Over 2017 to 2025 (9 years of data), CMEUSUSD has tended to move long between 11.07 and 09.08, closing higher in 88.9% of those years for an average +3.32% move and an annualized Sharpe of 2.49.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 11.07 → 09.08 | Long | 88.9% | +3.32% | 2.49 | 9 |
| 17.07 → 16.08 | Long | 88.9% | +3.30% | 3.06 | 9 |
| 11.07 → 07.08 | Long | 88.9% | +2.73% | 2.04 | 9 |
| 11.07 → 10.08 | Long | 88.9% | +2.65% | 1.92 | 9 |
| 11.07 → 08.08 | Long | 88.9% | +2.59% | 2.08 | 9 |
| 17.07 → 21.07 | Long | 88.9% | +1.05% | 10.89 | 9 |
| 17.07 → 25.07 | Long | 88.9% | +0.94% | 7.00 | 9 |
| 16.07 → 21.07 | Long | 88.9% | +0.75% | 8.76 | 9 |