Over 2011 to 2025 (15 years of data), SRENCHCHF has tended to move long between 18.08 and 04.10, closing higher in 80.0% of those years for an average +2.55% move and an annualized Sharpe of 1.40.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 18.08 → 04.10 | Long | 80.0% | +2.55% | 1.40 | 15 |
| 14.08 → 20.08 | Short | 80.0% | +1.10% | 2.87 | 15 |
| 14.08 → 19.08 | Short | 80.0% | +0.96% | 2.93 | 15 |
| 14.08 → 18.08 | Short | 80.0% | +0.80% | 3.12 | 15 |
| 18.08 → 16.10 | Long | 73.3% | +3.50% | 1.16 | 15 |
| 12.08 → 10.10 | Long | 73.3% | +3.32% | 1.02 | 15 |
| 18.08 → 12.10 | Long | 73.3% | +3.29% | 1.17 | 15 |
| 18.08 → 10.10 | Long | 73.3% | +3.23% | 1.28 | 15 |