Over 2017 to 2025 (9 years of data), CMEUSUSD has tended to move long between 08.07 and 08.08, closing higher in 88.9% of those years for an average +3.31% move and an annualized Sharpe of 2.54.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.07 → 08.08 | Long | 88.9% | +3.31% | 2.54 | 9 |
| 10.07 → 07.08 | Long | 88.9% | +2.61% | 2.13 | 9 |
| 09.07 → 07.08 | Long | 88.9% | +2.44% | 1.99 | 9 |
| 08.07 → 02.08 | Long | 88.9% | +1.57% | 1.46 | 9 |
| 13.07 → 07.09 | Long | 77.8% | +3.73% | 1.43 | 9 |
| 08.07 → 15.08 | Long | 77.8% | +3.54% | 2.55 | 9 |
| 13.07 → 06.09 | Long | 77.8% | +3.44% | 1.31 | 9 |
| 13.07 → 15.08 | Long | 77.8% | +3.37% | 2.88 | 9 |