Over 2011 to 2025 (15 years of data), ACAFREUR has tended to move long between 08.07 and 16.08, closing higher in 86.7% of those years for an average +4.05% move and an annualized Sharpe of 0.89.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.07 → 16.08 | Long | 86.7% | +4.05% | 0.89 | 15 |
| 08.07 → 17.08 | Long | 86.7% | +3.77% | 0.74 | 15 |
| 08.07 → 27.07 | Long | 86.7% | +2.65% | 2.04 | 15 |
| 08.07 → 28.07 | Long | 86.7% | +2.45% | 1.86 | 15 |
| 11.07 → 24.07 | Long | 86.7% | +1.94% | 1.76 | 15 |
| 11.07 → 25.07 | Long | 86.7% | +1.88% | 1.77 | 15 |
| 12.07 → 24.07 | Long | 86.7% | +1.55% | 1.38 | 15 |
| 10.07 → 25.07 | Long | 86.7% | +1.53% | 1.21 | 15 |