United States
Over 2018 to 2025 (8 years of data), PGRUSUSD has tended to move long between 05.10 and 12.11, closing higher in 75.0% of those years for an average +1.67% move and an annualized Sharpe of 0.80.
Best window
05.10 - 12.11
Direction
Long
Win rate
75.0%
Avg return
+1.67%
Sample
8 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 12.11 | Long | 75.0% | +1.67% | 0.80 | 8 |
| 10.10 → 20.10 | Short | 75.0% | +1.62% | 1.90 | 8 |
| 05.10 → 25.10 | Short | 75.0% |
| +1.52% |
| 0.93 |
| 8 |
| 06.10 → 20.10 | Short | 75.0% | +1.42% | 1.24 | 8 |
| 07.10 → 20.10 | Short | 75.0% | +1.26% | 1.23 | 8 |
| 10.10 → 18.10 | Short | 75.0% | +1.17% | 1.42 | 8 |
| 05.10 → 21.10 | Short | 75.0% | +1.08% | 0.92 | 8 |
| 07.10 → 13.11 | Long | 75.0% | +1.08% | 0.56 | 8 |