Over 2017 to 2025 (9 years of data), TMOUSUSD has tended to move long between 16.08 and 01.09, closing higher in 87.5% of those years for an average +1.96% move and an annualized Sharpe of 2.23.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 16.08 → 01.09 | Long | 87.5% | +1.96% | 2.23 | 8 |
| 15.08 → 01.09 | Long | 87.5% | +1.95% | 2.18 | 8 |
| 15.08 → 02.09 | Long | 87.5% | +1.92% | 1.81 | 8 |
| 15.08 → 30.08 | Long | 87.5% | +1.86% | 2.35 | 8 |
| 16.08 → 30.08 | Long | 87.5% | +1.86% | 2.41 | 8 |
| 19.08 → 01.09 | Long | 87.5% | +1.75% | 2.71 | 8 |
| 16.08 → 29.08 | Long | 87.5% | +1.74% | 2.45 | 8 |
| 15.08 → 29.08 | Long | 87.5% | +1.73% | 2.37 | 8 |