Over 2018 to 2025 (8 years of data), USTBONDTRUSD has tended to move short between 16.08 and 02.09, closing higher in 100.0% of those years for an average +1.06% move and an annualized Sharpe of 3.05.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 16.08 → 02.09 | Short | 100.0% | +1.06% | 3.05 | 7 |
| 15.08 → 12.10 | Short | 85.7% | +3.83% | 2.35 | 7 |
| 15.08 → 14.10 | Short | 85.7% | +3.82% | 2.09 | 7 |
| 15.08 → 09.10 | Short | 85.7% | +3.81% | 2.38 | 7 |
| 18.08 → 17.10 | Short | 85.7% | +3.81% | 2.10 | 7 |
| 15.08 → 10.10 | Short | 85.7% | +3.80% | 2.24 | 7 |
| 16.08 → 15.10 | Short | 85.7% | +3.80% | 1.98 | 7 |
| 15.08 → 11.10 | Short | 85.7% | +3.79% | 2.37 | 7 |