Over 2022 to 2025 (4 years of data), CBOEUSUSD has tended to move long between 10.07 and 24.08, closing higher in 100.0% of those years for an average +11.95% move and an annualized Sharpe of 4.36.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 10.07 → 24.08 | Long | 100.0% | +11.95% | 4.36 | 4 |
| 09.07 → 24.08 | Long | 100.0% | +11.90% | 4.31 | 4 |
| 08.07 → 24.08 | Long | 100.0% | +11.45% | 4.27 | 4 |
| 10.07 → 19.08 | Long | 100.0% | +11.35% | 5.42 | 4 |
| 10.07 → 20.08 | Long | 100.0% | +11.35% | 4.99 | 4 |
| 09.07 → 19.08 | Long | 100.0% | +11.30% | 5.31 | 4 |
| 09.07 → 20.08 | Long | 100.0% | +11.30% | 4.93 | 4 |
| 07.07 → 24.08 | Long | 100.0% | +11.29% | 4.12 | 4 |