Over 2017 to 2025 (9 years of data), XLEUSUSD has tended to move short between 07.07 and 03.08, closing higher in 87.5% of those years for an average +0.87% move and an annualized Sharpe of 0.92.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 03.08 | Short | 87.5% | +0.87% | 0.92 | 8 |
| 10.07 → 28.07 | Long | 75.0% | +2.60% | 2.23 | 8 |
| 07.07 → 29.07 | Long | 75.0% | +2.46% | 2.86 | 8 |
| 08.07 → 28.07 | Long | 75.0% | +2.16% | 2.18 | 8 |
| 07.07 → 27.07 | Long | 75.0% | +1.87% | 3.16 | 8 |
| 07.07 → 26.07 | Long | 75.0% | +1.50% | 2.51 | 8 |
| 07.07 → 25.07 | Long | 75.0% | +1.42% | 2.69 | 8 |
| 08.07 → 03.08 | Short | 75.0% | +1.13% | 1.03 | 8 |