Over 2017 to 2025 (9 years of data), XLYUSUSD has tended to move long between 12.08 and 12.09, closing higher in 87.5% of those years for an average +3.85% move and an annualized Sharpe of 4.43.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 12.08 → 12.09 | Long | 87.5% | +3.85% | 4.43 | 8 |
| 13.08 → 12.09 | Long | 87.5% | +3.69% | 3.91 | 8 |
| 12.08 → 11.09 | Long | 87.5% | +3.51% | 4.72 | 8 |
| 12.08 → 14.09 | Long | 87.5% | +3.50% | 2.93 | 8 |
| 12.08 → 13.09 | Long | 87.5% | +3.49% | 2.72 | 8 |
| 13.08 → 11.09 | Long | 87.5% | +3.35% | 4.07 | 8 |
| 18.08 → 12.09 | Long | 87.5% | +3.35% | 4.91 | 8 |
| 13.08 → 13.09 | Long | 87.5% | +3.34% | 2.47 | 8 |