Over 2017 to 2025 (9 years of data), UPSUSUSD has tended to move long between 09.09 and 12.09, closing higher in 87.5% of those years for an average +0.48% move and an annualized Sharpe of 3.54.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.09 → 12.09 | Long | 87.5% | +0.48% | 3.54 | 8 |
| 12.09 → 24.09 | Short | 75.0% | +3.88% | 3.66 | 8 |
| 08.09 → 24.09 | Short | 75.0% | +3.80% | 3.40 | 8 |
| 10.09 → 24.09 | Short | 75.0% | +3.79% | 3.28 | 8 |
| 11.09 → 25.09 | Short | 75.0% | +3.66% | 2.82 | 8 |
| 12.09 → 23.09 | Short | 75.0% | +3.60% | 3.77 | 8 |
| 09.09 → 24.09 | Short | 75.0% | +3.57% | 3.00 | 8 |
| 13.09 → 24.09 | Short | 75.0% | +3.55% | 3.69 | 8 |