Over 2017 to 2025 (9 years of data), COTTONCMDUSX has tended to move short between 14.08 and 07.09, closing higher in 87.5% of those years for an average +1.62% move and an annualized Sharpe of 1.51.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 14.08 → 07.09 | Short | 87.5% | +1.62% | 1.51 | 8 |
| 14.08 → 06.09 | Short | 87.5% | +1.43% | 1.60 | 8 |
| 12.08 → 14.09 | Long | 75.0% | +1.80% | 1.36 | 8 |
| 12.08 → 12.09 | Long | 75.0% | +1.65% | 1.79 | 8 |
| 15.08 → 07.09 | Short | 75.0% | +1.44% | 1.34 | 8 |
| 12.08 → 21.08 | Long | 75.0% | +1.41% | 2.01 | 8 |
| 14.08 → 08.09 | Short | 75.0% | +1.25% | 1.44 | 8 |
| 18.08 → 25.08 | Long | 75.0% | +1.24% | 2.82 | 8 |