Over 2022 to 2025 (4 years of data), RMSFREUR has tended to move long between 09.07 and 12.07, closing higher in 100.0% of those years for an average +3.60% move and an annualized Sharpe of 14.31.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 09.07 → 12.07 | Long | 100.0% | +3.60% | 14.31 | 4 |
| 08.07 → 12.07 | Long | 100.0% | +3.48% | 18.00 | 4 |
| 08.07 → 15.07 | Long | 100.0% | +3.48% | 7.11 | 4 |
| 08.07 → 13.07 | Long | 100.0% | +3.41% | 9.65 | 4 |
| 07.07 → 12.07 | Long | 100.0% | +3.05% | 12.70 | 4 |
| 07.07 → 15.07 | Long | 100.0% | +3.05% | 6.03 | 4 |
| 07.07 → 13.07 | Long | 100.0% | +2.98% | 7.18 | 4 |
| 08.07 → 11.07 | Long | 100.0% | +2.70% | 13.95 | 4 |