Over 2020 to 2025 (6 years of data), SPMITEUR has tended to move long between 21.08 and 24.08, closing higher in 100.0% of those years for an average +2.87% move and an annualized Sharpe of 15.90.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 21.08 → 24.08 | Long | 100.0% | +2.87% | 15.90 | 5 |
| 21.08 → 25.08 | Long | 100.0% | +2.44% | 11.88 | 5 |
| 20.08 → 23.08 | Long | 100.0% | +2.43% | 13.63 | 5 |
| 20.08 → 24.08 | Long | 100.0% | +2.14% | 11.89 | 5 |
| 19.08 → 23.08 | Long | 100.0% | +2.12% | 15.22 | 5 |
| 19.08 → 24.08 | Long | 100.0% | +1.83% | 11.29 | 5 |
| 20.08 → 25.08 | Long | 100.0% | +1.72% | 10.90 | 5 |
| 16.08 → 07.09 | Short | 80.0% | +5.74% | 2.83 | 5 |