Bonds
Over 2018 to 2025 (8 years of data), USTBONDTRUSD has tended to move short between 05.10 and 23.10, closing higher in 85.7% of those years for an average +2.39% move and an annualized Sharpe of 3.91.
Best window
05.10 - 23.10
Direction
Short
Win rate
85.7%
Avg return
+2.39%
Sample
7 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 23.10 | Short | 85.7% | +2.39% | 3.91 | 7 |
| 05.10 → 20.10 | Short | 85.7% | +2.30% | 4.75 | 7 |
| 05.10 → 21.10 | Short | 85.7% |
| +2.30% |
| 4.04 |
| 7 |
| 05.10 → 22.10 | Short | 85.7% | +2.28% | 3.66 | 7 |
| 05.10 → 25.10 | Short | 85.7% | +2.21% | 3.81 | 7 |
| 05.10 → 19.10 | Short | 85.7% | +2.13% | 4.86 | 7 |
| 05.10 → 24.10 | Short | 85.7% | +2.13% | 3.36 | 7 |
| 05.10 → 26.10 | Short | 85.7% | +1.98% | 3.52 | 7 |