Over 2022 to 2025 (4 years of data), COUPUSUSD has tended to move long between 12.07 and 07.08, closing higher in 25.0% of those years for an average +10.06% move and an annualized Sharpe of 2.16.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 12.07 → 07.08 | Long | 25.0% | +10.06% | 2.16 | 4 |
| 12.07 → 09.08 | Long | 25.0% | +9.89% | 2.08 | 4 |
| 12.07 → 04.08 | Long | 25.0% | +9.57% | 2.30 | 4 |
| 12.07 → 05.08 | Long | 25.0% | +9.57% | 2.25 | 4 |
| 12.07 → 06.08 | Long | 25.0% | +9.57% | 2.21 | 4 |
| 12.07 → 14.08 | Long | 25.0% | +9.21% | 1.92 | 4 |
| 12.07 → 03.08 | Long | 25.0% | +9.15% | 2.35 | 4 |
| 12.07 → 11.08 | Long | 25.0% | +9.10% | 2.01 | 4 |