Over 2017 to 2025 (9 years of data), XLFUSUSD has tended to move long between 20.08 and 12.09, closing higher in 88.9% of those years for an average +2.03% move and an annualized Sharpe of 4.29.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 20.08 → 12.09 | Long | 88.9% | +2.03% | 4.29 | 9 |
| 20.08 → 14.09 | Long | 88.9% | +1.75% | 2.57 | 9 |
| 21.08 → 12.09 | Long | 88.9% | +1.73% | 3.61 | 9 |
| 20.08 → 11.09 | Long | 88.9% | +1.72% | 3.97 | 9 |
| 20.08 → 01.09 | Long | 88.9% | +1.54% | 3.96 | 9 |
| 20.08 → 02.09 | Long | 88.9% | +1.54% | 3.16 | 9 |
| 20.08 → 30.08 | Long | 88.9% | +1.52% | 4.42 | 9 |
| 20.08 → 04.09 | Long | 88.9% | +1.48% | 3.05 | 9 |