United Kingdom
Over 2011 to 2025 (15 years of data), CPIGBGBX has tended to move short between 05.10 and 09.11, closing higher in 80.0% of those years for an average +5.28% move and an annualized Sharpe of 1.89.
Best window
05.10 - 09.11
Direction
Short
Win rate
80.0%
Avg return
+5.28%
Sample
15 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 09.11 | Short | 80.0% | +5.28% | 1.89 | 15 |
| 06.10 → 09.11 | Short | 80.0% | +5.15% | 2.06 | 15 |
| 07.10 → 09.11 | Short | 80.0% |
| +5.09% |
| 2.26 |
| 15 |
| 06.10 → 08.11 | Short | 80.0% | +4.47% | 1.89 | 15 |
| 07.10 → 08.11 | Short | 80.0% | +4.40% | 2.03 | 15 |
| 08.10 → 09.11 | Short | 80.0% | +4.31% | 1.85 | 15 |
| 06.10 → 06.11 | Short | 80.0% | +4.02% | 1.73 | 15 |
| 07.10 → 06.11 | Short | 80.0% | +3.94% | 1.83 | 15 |