United States
Over 2017 to 2025 (9 years of data), PYPLUSUSD has tended to move short between 05.10 and 02.11, closing higher in 88.9% of those years for an average +3.67% move and an annualized Sharpe of 3.03.
Best window
05.10 - 02.11
Direction
Short
Win rate
88.9%
Avg return
+3.67%
Sample
9 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 02.11 | Short | 88.9% | +3.67% | 3.03 | 9 |
| 07.10 → 30.10 | Short | 87.5% | +4.86% | 3.71 | 8 |
| 08.10 → 30.10 | Short | 87.5% |
| +4.85% |
| 3.54 |
| 8 |
| 06.10 → 30.10 | Short | 87.5% | +4.47% | 3.47 | 8 |
| 05.10 → 30.10 | Short | 87.5% | +4.42% | 3.41 | 8 |
| 08.10 → 02.11 | Short | 77.8% | +4.06% | 3.19 | 9 |
| 07.10 → 02.11 | Short | 77.8% | +4.03% | 2.89 | 9 |
| 05.10 → 03.11 | Short | 77.8% | +4.01% | 2.67 | 9 |