Over 2011 to 2025 (15 years of data), MCFREUR has tended to move long between 07.07 and 22.07, closing higher in 86.7% of those years for an average +2.49% move and an annualized Sharpe of 3.03.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.07 → 22.07 | Long | 86.7% | +2.49% | 3.03 | 15 |
| 08.07 → 21.07 | Long | 86.7% | +2.29% | 2.80 | 15 |
| 10.07 → 22.07 | Long | 86.7% | +1.87% | 2.78 | 15 |
| 08.07 → 27.07 | Long | 80.0% | +2.97% | 1.93 | 15 |
| 07.07 → 21.07 | Long | 80.0% | +2.39% | 2.75 | 15 |
| 08.07 → 22.07 | Long | 80.0% | +2.39% | 3.01 | 15 |
| 08.07 → 20.07 | Long | 80.0% | +2.25% | 2.87 | 15 |
| 07.07 → 13.07 | Long | 80.0% | +2.20% | 4.44 | 15 |