Over 2022 to 2025 (4 years of data), CPTUSUSD has tended to move long between 09.07 and 22.07, closing higher in 100.0% of those years for an average +3.77% move and an annualized Sharpe of 12.23.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.07 → 22.07 | Long | 100.0% | +3.77% | 12.23 | 4 |
| 09.07 → 21.07 | Long | 100.0% | +3.72% | 14.78 | 4 |
| 09.07 → 28.07 | Long | 100.0% | +3.53% | 6.77 | 4 |
| 10.07 → 22.07 | Long | 100.0% | +3.48% | 15.96 | 4 |
| 08.07 → 22.07 | Long | 100.0% | +3.43% | 10.78 | 4 |
| 10.07 → 21.07 | Long | 100.0% | +3.43% | 21.89 | 4 |
| 08.07 → 21.07 | Long | 100.0% | +3.38% | 13.59 | 4 |
| 09.07 → 23.07 | Long | 100.0% | +3.34% | 8.56 | 4 |