Over 2017 to 2025 (9 years of data), KEYUSUSD has tended to move long between 08.09 and 12.09, closing higher in 87.5% of those years for an average +3.70% move and an annualized Sharpe of 10.25.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.09 → 12.09 | Long | 87.5% | +3.70% | 10.25 | 8 |
| 08.09 → 18.09 | Long | 87.5% | +1.93% | 2.86 | 8 |
| 11.09 → 21.09 | Short | 87.5% | +1.77% | 2.55 | 8 |
| 10.09 → 21.09 | Short | 85.7% | +2.60% | 4.07 | 7 |
| 08.09 → 06.11 | Long | 77.8% | +5.78% | 1.24 | 9 |
| 08.09 → 03.11 | Long | 77.8% | +4.26% | 1.15 | 9 |
| 08.09 → 05.11 | Long | 77.8% | +4.08% | 1.10 | 9 |
| 08.09 → 02.11 | Long | 77.8% | +3.21% | 0.91 | 9 |