Over 2017 to 2025 (9 years of data), KMIUSUSD has tended to move short between 09.07 and 06.09, closing higher in 75.0% of those years for an average +2.30% move and an annualized Sharpe of 0.96.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.07 → 06.09 | Short | 75.0% | +2.30% | 0.96 | 8 |
| 08.07 → 06.09 | Short | 75.0% | +2.26% | 0.99 | 8 |
| 12.07 → 06.09 | Short | 75.0% | +2.22% | 0.96 | 8 |
| 11.07 → 06.09 | Short | 75.0% | +2.12% | 0.88 | 8 |
| 09.07 → 05.09 | Short | 75.0% | +2.10% | 0.87 | 8 |
| 12.07 → 08.09 | Short | 75.0% | +2.06% | 0.75 | 8 |
| 08.07 → 05.09 | Short | 75.0% | +2.05% | 0.89 | 8 |
| 12.07 → 07.09 | Short | 75.0% | +2.03% | 0.83 | 8 |