Over 2017 to 2025 (9 years of data), CIUSUSD has tended to move long between 09.09 and 26.10, closing higher in 88.9% of those years for an average +4.96% move and an annualized Sharpe of 2.14.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.09 → 26.10 | Long | 88.9% | +4.96% | 2.14 | 9 |
| 11.09 → 26.10 | Long | 88.9% | +4.93% | 2.28 | 9 |
| 09.09 → 27.10 | Long | 88.9% | +4.86% | 2.00 | 9 |
| 11.09 → 27.10 | Long | 88.9% | +4.82% | 2.17 | 9 |
| 13.09 → 26.10 | Long | 88.9% | +4.81% | 2.12 | 9 |
| 12.09 → 26.10 | Long | 88.9% | +4.70% | 2.18 | 9 |
| 13.09 → 27.10 | Long | 88.9% | +4.69% | 2.02 | 9 |
| 09.09 → 25.10 | Long | 88.9% | +4.67% | 2.15 | 9 |