Over 2017 to 2025 (9 years of data), CUSUSD has tended to move long between 23.08 and 04.09, closing higher in 88.9% of those years for an average +1.27% move and an annualized Sharpe of 2.65.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 23.08 → 04.09 | Long | 88.9% | +1.27% | 2.65 | 9 |
| 23.08 → 29.08 | Long | 88.9% | +1.22% | 5.39 | 9 |
| 23.08 → 01.09 | Long | 88.9% | +1.21% | 3.33 | 9 |
| 23.08 → 30.08 | Long | 88.9% | +1.19% | 4.22 | 9 |
| 23.08 → 31.08 | Long | 88.9% | +1.11% | 3.35 | 9 |
| 24.08 → 01.09 | Long | 88.9% | +0.99% | 3.42 | 9 |
| 24.08 → 30.08 | Long | 88.9% | +0.97% | 4.40 | 9 |
| 24.08 → 31.08 | Long | 88.9% | +0.89% | 3.42 | 9 |