Over 2017 to 2025 (9 years of data), LVSUSUSD has tended to move long between 08.07 and 12.07, closing higher in 88.9% of those years for an average +1.55% move and an annualized Sharpe of 5.25.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.07 → 12.07 | Long | 88.9% | +1.55% | 5.25 | 9 |
| 12.07 → 09.08 | Short | 77.8% | +4.70% | 1.88 | 9 |
| 12.07 → 08.08 | Short | 77.8% | +4.25% | 1.70 | 9 |
| 12.07 → 04.08 | Short | 77.8% | +4.04% | 1.59 | 9 |
| 12.07 → 07.08 | Short | 77.8% | +4.03% | 1.65 | 9 |
| 12.07 → 05.08 | Short | 77.8% | +3.98% | 1.52 | 9 |
| 10.07 → 09.08 | Short | 77.8% | +3.75% | 1.49 | 9 |
| 11.07 → 09.08 | Short | 77.8% | +3.64% | 1.33 | 9 |