Over 2011 to 2025 (15 years of data), FPFREUR has tended to move short between 09.07 and 25.07, closing higher in 80.0% of those years for an average +0.95% move and an annualized Sharpe of 1.25.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.07 → 25.07 | Short | 80.0% | +0.95% | 1.25 | 15 |
| 09.07 → 24.07 | Short | 73.3% | +0.99% | 1.27 | 15 |
| 09.07 → 23.07 | Short | 73.3% | +0.70% | 0.90 | 15 |
| 13.07 → 18.08 | Short | 73.3% | +0.64% | 0.23 | 15 |
| 10.07 → 28.08 | Long | 66.7% | +1.00% | 0.29 | 15 |
| 07.07 → 28.07 | Long | 66.7% | +0.88% | 0.74 | 15 |
| 12.07 → 24.07 | Short | 66.7% | +0.86% | 1.49 | 15 |
| 08.07 → 28.07 | Long | 66.7% | +0.80% | 0.78 | 15 |