Over 2022 to 2025 (4 years of data), AGNCUSUSD has tended to move long between 20.08 and 25.08, closing higher in 100.0% of those years for an average +1.75% move and an annualized Sharpe of 21.38.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 20.08 → 25.08 | Long | 100.0% | +1.75% | 21.38 | 4 |
| 22.08 → 25.08 | Long | 100.0% | +1.46% | 31.41 | 4 |
| 21.08 → 25.08 | Long | 100.0% | +1.44% | 19.02 | 4 |
| 21.08 → 06.10 | Short | 75.0% | +9.66% | 1.89 | 4 |
| 22.08 → 06.10 | Short | 75.0% | +9.62% | 1.89 | 4 |
| 21.08 → 07.10 | Short | 75.0% | +9.56% | 1.68 | 4 |
| 22.08 → 07.10 | Short | 75.0% | +9.53% | 1.68 | 4 |
| 21.08 → 05.10 | Short | 75.0% | +8.85% | 1.88 | 4 |