Over 2011 to 2025 (15 years of data), SWMASESEK has tended to move short between 22.07 and 28.08, closing higher in 75.0% of those years for an average +2.09% move and an annualized Sharpe of 1.35.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 22.07 → 28.08 | Short | 75.0% | +2.09% | 1.35 | 12 |
| 23.07 → 28.08 | Short | 75.0% | +1.98% | 1.31 | 12 |
| 22.07 → 29.08 | Short | 75.0% | +1.92% | 1.40 | 12 |
| 23.07 → 29.08 | Short | 75.0% | +1.81% | 1.37 | 12 |
| 24.07 → 29.08 | Short | 75.0% | +1.54% | 1.65 | 12 |
| 23.07 → 31.08 | Short | 75.0% | +1.12% | 0.89 | 12 |
| 28.07 → 01.08 | Long | 75.0% | +0.58% | 1.96 | 12 |
| 28.07 → 02.08 | Long | 75.0% | +0.49% | 1.43 | 12 |