Over 2017 to 2025 (9 years of data), ICEUSUSD has tended to move long between 22.07 and 01.09, closing higher in 87.5% of those years for an average +3.72% move and an annualized Sharpe of 2.29.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 22.07 → 01.09 | Long | 87.5% | +3.72% | 2.29 | 8 |
| 22.07 → 02.09 | Long | 87.5% | +3.46% | 2.07 | 8 |
| 25.07 → 01.09 | Long | 87.5% | +3.42% | 2.20 | 8 |
| 25.07 → 02.09 | Long | 87.5% | +3.17% | 1.96 | 8 |
| 23.07 → 01.09 | Long | 87.5% | +3.16% | 2.33 | 8 |
| 22.07 → 03.09 | Long | 87.5% | +3.13% | 2.19 | 8 |
| 22.07 → 04.09 | Long | 87.5% | +2.99% | 2.29 | 8 |
| 23.07 → 02.09 | Long | 87.5% | +2.91% | 2.07 | 8 |