Over 2017 to 2025 (9 years of data), JPMUSUSD has tended to move long between 07.07 and 29.07, closing higher in 88.9% of those years for an average +3.64% move and an annualized Sharpe of 3.38.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 29.07 | Long | 88.9% | +3.64% | 3.38 | 9 |
| 07.07 → 30.07 | Long | 88.9% | +3.43% | 3.41 | 9 |
| 07.07 → 28.07 | Long | 88.9% | +3.38% | 3.44 | 9 |
| 13.07 → 11.08 | Long | 88.9% | +3.29% | 2.23 | 9 |
| 13.07 → 11.09 | Long | 88.9% | +3.18% | 1.85 | 9 |
| 13.07 → 29.07 | Long | 88.9% | +2.99% | 4.04 | 9 |
| 13.07 → 12.08 | Long | 88.9% | +2.97% | 2.18 | 9 |
| 13.07 → 13.08 | Long | 88.9% | +2.92% | 1.80 | 9 |