France
Over 2011 to 2026 (16 years of data), CAFREUR has tended to move long between 05.10 and 08.11, closing higher in 93.3% of those years for an average +5.65% move and an annualized Sharpe of 3.00.
Best window
05.10 - 08.11
Direction
Long
Win rate
93.3%
Avg return
+5.65%
Sample
15 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 05.10 → 08.11 | Long | 93.3% | +5.65% | 3.00 | 15 |
| 06.10 → 08.11 | Long | 93.3% | +5.61% | 2.85 | 15 |
| 05.10 → 09.11 | Long | 93.3% |
| +5.56% |
| 2.87 |
| 15 |
| 07.10 → 08.11 | Long | 93.3% | +5.44% | 2.80 | 15 |
| 08.10 → 11.11 | Long | 86.7% | +5.70% | 2.69 | 15 |
| 08.10 → 08.11 | Long | 86.7% | +5.69% | 3.00 | 15 |
| 08.10 → 09.11 | Long | 86.7% | +5.60% | 2.86 | 15 |
| 06.10 → 09.11 | Long | 86.7% | +5.53% | 2.64 | 15 |