - l, abs(h - prev_c), abs(l - prev_c)), h - l))
                     OVER (ORDER BY date ROWS BETWEEN 19 PRECEDING AND CURRENT ROW) AS atr20
    FROM tr
),
graded AS
(
    SELECT
        label,
        2 * sd_mult * sd AS bb_span,
        2 * atr_mult * multiIf(atr_len = 10, atr10, atr_len = 14, atr14, atr20) AS kc_span
    FROM stat
    ARRAY JOIN
        ['KC ATR20 x1.5 (squeeze default)', 'KC ATR20 x1.0', 'KC ATR20 x2.0',
         'KC ATR14 x1.5', 'KC ATR10 x1.5', 'BB 1.5 sigma, KC ATR20 x1.5'] AS label,
        [2.0, 2.0, 2.0, 2.0, 2.0, 1.5]  AS sd_mult,
        [20, 20, 20, 14, 10, 20]        AS atr_len,
        [1.5, 1.0, 2.0, 1.5, 1.5, 1.5]  AS atr_mult
    WHERE bars = 20
      AND date >= '2023-09-01'
)
SELECT
    label,
    countIf(bb_span < kc_span)                           AS squeeze_count,
    round(100 * countIf(bb_span < kc_span) / count(), 1) AS squeeze_share_pct
FROM graded
GROUP BY label
ORDER BY squeeze_count DESC