Over 2020 to 2025 (6 years of data), ZMUSUSD has tended to move short between 07.07 and 16.08, closing higher in 100.0% of those years for an average +5.77% move and an annualized Sharpe of 3.40.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 16.08 | Short | 100.0% | +5.77% | 3.40 | 5 |
| 07.07 → 15.08 | Short | 100.0% | +4.54% | 4.03 | 5 |
| 10.07 → 12.08 | Short | 100.0% | +4.18% | 5.63 | 5 |
| 10.07 → 08.08 | Short | 100.0% | +3.31% | 3.22 | 5 |
| 12.07 → 28.07 | Long | 100.0% | +3.17% | 6.06 | 5 |
| 12.07 → 30.07 | Long | 100.0% | +3.03% | 3.93 | 5 |
| 11.07 → 12.08 | Short | 100.0% | +2.91% | 3.85 | 5 |
| 12.07 → 29.07 | Long | 100.0% | +2.72% | 4.26 | 5 |