Over 2022 to 2025 (4 years of data), CCIUSUSD has tended to move long between 20.07 and 02.08, closing higher in 100.0% of those years for an average +3.91% move and an annualized Sharpe of 6.15.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 20.07 → 02.08 | Long | 100.0% | +3.91% | 6.15 | 4 |
| 20.07 → 01.08 | Long | 100.0% | +3.83% | 9.90 | 4 |
| 21.07 → 01.08 | Long | 100.0% | +3.77% | 8.43 | 4 |
| 20.07 → 28.07 | Long | 100.0% | +3.63% | 25.09 | 4 |
| 21.07 → 28.07 | Long | 100.0% | +3.57% | 14.76 | 4 |
| 20.07 → 29.07 | Long | 100.0% | +3.52% | 21.33 | 4 |
| 21.07 → 29.07 | Long | 100.0% | +3.47% | 12.72 | 4 |
| 20.07 → 26.07 | Long | 100.0% | +3.34% | 14.85 | 4 |