United States
Over 2017 to 2025 (9 years of data), CMEUSUSD has tended to move long between 08.10 and 04.12, closing higher in 88.9% of those years for an average +6.06% move and an annualized Sharpe of 3.33.
Best window
08.10 - 04.12
Direction
Long
Win rate
88.9%
Avg return
+6.06%
Sample
9 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.10 → 04.12 | Long | 88.9% | +6.06% | 3.33 | 9 |
| 08.10 → 05.12 | Long | 88.9% | +6.02% | 3.43 | 9 |
| 09.10 → 04.12 | Long | 88.9% |
| +5.91% |
| 3.25 |
| 9 |
| 09.10 → 05.12 | Long | 88.9% | +5.87% | 3.31 | 9 |
| 08.10 → 03.12 | Long | 88.9% | +5.85% | 3.26 | 9 |
| 07.10 → 04.12 | Long | 88.9% | +5.81% | 2.91 | 9 |
| 07.10 → 05.12 | Long | 88.9% | +5.76% | 3.02 | 9 |
| 09.10 → 03.12 | Long | 88.9% | +5.70% | 3.18 | 9 |