United States
Over 2018 to 2025 (8 years of data), CMIUSUSD has tended to move long between 08.10 and 11.11, closing higher in 85.7% of those years for an average +6.81% move and an annualized Sharpe of 2.76.
Best window
08.10 - 11.11
Direction
Long
Win rate
85.7%
Avg return
+6.81%
Sample
7 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.10 → 11.11 | Long | 85.7% | +6.81% | 2.76 | 7 |
| 08.10 → 10.11 | Long | 85.7% | +6.72% | 2.82 | 7 |
| 06.10 → 11.11 | Long | 85.7% |
| +6.68% |
| 2.99 |
| 7 |
| 08.10 → 12.11 | Long | 85.7% | +6.68% | 2.76 | 7 |
| 06.10 → 10.11 | Long | 85.7% | +6.60% | 3.02 | 7 |
| 06.10 → 12.11 | Long | 85.7% | +6.55% | 3.00 | 7 |
| 12.10 → 15.11 | Long | 85.7% | +6.44% | 3.27 | 7 |
| 08.10 → 08.11 | Long | 85.7% | +6.41% | 2.87 | 7 |