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Cotton (COTTONCMDUSX) Seasonality

Over 2017 to 2025 (9 years of data), COTTONCMDUSX has tended to move long between 10.07 and 23.08, closing higher in 75.0% of those years for an average +2.78% move and an annualized Sharpe of 0.82.

Average seasonal curve

COTTONCMDUSX average seasonal curve, 2017 to 2025
Index	Value
1	100
2	99.707
3	99.8212
4	99.4587
5	100.1979
6	101.0687
7	101.0015
8	100.8294
9	101.1733
10	100.2261
11	100.567
12	100.3378
13	100.5421
14	100.9966
15	100.9868
16	100.6981
17	101.1153
18	102.0692
19	102.6076
20	103.0702
21	102.7848
22	102.7242
23	102.8862
24	102.772
25	103.0955
26	102.8439
27	102.7995
28	103.0088
29	102.7875
30	102.2052
31	103.0784
32	103.2638
33	103.2454
34	103.2006
35	103.2383
36	102.7762
37	103.2347
38	104.1019
39	104.3972
40	105.0161
41	105.1088
42	104.9147
43	104.7922
44	104.8043
45	105.1272
46	104.5004
47	104.0016
48	103.7152
49	104.2201
50	103.9621
51	103.7601
52	103.9392

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
10.07 → 23.08	Long	75.0%	+2.78%	0.82	8
07.07 → 11.08	Long	75.0%	+2.30%	0.74	8
08.07 → 11.08	Long	75.0%	+2.27%	0.86	8
13.07 → 25.07	Long	75.0%	+1.41%	1.48	8
13.07 → 27.07	Long	75.0%	+1.36%	1.38	8
13.07 → 29.07	Long	75.0%	+1.28%	1.30	8
13.07 → 28.07	Long	75.0%

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