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NY Cocoa (COCOACMDUSD) Seasonality

Over 2017 to 2025 (9 years of data), COCOACMDUSD has tended to move short between 12.07 and 17.07, closing higher in 87.5% of those years for an average +3.14% move and an annualized Sharpe of 7.48.

Average seasonal curve

COCOACMDUSD average seasonal curve, 2017 to 2025
Index	Value
1	100
2	99.3761
3	99.2977
4	99.4955
5	99.7988
6	98.6052
7	99.1341
8	98.8607
9	96.8289
10	95.86
11	96.8337
12	97.2166
13	97.6681
14	97.5756
15	97.1229
16	97.3603
17	98.5536
18	98.3063
19	98.5428
20	96.7551
21	96.0809
22	96.2374
23	95.5654
24	95.4435
25	94.6108
26	95.7584
27	95.3298
28	94.4999
29	95.5713
30	94.6689
31	94.5092
32	95.6698
33	96.1014
34	96.3292
35	95.1872
36	96.0239
37	95.0547
38	95.4639
39	97.4107
40	96.6209
41	96.0721
42	96.8144
43	95.8312
44	96.8081
45	96.0712
46	96.3317
47	95.2554
48	94.2429
49	93.35
50	91.6244
51	93.2638
52	92.5181

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
12.07 → 17.07	Short	87.5%	+3.14%	7.48	8
12.07 → 18.07	Short	87.5%	+2.91%	6.16	8
11.07 → 19.07	Short	87.5%	+2.50%	6.58	8
08.07 → 11.07	Long	87.5%	+2.36%	7.26	8
11.07 → 17.07	Short	87.5%	+2.33%	7.63	8
11.07 → 18.07	Short	87.5%	+2.09%	5.26	8
07.07 → 11.07	Long	87.5%

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