Over 2017 to 2025 (9 years of data), LMTUSUSD has tended to move long between 19.08 and 25.08, closing higher in 88.9% of those years for an average +0.74% move and an annualized Sharpe of 11.14.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 19.08 → 25.08 | Long | 88.9% | +0.74% | 11.14 | 9 |
| 20.08 → 25.08 | Long | 88.9% | +0.73% | 9.02 | 9 |
| 21.08 → 25.08 | Long | 88.9% | +0.45% | 5.83 | 9 |
| 20.08 → 19.10 | Long | 77.8% | +3.81% | 1.75 | 9 |
| 21.08 → 19.10 | Long | 77.8% | +3.51% | 1.71 | 9 |
| 20.08 → 08.10 | Long | 77.8% | +3.46% | 1.42 | 9 |
| 18.08 → 13.10 | Long | 77.8% | +2.94% | 1.18 | 9 |
| 20.08 → 13.10 | Long | 77.8% | +2.94% | 1.26 | 9 |