Over 2022 to 2025 (4 years of data), CFRUSUSD has tended to move long between 07.07 and 25.07, closing higher in 100.0% of those years for an average +9.35% move and an annualized Sharpe of 5.75.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 25.07 | Long | 100.0% | +9.35% | 5.75 | 4 |
| 07.07 → 23.07 | Long | 100.0% | +8.16% | 6.00 | 4 |
| 07.07 → 19.07 | Long | 100.0% | +8.05% | 8.61 | 4 |
| 09.07 → 19.07 | Long | 100.0% | +8.04% | 8.23 | 4 |
| 07.07 → 24.07 | Long | 100.0% | +7.99% | 6.17 | 4 |
| 10.07 → 19.07 | Long | 100.0% | +7.85% | 9.84 | 4 |
| 07.07 → 20.07 | Long | 100.0% | +7.76% | 7.68 | 4 |
| 09.07 → 20.07 | Long | 100.0% | +7.75% | 7.36 | 4 |