Over 2017 to 2025 (9 years of data), LMTUSUSD has tended to move long between 21.08 and 25.08, closing higher in 88.9% of those years for an average +0.45% move and an annualized Sharpe of 5.83.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 21.08 → 25.08 | Long | 88.9% | +0.45% | 5.83 | 9 |
| 21.08 → 19.10 | Long | 77.8% | +3.51% | 1.71 | 9 |
| 24.08 → 14.10 | Long | 77.8% | +2.33% | 0.96 | 9 |
| 22.08 → 14.10 | Long | 77.8% | +2.10% | 0.83 | 9 |
| 21.08 → 29.08 | Long | 77.8% | +0.80% | 3.99 | 9 |
| 24.08 → 28.08 | Long | 77.8% | +0.80% | 7.93 | 9 |
| 27.08 → 03.09 | Short | 77.8% | +0.72% | 4.12 | 9 |
| 21.08 → 30.08 | Long | 77.8% | +0.66% | 2.65 | 9 |