Over 2011 to 2025 (15 years of data), SWMASESEK has tended to move long between 13.07 and 22.07, closing higher in 66.7% of those years for an average +1.38% move and an annualized Sharpe of 2.61.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 13.07 → 22.07 | Long | 66.7% | +1.38% | 2.61 | 15 |
| 11.07 → 22.07 | Long | 60.0% | +1.58% | 2.54 | 15 |
| 07.07 → 22.07 | Long | 60.0% | +1.50% | 1.79 | 15 |
| 10.07 → 22.07 | Long | 60.0% | +1.34% | 2.29 | 15 |
| 13.07 → 20.07 | Long | 60.0% | +1.31% | 2.67 | 15 |
| 10.07 → 20.07 | Long | 60.0% | +1.26% | 2.37 | 15 |
| 11.07 → 15.08 | Long | 60.0% | +1.25% | 0.63 | 15 |
| 13.07 → 21.07 | Long | 60.0% | +1.23% | 2.51 | 15 |