Over 2017 to 2025 (9 years of data), CTLUSUSD has tended to move long between 08.09 and 12.09, closing higher in 100.0% of those years for an average +7.43% move and an annualized Sharpe of 8.28.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.09 → 12.09 | Long | 100.0% | +7.43% | 8.28 | 8 |
| 13.09 → 13.10 | Short | 87.5% | +7.08% | 2.21 | 8 |
| 08.09 → 15.09 | Long | 87.5% | +6.48% | 5.81 | 8 |
| 08.09 → 18.09 | Long | 87.5% | +6.05% | 4.55 | 8 |
| 09.09 → 12.09 | Long | 87.5% | +6.02% | 10.51 | 8 |
| 08.09 → 17.09 | Long | 87.5% | +5.75% | 5.09 | 8 |
| 08.09 → 16.09 | Long | 87.5% | +5.34% | 5.19 | 8 |
| 08.09 → 14.09 | Long | 87.5% | +5.26% | 4.98 | 8 |