United States
Over 2017 to 2025 (9 years of data), KMBUSUSD has tended to move short between 05.10 and 01.11, closing higher in 88.9% of those years for an average +4.29% move and an annualized Sharpe of 2.45.
Best window
05.10 - 01.11
Direction
Short
Win rate
88.9%
Avg return
+4.29%
Sample
9 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 01.11 | Short | 88.9% | +4.29% | 2.45 | 9 |
| 05.10 → 27.10 | Short | 88.9% | +3.46% | 3.33 | 9 |
| 06.10 → 27.10 | Short | 88.9% |
| +3.36% |
| 3.09 |
| 9 |
| 07.10 → 27.10 | Short | 88.9% | +3.06% | 2.54 | 9 |
| 05.10 → 25.10 | Short | 88.9% | +2.94% | 3.67 | 9 |
| 08.10 → 27.10 | Short | 88.9% | +2.86% | 2.18 | 9 |
| 05.10 → 04.11 | Short | 77.8% | +4.73% | 2.50 | 9 |
| 06.10 → 04.11 | Short | 77.8% | +4.63% | 2.38 | 9 |