Over 2011 to 2025 (15 years of data), MTNLEUR has tended to move short between 27.07 and 03.09, closing higher in 73.3% of those years for an average +4.76% move and an annualized Sharpe of 1.07.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 27.07 → 03.09 | Short | 73.3% | +4.76% | 1.07 | 15 |
| 24.07 → 29.07 | Long | 73.3% | +3.16% | 4.44 | 15 |
| 27.07 → 02.08 | Short | 73.3% | +2.82% | 4.19 | 15 |
| 25.07 → 29.07 | Long | 73.3% | +2.72% | 4.60 | 15 |
| 24.07 → 30.07 | Long | 73.3% | +2.47% | 2.69 | 15 |
| 24.07 → 28.07 | Long | 73.3% | +2.05% | 3.98 | 15 |
| 25.07 → 30.07 | Long | 73.3% | +2.02% | 2.61 | 15 |
| 25.07 → 31.07 | Long | 73.3% | +1.95% | 2.37 | 15 |