Over 2017 to 2025 (9 years of data), MSUSUSD has tended to move long between 16.08 and 02.09, closing higher in 87.5% of those years for an average +1.72% move and an annualized Sharpe of 2.54.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 16.08 → 02.09 | Long | 87.5% | +1.72% | 2.54 | 8 |
| 16.08 → 01.09 | Long | 87.5% | +1.65% | 2.47 | 8 |
| 16.08 → 29.08 | Long | 87.5% | +1.53% | 2.31 | 8 |
| 18.08 → 02.09 | Long | 87.5% | +1.44% | 2.68 | 8 |
| 18.08 → 01.09 | Long | 87.5% | +1.37% | 2.70 | 8 |
| 17.08 → 20.08 | Short | 87.5% | +1.36% | 16.06 | 8 |
| 18.08 → 29.08 | Long | 87.5% | +1.24% | 2.45 | 8 |
| 18.08 → 30.08 | Long | 87.5% | +1.07% | 1.86 | 8 |