Over 2022 to 2025 (4 years of data), CBOEUSUSD has tended to move long between 21.07 and 25.08, closing higher in 100.0% of those years for an average +7.26% move and an annualized Sharpe of 4.51.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 21.07 → 25.08 | Long | 100.0% | +7.26% | 4.51 | 4 |
| 24.07 → 25.08 | Long | 100.0% | +6.78% | 3.66 | 4 |
| 21.07 → 24.08 | Long | 100.0% | +6.71% | 4.04 | 4 |
| 21.07 → 20.08 | Long | 100.0% | +6.39% | 6.39 | 4 |
| 21.07 → 22.08 | Long | 100.0% | +6.32% | 4.58 | 4 |
| 21.07 → 21.08 | Long | 100.0% | +6.29% | 5.72 | 4 |
| 21.07 → 23.08 | Long | 100.0% | +6.26% | 4.38 | 4 |
| 25.07 → 25.08 | Long | 100.0% | +6.26% | 3.46 | 4 |