France
Over 2011 to 2025 (15 years of data), SANFREUR has tended to move long between 07.10 and 04.11, closing higher in 73.3% of those years for an average -0.29% move and an annualized Sharpe of -0.11.
Best window
07.10 - 04.11
Direction
Long
Win rate
73.3%
Avg return
-0.29%
Sample
15 yrs
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 07.10 → 04.11 | Long | 73.3% | -0.29% | -0.11 | 15 |
| 08.10 → 06.12 | Short | 66.7% | +2.28% | 0.64 | 15 |
| 05.10 → 07.11 | Short | 66.7% |
| +1.73% |
| 0.65 |
| 15 |
| 07.10 → 07.11 | Short | 66.7% | +1.53% | 0.58 | 15 |
| 11.10 → 24.10 | Long | 66.7% | +1.19% | 1.62 | 15 |
| 11.10 → 26.10 | Long | 66.7% | +1.14% | 1.44 | 15 |
| 11.10 → 23.10 | Long | 66.7% | +0.98% | 1.51 | 15 |
| 10.10 → 24.10 | Long | 66.7% | +0.92% | 1.26 | 15 |