United States
Over 2017 to 2025 (9 years of data), CIUSUSD has tended to move long between 05.10 and 10.11, closing higher in 88.9% of those years for an average +7.48% move and an annualized Sharpe of 1.81.
Best window
05.10 - 10.11
Direction
Long
Win rate
88.9%
Avg return
+7.48%
Sample
9 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 10.11 | Long | 88.9% | +7.48% | 1.81 | 9 |
| 05.10 → 11.11 | Long | 88.9% | +7.18% | 1.78 | 9 |
| 06.10 → 10.11 | Long | 88.9% |
| +7.08% |
| 1.81 |
| 9 |
| 07.10 → 10.11 | Long | 88.9% | +7.04% | 1.90 | 9 |
| 06.10 → 11.11 | Long | 88.9% | +6.78% | 1.79 | 9 |
| 07.10 → 11.11 | Long | 88.9% | +6.75% | 1.88 | 9 |
| 08.10 → 10.11 | Long | 88.9% | +6.71% | 1.81 | 9 |
| 05.10 → 09.11 | Long | 88.9% | +6.69% | 1.76 | 9 |