Over 2011 to 2025 (15 years of data), ACAFREUR has tended to move short between 17.08 and 20.08, closing higher in 93.3% of those years for an average +2.75% move and an annualized Sharpe of 8.39.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 17.08 → 20.08 | Short | 93.3% | +2.75% | 8.39 | 15 |
| 20.08 → 15.09 | Long | 80.0% | +4.74% | 1.32 | 15 |
| 22.08 → 13.09 | Long | 80.0% | +4.40% | 1.44 | 15 |
| 21.08 → 13.09 | Long | 80.0% | +4.37% | 1.26 | 15 |
| 20.08 → 14.09 | Long | 80.0% | +4.12% | 1.15 | 15 |
| 22.08 → 12.09 | Long | 80.0% | +4.11% | 1.22 | 15 |
| 21.08 → 12.09 | Long | 80.0% | +4.10% | 1.08 | 15 |
| 20.08 → 13.09 | Long | 80.0% | +3.73% | 1.12 | 15 |