Over 2011 to 2025 (15 years of data), LRFREUR has tended to move long between 22.08 and 07.09, closing higher in 73.3% of those years for an average +1.23% move and an annualized Sharpe of 1.67.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 22.08 → 07.09 | Long | 73.3% | +1.23% | 1.67 | 15 |
| 21.08 → 07.09 | Long | 73.3% | +1.21% | 1.36 | 15 |
| 23.08 → 07.09 | Long | 73.3% | +1.02% | 1.83 | 15 |
| 22.08 → 05.09 | Long | 73.3% | +0.53% | 0.77 | 15 |
| 25.08 → 25.09 | Short | 66.7% | +1.35% | 0.61 | 15 |
| 26.08 → 07.09 | Long | 66.7% | +1.19% | 2.24 | 15 |
| 26.08 → 12.09 | Long | 66.7% | +1.18% | 1.21 | 15 |
| 24.08 → 07.09 | Long | 66.7% | +1.05% | 1.73 | 15 |