United States
Over 2022 to 2025 (4 years of data), CFRUSUSD has tended to move long between 11.10 and 06.11, closing higher in 100.0% of those years for an average +11.18% move and an annualized Sharpe of 4.72.
Best window
11.10 - 06.11
Direction
Long
Win rate
100.0%
Avg return
+11.18%
Sample
4 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 11.10 → 06.11 | Long | 100.0% | +11.18% | 4.72 | 4 |
| 11.10 → 25.11 | Long | 100.0% | +10.65% | 3.71 | 4 |
| 09.10 → 04.12 | Long | 100.0% |
| +10.58% |
| 2.51 |
| 4 |
| 08.10 → 04.12 | Long | 100.0% | +10.36% | 2.50 | 4 |
| 12.10 → 06.11 | Long | 100.0% | +10.30% | 4.81 | 4 |
| 11.10 → 08.11 | Long | 100.0% | +10.22% | 4.77 | 4 |
| 11.10 → 07.11 | Long | 100.0% | +10.05% | 5.13 | 4 |
| 11.10 → 26.11 | Long | 100.0% | +10.00% | 3.57 | 4 |