Over 2017 to 2025 (9 years of data), VXXUSUSD has tended to move short between 07.07 and 16.07, closing higher in 100.0% of those years for an average +5.23% move and an annualized Sharpe of 10.05.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 16.07 | Short | 100.0% | +5.23% | 10.05 | 9 |
| 07.07 → 15.07 | Short | 100.0% | +4.94% | 11.71 | 9 |
| 08.07 → 15.07 | Short | 100.0% | +4.09% | 8.91 | 9 |
| 07.07 → 23.07 | Short | 88.9% | +7.98% | 7.16 | 9 |
| 07.07 → 22.07 | Short | 88.9% | +7.40% | 7.14 | 9 |
| 08.07 → 23.07 | Short | 88.9% | +7.13% | 5.83 | 9 |
| 08.07 → 22.07 | Short | 88.9% | +6.55% | 5.75 | 9 |
| 07.07 → 20.07 | Short | 88.9% | +5.85% | 4.76 | 9 |