Bonds
Over 2017 to 2025 (9 years of data), UKGILTTRGBP has tended to move short between 05.10 and 09.10, closing higher in 87.5% of those years for an average +0.98% move and an annualized Sharpe of 3.57.
Best window
05.10 - 09.10
Direction
Short
Win rate
87.5%
Avg return
+0.98%
Sample
8 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 09.10 | Short | 87.5% | +0.98% | 3.57 | 8 |
| 10.10 → 16.10 | Long | 87.5% | +0.89% | 4.04 | 8 |
| 09.10 → 16.10 | Long | 87.5% |
| +0.85% |
| 3.55 |
| 8 |
| 09.10 → 17.10 | Long | 87.5% | +0.76% | 3.15 | 8 |
| 08.10 → 15.10 | Long | 87.5% | +0.74% | 3.45 | 8 |
| 10.10 → 15.10 | Long | 87.5% | +0.73% | 4.04 | 8 |
| 09.10 → 15.10 | Long | 87.5% | +0.69% | 3.33 | 8 |
| 08.10 → 26.11 | Long | 75.0% | +2.51% | 1.34 | 8 |